基于Copula模型的商业银行碳金融市场风险整合度量

The Integrated Measurement about Carbon Finance Market Risk of Commercial Banks Based on Copula Model

目前低碳经济已经成为转变经济发展方式的战略措施之一,碳金融业务逐渐成为金融机构助力低碳经济发展的重要金融创新领域,而风险控制问题始终是影响金融创新成败的关键。目前中国的碳金融市场以清洁发展机制(CDM)下商业银行参与的间接金融为主导,商业银行参与碳金融业务面临国际碳价波动、碳交易结算货币汇率波动等诸多风险,且多源风险因子之间具有业务共生性和复杂相关性。论文选取2009-2012年美国洲际交易所(ICE)的核证减排量CERs期货价格和欧元兑人民币汇率价格作为金融时间序列的样本数据,探究运用ARMAGARCH模型分别刻画碳价风险和汇率风险特性的方法,研究处理风险因子间的非线性相关关系的Copula函数方法,构建Copula-ARMA-GARCH模型并利用Monte Carlo模拟计算碳市场多源风险的整合VaR。实证发现:碳金融市场收益率具有波动聚集性和异方差特性;潜在的碳价风险要高于汇率风险;若忽视不同风险因子之间的相关性会高估碳市场风险;政府汇率监管在一定程度上降低了碳市场的风险。研究贡献在于探究符合碳金融资产风险特征的多源风险整合度量技术,为商业银行有效控制碳市场风险、促进碳金融创新提供理论依据。

Currently the low-carbon economy has become one of the strategic transformations of economic development measures. Carbon financial business has become an important innovation field in the financial sector that financial institutions boost the development of low-carbon economy. While the risk control is always the key factor affecting the success of financial innovation. As a developing country, China takes part in the international carbon financial transactions relying on Clean Development Mechanism （CDM）. Under the CDM, indirect finance dominates carbon financial market where commercial banks play the im- portant intermediary role. With the emerging of low-carbon economy in China, many financial institutions, especially the commercial banks, explore a lot of carbon financial business such as credit support business as CERs usufruct pledge loan, factoring financing, CDM equipment leasing, and other services as financial advisers, financial products of carbon credits, carbon accounts hosting business. Participating in the car- bon finance business, banks are facing many risks as international carbon price fluctuations, carbon trading settlement currency exchange rate fluctuations and so on. And between the multi-source risk factors, a symbiotic and complexity of correlation is exist. In this paper, the carbon financial market risk of commer- cial banks is investigated in this paper, and ICE CERs future price and the EURO against CNY exchange rate as two risk factors financial time series sample data, which are chosen in the websites of Intercontinen- tal Exchange （ICE） and State Administration of Foreign Exchange （SAFE） from 2009 to 2012 are select- ed. First, according to financial time series＇ feature, ARMA-GARCH models are used to portray the char- acterization of carbon price risk and exchange rate risk, the treatment methods for nonlinear relationship between the risk factors on Copula function are studied, and then the integrated VaR of carbon market risk through building Copula-ARMA-GARCH model and Monte Carlo simulation is calculated. Our empirical study shows that： （1） Financial time series of carbon price and exchange rate are both volatility clustering and heteroscedasticity. （2） Compared with risk factors＇ VaR, carbon price risk is higher than exchange rate risk in the carbon transactions. （3） If the correlation of carbon market risk factors is ignored, risk will be overestimated. （4） Supervision on exchange rate can reduce carbon market risk in a certain extent. This article contributes to find out amulti-source risks integration measurement technique to accord with the characteristic of carbon financial assets price volatility. The carbon financial risk factors have various sources and symbiotic, therefore, portraying the characteristics of risk factors respectively then the inte- gration provides a theoretical framework for the multi-source risk measurement research; it provides theo-retical basis for commercial banks to control the carbon market risks effectively, and promote carbon fi- nance innovation.