基于Copula模型的碳金融市场风险整合度量

发布时间：2018-01-24 07:03

本文关键词： 碳金融市场风险 Copula-ARMA-GARCH Monte Carlo模拟　出处：《合肥工业大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着低碳经济的兴起和碳排放贸易市场的迅速发展，碳金融逐渐成为世界各国可持续发展重要的战略选择。服务于碳排放贸易的碳金融业务蕴涵着巨大商机，潜在的商机和践行企业社会责任的需要使得以商业银行为代表的金融机构逐渐涉足碳金融领域。当碳金融市场出现剧烈波动时，，风险也会随之产生。对于从事碳金融业务的金融机构而言，国际碳价格的波动以及交易结算过程中的汇率波动都是不可忽视的市场风险因子。首先，确定了碳金融市场风险的两个风险因子：碳价格波动风险和汇率风险。然后，运用ARMA-GARCH模型来刻画碳价格波动风险和汇率风险收益率序列的边缘分布，通过构建ARMA-GARCH边缘分布来获取碳价格波动风险和汇率风险收益率序列的标准化残差序列，采用Copula函数对所得到的标准化残差序列进行建模，构建出Copula-ARMA-GARCH的相关结构模型，选择最优拟合的Copula函数，构建碳价格波动风险和汇率风险的市场风险整合风险。最后，运用Monte Carlo模拟方法计算出碳金融市场风险整合风险的风险价值VaR，并在此基础上进行了实证研究。通过实证得到的结论是：不考虑碳金融市场风险不同风险因子之间的实际相关性会高估碳金融市场风险的整合风险；在相同的置信度下，随着碳价格波动风险资产比例的增加，整合风险价值也在不断的增加；在相同数量的资产下，潜在的碳价格波动风险大于汇率风险。
[Abstract]:With the rise of low-carbon economy and the rapid development of carbon emissions trading market, carbon finance has gradually become an important strategic choice for the sustainable development of countries in the world. The potential business opportunities and the need to practice corporate social responsibility make the financial institutions represented by commercial banks gradually step into the carbon finance field. For financial institutions engaged in carbon finance, the fluctuation of international carbon price and the fluctuation of exchange rate in the course of trading and settlement are all the market risk factors that can not be ignored. Firstly, two risk factors of carbon financial market risk are determined: carbon price volatility risk and exchange rate risk. ARMA-GARCH model is used to describe the marginal distribution of carbon price volatility risk and exchange rate risk return series. The standardized residuals of carbon price volatility risk and exchange rate risk return series are obtained by constructing ARMA-GARCH edge distribution. The standardized residual sequence is modeled by Copula function, and the related structure model of Copula-ARMA-GARCH is constructed. Select the optimal fitting Copula function to construct the market risk integration risk of carbon price volatility risk and exchange rate risk. Finally. The Monte Carlo simulation method is used to calculate the risk value of the risk integration risk in the carbon financial market, and an empirical study is carried out on this basis. The conclusion is that the integration risk of carbon financial market risk will be overestimated if the actual correlation among different risk factors is not considered; Under the same confidence level, with the increase of carbon price volatility risk asset ratio, the integration risk value is also increasing; Under the same number of assets, the potential carbon price volatility risk is greater than the exchange rate risk.
【学位授予单位】：合肥工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.5;F224

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