国际碳排放权交易市场风险评估研究综述  

Literature Review of the Risks of International Carbon Emission Trading Markets

作　　者：韩晓月 杨爱军(指导) HAN Xiao-yue(College of Economics and Management,Nanjing Forestry University,Nanjing 210037,China)

机构地区：[1]南京林业大学经济管理学院,南京210037 [2]不详

出　　处：《中国林业经济》2020年第6期59-61,共3页China Forestry Economics

摘　　要：碳排放权交易市场具有很大的不确定性,碳价极其不稳定,主要以碳排放权交易市场风险评估为主线,从碳排放权交易市场风险评估方法、碳价收益率分布及收益率波动建模三个方面对以往文献进行回顾。梳理之后发现目前对碳排放权交易市场风险的评估大多基于t分布或广义误差分布构建GARCH族模型计算其在险价值。然而对碳排放权交易市场风险评估的研究落后于其他金融市场,股票市场金融风险评估的最新方法还未应用于碳排放权交易市场。另外,GARCH模型适用性有所缺陷,模型的估计结果可能并不十分理想,因而期待将来出现更适合评估碳排放权交易市场风险的模型。With the formal entry into force of Kyoto Protocol,carbon emission rights have become an inter⁃national commodity,more and more institutions participate in it,and derivatives based on carbon trading are emerging.However,the carbon emission trading market has great uncertainty,and the carbon price is extremely unstable.This paper mainly focused on the risk assessment of carbon emission trading market,and reviewed the previous literature from three aspects:the risk assessment method of carbon emission trading market,the distribution of carbon price return rate and the modeling of return rate volatility.After combing,it found that most of the current risk assessment of carbon emission trading market was based on t-distribution or generalized error distribution to build GARCH family model to calculate its value at risk.However,the research on risk assessment of carbon emission trading market lags behind other financial markets,and the latest method of financial risk assessment of stock market has not been applied to carbon emission trading market.In addition,the applicability of GARCH model has some defects,and the estima⁃tion results of the model may not be very ideal.Therefore,it is expected that there will be a more suitable model to assess the market risk of carbon emission trading in the future.

关 键 词：碳排放权交易市场 市场风险 文献综述 

分 类 号：F832.5[经济管理—金融学]