| Under the "dual carbon" goal,for domestic industrial enterprises,carbon reduction,and green development have changed from "optional" to "required",and traditional highcarbon industries are facing increasing pressure to reduce emissions.Innovation of marketoriented financing tools based on carbon emission rights can not only effectively revitalize the carbon assets of enterprises,but also solve the problem of mortgage and pledge financing.However,the drastic fluctuation of carbon emission price will bring great uncertainty to the costs and benefits of enterprises participating in carbon trading.Therefore,based on the perspective of risk hedging,this paper designs a financing product linked to carbon emission rights for emission reduction enterprises.First of all,this paper analyzes the carbon emission reduction space and financing demand of domestic enterprises from the aspects of greenhouse gas emission accounting and policy background,inserts the clause that the coupon is linked to the price change of carbon emission rights into the financing product design,and designs the relevant elements of the product.Secondly,this paper constructs a pricing model of the product,and takes the price data of Hubei Carbon Emission Trading Center from January 1,2018 to December 31,2021 as the research sample for parameter estimation.Under the constant coefficient model,the fractional Black-Scholes option pricing model is used to get the analytical expression of product value.Under the variable coefficient model,CIR model is introduced to describe the dynamic interest rate,and Monte Carlo simulation is used to determine the return distribution and theoretical value of the product.The results show that the theoretical value of the product under two pricing models is slightly higher than the issue value.The excess part is the risk compensation given by the issuer to investors,and the financing cost is acceptable.Thirdly,this paper conducts a back-test analysis on the product value.We find that the back-test results obtained by the two pricing models are relatively close,with the discount rates of 1.725%and 1.658%,respectively.However,the product value based on historical data is lower than the issue value.The possible reason is that the low carbon market activity and the imperfect price mechanism have caused the price of carbon emission rights to be low and the upward trend is not significant.Finally,this paper also discusses the potential risks of the product,and provides some feasible suggestions for product release. |
