基于Copula模型的中国碳市场叠加风险度量  

A Study of the Superposition Risk of China's Carbon Market Based on the Copula Model

作　　者：曾诗鸿[1,2] 贾婧敏 姚树洁 韦开蕾 钟震[7] Zeng Shihong;Jia Jingmin;Yao Shujie;Wei Kailei;Zhong Zhen

机构地区：[1]北京工业大学经济与管理学院,北京100124 [2]日本北九州市立大学国际环境工学部 [3]中国工商银行甘肃省分行,甘肃兰州730046 [4]辽宁大学李安民经济研究院,辽宁沈阳110036 [5]重庆大学经济与工商管理学院 [6]海南大学管理学院,海南海口570228 [7]国务院发展研究中心发展战略和区域经济研究部,北京100011

出　　处：《复印报刊资料（统计与精算）》2023年第5期104-116,共13页STATISTICS AND ACTUARIAL SCIENCE

基　　金：国家社会科学基金青年项目(19CJY064);国家自然科学基金(72140001、72173036);国家社科基金重大项目(22&ZD145、21ZDA11521ZDA044);北京市自然科学基金(9222002)资助。

摘　　要：中国碳排放权交易市场(简称碳市场)流动性风险与市场风险交互联动,形成中国碳市场的叠加风险。本文将流动性风险纳入中国碳市场风险管理范围之内,构建中国碳市场叠加风险的评估模型,并以深圳、北京、广东、湖北和福建五个试点碳市场(简称碳试点)为样本进行实证研究。结果表明:中国碳试点流动性风险与市场风险的相关性为负,流动性溢价理论适用于中国碳市场,因此,忽略风险因子间的风险依赖,会导致碳试点的总体风险被高估,从而增加风险管理成本。在叠加风险的度量中,碳试点的叠加风险存在一定的区域差异,此外,实证结果还表明:中国碳市场的流动性风险处于主导地位,不应被忽视。本文在理论上丰富了碳市场风险的研究,在实践上为中国碳市场多种风险管理政策的制定提供依据,并为市场参与者的投资决策提供参考.Carbon trading is a major institutional innovation that uses market mechanisms to control and reduce greenhouse gas emissions,thus enabling green and low-carbon development.Compared with other financial markets,the carbon market has unique characteristics and functions.It also has more uncertainties and higher risks than other financial markets.Different risk factors are interdependent and interactive,resulting in potential losses for investors.Therefore,it is urgent to identify various kinds of risks in the carbon market and build a carbon market risk-assessment system.In the carbon market,liquidity risk and market risk affect investors'potential losses.In addition,the two risks have a close relationship with one another,affecting the market efficiency of the carbon market.The traditional concept of market risk assumes that market price is not affected by market participants liquidation of assets.However,it is relatively common in the carbon market to see a large number of carbon quotas traded simultaneously,which is likely to cause large fluctuations in the market price,increase the market's liquidity,and affect the market's efficiency.Therefore,an analysis of risks from a single source cannot effectively measure the potential trading losses suffered by participants in the carbon market.Furthermore,it is necessary to explore the interaction between liquidity risks and market risks in the carbon market to better reveal the risk linkage mechanism of the carbon market and to comprehensively and effectively manage the market's risks.The literature on the single risk of the carbon market is deep,but it has two deficiencies.First,studies tend to ignore the multiple sources of carbon market risks,and the effects and costs of carbon market risk management are not explored in a manner that is adequately comprehensive.Second,in the study of superposition risks in the carbon market,scholars only consider risks such as price,exchange rate,and interest rate and do not consider the important factor of liquidity risk.Our resu

关 键 词：碳排放权交易市场(碳市场) 风险依赖 叠加风险 在险价值(VaR) COPULA模型 

分 类 号：X196[环境科学与工程—环境科学] F832.5[经济管理—金融学]