Multi-Source Correlation Factor Analysis of Carbon Finance Market Risk Based on Copula
Low carbon economy has become the important impetus for the sustainable development to all nations.Carbon market not only deploys resources effectively but also promotes low carbon economy development.As we know,financial market is always full of risks caused by uncertainty,meanwhile the risk is caused by multi-sources.Such as,there are capital turnover and different currency settlement ways through international trade for domestic enterprises,so the international carbon finance market risk primarily contains three correlative risk factors: carbon price volatility,interest rate volatility and exchange rate volatility.This paper taking Chinese enterprises for an example mainly uses Copula theory to analyze carbon finance market risk and measure the VaR.The research findings:(1)The three risk factors all have GARCH effect,time-varing and clustering;(2)The VaR would be overestimated if ignoring the correlation between different risk factors;(3)The integrated VaR rises with the confidence level growth;(4)Interest rate volatility is the most sensitive market risk factor in the carbon finance.
CHEN ZHANG YU YANG TAO ZHANG
School of management,Hefei University of Technology,Hefei,China
国际会议
2014 International Conference on Management and Engineering(CME 2014)(2014管理与工程国际会议)
上海
英文
1-8
2014-05-24（万方平台首次上网日期，不代表论文的发表时间）