Research On Risk Measurement Of Regional Carbon Financial Market

In recent years,climate warming has aggravated the deterioration of the global ecological environment and the frequent occurrence of extreme weather.Countries around the world are paying more and more attention to the low-carbon transformation of economic development.Practice shows that carbon emission trading market is a very effective way of market-oriented emission reduction,and carbon market is developing rapidly in more and more countries.All along,as a responsible carbon emission country,China has actively participated in greenhouse gas emission reduction,advocated green and low-carbon economic sustainable development,applied carbon finance technology to emission reduction,and promoted the construction of unified carbon emission market on the basis of regional carbon finance market.Carbon finance is an important economic means to solve the problem of global climate change by means of marketization and to promote greenhouse gas emission reduction and low-carbon transformation.Risk monitoring and risk prevention and control in carbon finance market are the key issues in the construction and development of carbon finance market.This paper finds that among the many risks in China’s carbon financial market,market risk is the most prominent one,and there is a lack of quantitative research on market risk in China.Therefore,this paper starts from the perspective of market risk measurement to study China’s regional carbon financial market at the present stage.This paper aims to provide theoretical basis for the government,trading subjects and stakeholders of carbon financial market in policy-making,investment trading,risk prevention and control and risk supervision.Firstly,this paper systematically defines the relevant concepts,sorts out the economic theoretical basis related to carbon financial market and the formation mechanism of carbon financial market risks.Secondly,the paper analyzes the development status of domestic and foreign carbon financial markets from many perspectives.Then,taking value-at-risk(VaR)as the market risk measurement index,GARCH econometric methods under the assumption of normal distribution,standard student distribution and generalized error distribution(GED)were selected,and GARCH-Norm-VaR,GARCH-std-VaR and GARCH-GED-VaR models were constructed.Kupiec frequency test method and Christoffersen test method are introduced to test back the measurement results to investigate the risk measurement effect of the model.Finally,this paper takes eight carbon trading pilots in Hubei,Shenzhen,Chongqing,Beijing,Tianjin,Shanghai,Guangdong and Fujian as the research objects,and uses GARCH model to explore the characteristics of carbon price fluctuation in each regional carbon trading pilot,and finds that the carbon price yield all presents the characteristics of fluctuation aggregation,sharp peak and thick tail,and non-normal.The three risk measurement models are used to calculate the market VaR respectively,and the GARCH model under standard student distribution and GED distribution is found to have better risk measurement effect.Different regions have different degrees of attenuation to carbon price shocks,and the heterogeneity of external shocks has a greater impact on carbon trading prices than the internal mechanism of the market,which leads to greater market risks.Based on this,this paper puts forward relevant countermeasures and suggestions for the risk management of China’s carbon financial market from multiple aspects.