碳金融交易风险:度量与防控

Risk during Carbon Finance Transaction:Measuring and Control

在碳金融交易中,传统的金融风险呈现异质性。本文结合国外碳金融交易的实践,归纳了碳金融交易中的政策风险、信用风险、操作风险、市场风险、流动性风险、项目风险的特征与内容,对比分析了各类风险不同评估方法的优劣,建议我国政府与金融机构双管齐下,由政府在宏观层面从制度供给与环境培育的角度,对碳金融发展及风险防控进行规制和监管;金融机构通过设计全面有效的碳金融交易风险预警指标体系、构建健全的碳金融交易风险管理组织框架、设计和实施先进完善的碳金融风险管理技术、建立严格的碳金融交易风险管理责任追究机制,提升碳金融交易行为主体及监管部门的风险识别与防控能力。

The carbon finance transaction originated from the adaptation of market mechanism into the environ- mental externalities of market economy, with the scarcity of carbon emission relying on the government regulation. As a result, the carbon finance transaction has been confronted much more policy risks. Due to the complexity of con- tents, the high lever, the intertemporal feature,the high degree of uncertainty of carbon finance transaction ,tradition- al financial risks, like credit risk, operation risk, market risk, liquidity risk and project risk appear heterogeneity. We summarize the heterogeneity of carbon finance transaction, compare the measuring methods, and propose for the pre- vention and control of carbon finance transaction riskfor the establishment of supporting policies in China. At the beginning, we depict the research background. Then, we review the existing research, finding it is essen- tial to collate and analyze the different characteristics and assessing methods of financial risks in the carbon finance market. After that, we describe the features of six kinds of risks in detail. Firstly, the explicit dependence on the pol- icy implies broad exposure to policy risks. The policy risks in the carbon finance transaction are reflected in the sus- tainability of emission reduction policies and the stability of relevant certifying regulations, appearing to be exoge- nous and integrated. In 2009, the VAT fraud in EU ETS reflected the credit risk in the carbon market. The credit risks in carbon finance transaction have twofold asymmetry. The one is the outstanding asymmetry between the distri- bution of benefits and risks ; the other is the notable asymmetric information. The operation system of carbon finance transaction has several flaws. Part of these were reflected in the CER recycling in 2009 and cyber-acctacks in 2011 respectively. The operation risks seem to be prone and endogenous. The market environment is another important in- fluencing ingredient. The market risks in carbon finance transaction have their own features in time and spatial di- mension. The liquidity risks intersect with the market risks, including asset liquidity risk and liability liquidity risk. In the carbon finance market based on the project, the participants face particular project risk, mainly including approval risk, CER delivery risk and CER price risk. This specific project risk has characteristics of objectivity, con- tingence, regularity, diversity and overlap. Then, we compare the traditional and modern methods to measure the risk we mentioned earlier except the poli- cy risk due to the difficulty to quantify it. When it comes to credit risk ,we find Creditmetric model, CreditPortfolio- View model, KMV model and Credit risk ＋ model are more objective and accurate than traditional methods. For the operation risks, it is feasible to get a simple estimation using the basic indicator approach and the standardized ap- proach. If we prefer to obtain more precise outcome, we can apply the senior quantitative methods. For the market risks, the accuracy of Var is superior to the other methods. For the liquidity risks, the best choice is the La_Var model. For the project risks, we should identify the sorts of risk contained in the project, then choose the proper method to assess and sum, or using simulation to estimate directly. Finally, we provide several pieces of suggestions for the prevention and control of carbon finance transaction risks from the standpoints of financial institutions and government. For the financial institutions, it is essential to im- prove its capacity in the field of risk identification and control through various paths,like designing a comprehensive and effective early warning system, building a sound risk management framework, implementing advanced manage- ment techniques, establishing a strict accountability mechanism and so on. For the government, it should provide proper policies and regulation to match the carbon reduction policy in the macro level. Meanwhile, the government should nurture environment for the prevention, regulation and supervision of carbon finance transaction risks. The specific measures include improving the policy system, providing guidance and supervision for the financial institu- tions; perfecting carbon finance trading platform, guiding the establishment of guidelines for controlling risks in en- vironmental exchange; cultivating various service organizations, providing guidance for risk prevention and control.