基于copula模型的碳金融市场风险融合度量

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1、TheIntegratedMeasurementBasedontheCopulaModelabouttheMarketRiskofCarbonFinanceABSTRACTWiththepopularityoflow-carboneconomyandtherapiddevelopmentofthecarbonemissiontradingmarket，carbonfinanceisbecominganimportantstrategicchoicefornationalsustainabledevelopmentallovertheworld．Thecarbonfinance，whi

2、chserversforthecarbonemissiontrade，impliesatremendousbusinessopportunities．Inconsiderationofthepotentialbusinessopportunitiesandtherequirementforenterprisestopracticesocialresponsibilities，financialinstitutionsrepresentedbycommercialbanksgraduallyinvolveinthefieldofcarbonfinance．Whentherearewil

3、dfluctuationsinthecarbonfinancialmarket，theriskwouldcome．Forfinancialinstitutions，thesemarketriskfactorssuchasthefluctuantpriceriskofcarbonandtheexchangerateriskduringtransactionsettlementcannotbeoverlooked．First，thispaperdeterminestworiskfactorsaboutthemarketriskofcarbonfinance：thefluctuantpri

4、ceriskofcarbonandtheexchangeraterisk．Then，theauthorusestheARMA—GARCHmodeltodepictthemarginaldistributionofsequenceofthefiuctuantpriceriskofcarbonandthereturnrateoftheexchangeraterisk．ByconstructingthemarginaldistributionoftheARMA-GARCH，thestandardizedresidualssequenceofthefluctuantpriceriskofca

5、rbonandthereturnrateoftheexchangerateriskcanbeobtained．WiththeadoptionofCopula，theauthorbuildstherelevantmodelofCopula—-ARMA··GARCHaccordingtothestandardizedresidualssequence，andthenchoosestheoptimalfittingCopulatoestablishtheintegratedmarketrisksofthefluctuantpriceofcarbonandexchangerate．Final

6、ly,makinguseofMonteCarloAnalog，theauthorcalculatestheriskvalueVaRoftheintegratedmarketrisksofcarbonfinance．Andonthisbasis，anempiricalstudyisalsodone．Accordingtotheempiricalstudy，themainresultsareasfollows：First，iftheactualrelevancyofdifferentmarketriskfactorsisnotconsidered，theintegratedmarketr

7、iskofcarbonfinancewillbeoverestimated．Second，withthesamedegreeofconfidence，thereisadirectproportionrelationshipbetweentheintegratedvalueofmarketriskandtheriskassetsratioofcarbonprice．Lastbutnotleast，withthesameamountofassets，thepo