碳金融交易市场风险的VaR度量与防控——基于中国五所碳排放权交易所的分析  

VaR Measurement and Prevention of China’s Carbon Financial Trading Market Risk:Based on Analysis of Five Carbon Emission Trading Exchanges in China

作　　者：宋敏 辛强 贺易楠 SONG Min;XIN Qiang;HE Yi-nan(School of Economics,Xi’an University of Finance and Economics,Xi’an 710100,China;School of Economics,Sichuan University,Chengdu 610065,China)

机构地区：[1]西安财经大学经济学院,陕西西安710100 [2]四川大学经济学院,四川成都610065

出　　处：《西安财经大学学报》2020年第3期120-128,共9页Journal of Xi’an University of Finance and Economics

基　　金：国家社会科学基金项目(15XJL005);陕西省教育厅科研计划项目——哲学社会科学重点研究基地项目(18JZ031);中国(西安)丝绸之路研究院重点课题(2017SZ05)。

摘　　要：文章借鉴国内外相关的研究经验,分析国内外碳金融交易市场发展现状,探究我国碳金融交易市场存在的风险。通过选取中国碳金融市场的五所碳排放权交易所的每日碳交易数据作为研究对象,运用GARCH(1,1)模型分别计算五所交易所在不同置信水平下的VaR值,对我国碳金融交易市场风险进行实证分析,依据"双支柱"调控框架内容提出风险防控建议措施:健全碳金融交易所平台,培育交易服务机构;丰富碳金融衍生品,贴近企业实际需求;丰富"双支柱"体系,增强宏观审慎监管;建立健全定价机制,维护碳市价格稳定;积极培育专业人才,建立风险管理负责制。Based on relevant comments on domestic and international research,the paper introduces the current situation of carbon financial trading markets at home and abroad,and analyzes the risks in carbon financial trading market.The authors focuses on these carbon data of five carbon emission trading exchanges in China’s carbon financial market,and the GARCH(1,1)model is employed to calculate the VaR number of the five exchanges at different confidence levels.To prevent and control the risks,the paper intends to put forward some countermeasures from double-pillar system,and the measures include that we should improve the carbon financial exchange platform,and foster trading service institutions;enrich carbon financial derivatives to meet the actual needs of enterprises;enrich the"dual-pillar"system,and strengthen macro-prudential supervision;improve the pricing mechanism,and maintain stable carbon market price;cultivate professional talents,and establish risks management responsibility system.

关 键 词：碳排放 碳金融交易 市场风险度量 市场风险防控 

分 类 号：F062.1[经济管理—政治经济学] F830.9