碳排放权交易风险度量模型的研究现状与展望  

Research Status and Prospects of Risk Measurement Models for Carbon Emissions Trading

作　　者：王安国 WANG Anguo(School of Accounting,Guangdong University of Foreign Studies Guangzhou,Guangdong 510006)

机构地区：[1]广东外语外贸大学会计学院,广东广州510006

出　　处：《中国商论》2023年第22期109-114,共6页China Journal of Commerce

摘　　要：在绿色发展背景下,碳金融市场成为控制全球碳排放的重要工具。深入研究碳排放市场、精准预测碳收益和风险将促进碳排放管理和绿色产业升级改造。研究表明,碳交易数据具有复杂系统中数据的多重特点:自相关、非平稳、非正态,非线性、尖峰厚尾、有偏性、波动聚集性等,使得对碳交易数据的拟合和预测困难重重。本文采用文献查阅和分析的研究方法,梳理了国内外关于碳排放权交易市场中的碳交易数据风险度量的主流模型,以期为中国相关研究提供参考依据和路线指引。Under the background of green development,the carbon fi nancial market has become an important tool to control global carbon emissions.An in-depth study of the carbon emission market and accurate prediction of carbon returns and risks will promote carbon emission management and green industry upgrading and transformation.Studies have shown that carbon trading data has multiple characteristics of data in complex systems:autocorrelation,non-smooth,non-normal,non-linearity,sharp peaks and thick tails,bias,fl uctuation aggregation,etc.,which makes fi tting and forecasting carbon trading data diffi cult.This paper adopts the research method of literature review and analysis to sort out the mainstream models at home and abroad on the risk measurement of carbon trading data in the carbon emissions trading market,to provide a reference basis and guidance for the relevant research in China.

关 键 词：碳交易市场 风险 GARCH模型 马尔科夫机制转换模型 随机波动模型 

分 类 号：F831.5[经济管理—金融学]