碳金融产品价格特性及风险管理

发布时间：2019-06-04 03:40

【摘要】：作为新兴金融产品,碳金融产品是碳金融体系构建和完善的中坚力量,也是碳金融产品交易市场的基础工具。而价格作为碳金融产品交易的核心部分,无论是从价格本身的信息作用或是对市场参与者的收益影响来看,都极为重要。碳金融产品价格的特殊性主要表现在其是以排放权为基础商品的本质上。从市场参与者的角度分析,碳金融产品价格决定主要受到政策、配额供给和需求因素的影响。这些要素复杂、繁冗的影响机理使得碳金融产品在价格上表现出了许多特殊性,其中包括跳跃性、非平稳性、价格易变性以及分布的非正态性,这些特性触及了传统的金融产品的定价模型和风险测度模型的局限性,而需要使用拓展的模型来解决该类产品的问题。包括,对比了传统布莱克-斯科尔斯期权定价方法与蒙特卡罗期权价格模拟法的预期结果,得到了后者更具适用性的结果；对比了传统的VaR风险测定模型,发现C-VaR模型更为适合碳金融产品风险测度。除此之外,频繁波动的价格表现也为碳金融产品的风险管理提出了迫切需求,由于碳金融产品种类丰富,同时与生态、经济关联性强的产品较多,因此,多元化的投资策略对碳金融产品投资者的风险规避来说是一个较好的选择。
[Abstract]:As a new financial product, carbon financial product is the backbone of the construction and perfection of carbon financial system, and it is also the basic tool of carbon financial product trading market. Price, as the core part of carbon financial product trading, is very important both from the information function of price itself and the impact on the income of market participants. The particularity of carbon financial product price is mainly manifested in the essence that it is based on emission rights. From the point of view of market participants, the price determination of carbon financial products is mainly affected by policy, quota supply and demand factors. These factors are complex and complicated, which makes carbon financial products show many specialties in price, including jump, non-stationarity, price variability and non-normality of distribution. These characteristics touch on the limitations of the traditional pricing model and risk measurement model of financial products, and we need to use the extended model to solve the problem of this kind of products. Including, the expected results of the traditional Black-Scholes option pricing method and the Monte Carlo option price simulation method are compared, and the results of the latter are more applicable. Compared with the traditional VaR risk measurement model, it is found that C-VaR model is more suitable for carbon financial product risk measurement. In addition, the price performance of frequent fluctuations also puts forward an urgent demand for the risk management of carbon financial products. Because there are many kinds of carbon financial products, and there are many products with strong ecological and economic relevance, therefore, Diversified investment strategy is a good choice for risk aversion of carbon financial products investors.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.5

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