清洁发展机制下的投资项目风险评价研究

发布时间：2018-06-17 04:13

本文选题：碳交易 + 清洁　；参考：《成都理工大学》2015年硕士论文

【摘要】：人类活动排放的温室气体导致全球气候变暖,海平面上升,影响人类的生存与发展,世界各国开始意识到减少温室气体排放的重要性。《京都议定书》的生效,标志着国际社会开始以法律手段来限制温室气体的排放,其中采取的重要交易机制之一就是碳排放交易。《京都议定书》规定了三种灵活履约方式:清洁发展机制(CDM)、联合实施机制(JI)、国际排放权交易体系(IET)。我国目前只有CDM一种交易机制。CDM虽为发展中国家带来了可观的碳减排收益,但由于宏观环境和CDM自身的特性,在CDM项目投资过程中,存在很多不确定因素,影响项目收益。提高CDM风险管理水平,是研究的当务之急。本文以风电、水电、森林碳汇、HFC-23分解等四种CDM项目为研究对象,借助蒙特卡洛模拟法、概率统计、现代投资理论等方法与理论,综合运用定性分析与定量分析相结合的方法解决分散CDM投资风险的问题。首先,对问题产生的背景、相关理论、研究现状做详细介绍,对我国CDM市场发展现状进行分析,并总结存在的问题。其次,识别CDM风险类型,构建评价指标,利用蒙特卡洛模拟法仿真净现值率,并统计仿真结果的概率分布和累积概率来评价风险。借鉴现代投资组合理论的思想,提出利用投资组合的方法来分散风险。以均值-方差模型为基础,结合CDM自身特点,构建了CDM项目投资组合模型,遴选出最优投资组合。最后,结合本文研究结果,提出针对CDM项目的风险应对策略。本文取得的进步是:(1)本文在对CDM的风险进行充分识别后,以指标变量表征风险因素,达到量化风险的目的。针对四类CDM项目面临的风险因素不同,为四类CDM项目分别创建了不同的NPV计算公式,其中包含的变量不同,即体现了不同风险因素对不同项目的影响。(2)本文提出投资组合这一风险分散策略,并以现代投资理论作指导,将用于证券投资领域的均值-方差模型与我国CDM实际情况相结合,构建了CDM项目投资组合优化模型,以单位风险收益最大化的思路甄选出最优投资比例,并且考察了成本、CER单价在不同变动下对投资组合的影响,为投资者提供更全面的风险影响认识,对CDM项目的投资决策具有一定指导作用。随后提出风险应对策略,不仅避免了定性研究的纸上谈兵,而且结合了定量研究和定性研究的长处,更有针对性和说服力。
[Abstract]:The greenhouse gases emitted by human activities cause global warming and sea level rise, which affect the survival and development of mankind. The countries of the world are beginning to realize the importance of reducing greenhouse gas emissions. The entry into force of the Kyoto Protocol, Marking the start of a legal effort by the international community to limit greenhouse gas emissions, One of the important trading mechanisms is carbon emissions trading. The Kyoto Protocol provides for three flexible implementation modes: the Clean Development Mechanism (CDM), the Joint implementation Mechanism (JI), and the International emissions Trading system (IET). At present, there is only one transaction mechanism of CDM in China. Although CDM has brought considerable carbon emission reduction benefits to developing countries, because of the macro environment and the characteristics of CDM itself, there are many uncertain factors in the process of CDM project investment, which affect the project income. It is urgent to improve the level of CDM risk management. In this paper, four CDM projects, wind power, hydropower, forest carbon sequestration and HFC-23 decomposition, are taken as research objects, and Monte Carlo simulation method, probability statistics, modern investment theory and other methods and theories are used. The method of qualitative analysis and quantitative analysis is used to solve the problem of dispersing CDM investment risk. First of all, the background of the problem, related theory, research status quo is introduced in detail, the development of CDM market in China is analyzed, and the existing problems are summarized. Secondly, the CDM risk type is identified, the evaluation index is constructed, the net present value rate is simulated by Monte Carlo simulation method, and the probability distribution and cumulative probability of simulation results are calculated to evaluate the risk. Using the modern portfolio theory for reference, this paper puts forward the method of using portfolio to disperse risk. Based on the mean-variance model and the characteristics of CDM, the portfolio model of CDM project is constructed and the optimal portfolio is selected. Finally, according to the results of this paper, the risk management strategy for CDM projects is proposed. The progress of this paper is: (1) after fully recognizing the risk of CDM, the risk factors are represented by the index variable to achieve the purpose of quantifying the risk. In view of the different risk factors faced by the four types of CDM projects, different NPV calculation formulas are created for the four types of CDM projects, which contain different variables. That is to say, it reflects the influence of different risk factors on different projects. (2) this paper puts forward the risk dispersion strategy of portfolio. Under the guidance of modern investment theory, the mean-variance model used in the field of securities investment is combined with the actual situation of CDM in China. In this paper, a portfolio optimization model of CDM project is constructed, and the optimal investment ratio is selected according to the idea of maximizing the return per unit risk, and the influence of cost and CER unit price on portfolio is investigated. To provide investors with a more comprehensive understanding of risk impact, CDM project investment decisions have a certain guiding role. Then the paper puts forward the risk coping strategy, which not only avoids the paper talk of qualitative research, but also combines the advantages of quantitative and qualitative research, and has more pertinence and persuasion.
【学位授予单位】：成都理工大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F283

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