With the gradual maturity of the electricity spot market and the increase of the proportion of renewable energy participating in the electricity market, the demand and conditions for building an electricity derivative market have gradually been met. In order to provide market entities with sufficient risk management tools and to improve market efficiency, on the basis of an in-depth analysis of the practical experience of the construction of the Nordic electricity derivatives market, the key issues of China′s medium and long-term electricity market construction are studied. Firstly, on the risk management principles and construction significance of power derivatives are elaborated. Then the construction path of the Nordic electricity derivatives market is analyzed, including the operation stage of the electricity trading center and the operation stage of the securities exchange. Next, combined with the latest Nordic electricity derivatives contracts, the connection relationship between electricity derivatives and electricity spot prices is analyzed. Finally, based on the current situation of China′s medium and long-term electricity market, the inspiration of the Nordic electricity derivatives market for the construction of China′s medium and long-term electricity market is discussed from five aspects: product system, specific trading varieties, linkage mechanism, construction path, and business process.