碳金融市场集成风险测度的新方法  

A New Approach to Integrated Risk Measurement in Carbon Financial Markets

作　　者：张慧 魏佳琪 孟纹羽[2] Zhang Hui;Wei Jiaqi;Meng Wenyu(School of Mathematics and Quantitative Economics,Shandong University of Finance and Economics,Jinan 250014,China;School of Finance,Shandong University of Finance and Economics,Jinan 250014,China)

机构地区：[1]山东财经大学数学与数量经济学院,济南250014 [2]山东财经大学金融学院,济南250014

出　　处：《统计与决策》2023年第3期55-60,共6页Statistics & Decision

基　　金：国家自然科学基金资助项目(71803097);山东省自然科学基金面上项目(ZR2022MA029)。

摘　　要：文章选取核证减排量期货价格和欧元兑人民币汇率价格作为样本数据,基于非线性期望理论构建GE-Copula-VaR/CVaR模型,研究了碳金融市场各风险因子的不确定性与非线性相依性特征,并对碳金融市场集成风险进行动态测度。结果表明:研究期间的风险指标VaR与CVaR具有明显的时变特征,《巴黎协定》签署前的样本各风险因子波动存在更强的不确定性,碳金融市场风险较大;GE-Copula-CVaR模型在99%的置信水平下能通过Kupiec有效性检验,其准确性显著高于先进的非参数Copula-CVaR风险测度模型。This paper uses the CERs futures price and EUR/CNY exchange price as the sample data to construct the GE-Copula-VaR/CVaR model based on the nonlinear expectation theory,then studies the uncertainty and nonlinear dependence characteristics of various risk factors in the carbon financial market,and finally,dynamically measures the integrated risk of the carbon financial market.The results go as below:During the study period,the time-varying characteristics of VaR and CVaR are obvious;the volatility of risk factors before the signing of Paris Agreement is more uncertain;the risk of carbon financial market is higher.GE-Copula-CVaR model can pass Kupiec validity test at 99%confidence level,and its accuracy is significantly higher than that of advanced non-parametric Copula-CVaR risk measurement model.

关 键 词：碳金融 集成风险测度 非线性期望理论 GE-Copula-VaR/CVaR模型 

分 类 号：F831.5[经济管理—金融学]