碳金融产品价格特性及风险管理
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摘要
作为新兴金融产品,碳金融产品是碳金融体系构建和完善的中坚力量,也是碳金融产品交易市场的基础工具。而价格作为碳金融产品交易的核心部分,无论是从价格本身的信息作用或是对市场参与者的收益影响来看,都极为重要。
碳金融产品价格的特殊性主要表现在其是以排放权为基础商品的本质上。从市场参与者的角度分析,碳金融产品价格决定主要受到政策、配额供给和需求因素的影响。这些要素复杂、繁冗的影响机理使得碳金融产品在价格上表现出了许多特殊性,其中包括跳跃性、非平稳性、价格易变性以及分布的非正态性,这些特性触及了传统的金融产品的定价模型和风险测度模型的局限性,而需要使用拓展的模型来解决该类产品的问题。包括,对比了传统布莱克-斯科尔斯期权定价方法与蒙特卡罗期权价格模拟法的预期结果,得到了后者更具适用性的结果；对比了传统的VaR风险测定模型,发现C-VaR模型更为适合碳金融产品风险测度。
除此之外,频繁波动的价格表现也为碳金融产品的风险管理提出了迫切需求,由于碳金融产品种类丰富,同时与生态、经济关联性强的产品较多,因此,多元化的投资策略对碳金融产品投资者的风险规避来说是一个较好的选择。
As an emerging financial product, carbon financial products are the power to build and impr ove the backbone of carbon market financial products and also the basic tools of the carbon f inancial products trading market. Price is the core part of the trading of carbon financial prod ucts, in terms of both of its informational role of price or the income impact of market partici pants.
The specialty of the price of carbon financial products is because of its nature as being based onemissions of underlying commodity. Analyzing from the point of view of market participa nts, the carbon financial product prices are affected mainly by the policy, the supply quota an d demand factors. These elements' complex and burdensome impact mechanism makes carb on financial products showing lots of their specialty, including jumping, unstationarity, price variability and distribution of non-normality. These features touch the limitations of tradition al financial products pricing models and risk estimation models and need to use extended mo del to solve the problems of such products. This includes comparing the traditional Black-Scholes option pricing methods to the expected results of the simulation of the Monte Carlo option prices, leading to the latter is more applicable; comparing traditional VaR risk measur ement models and finding that the C-VaR model is more appropriate for risk measure of carb on financial products.
In addition, frequent fluctuations in price performance also call for the urgent needs of carbo n financialproducts risk management. With the varieties of carbon financial products and stro ng relevance with both ecological and economic products, diversified strategy carbon financi al products investment is a better choice for the investors to avoid risk.
碳金融产品价格的特殊性主要表现在其是以排放权为基础商品的本质上。从市场参与者的角度分析,碳金融产品价格决定主要受到政策、配额供给和需求因素的影响。这些要素复杂、繁冗的影响机理使得碳金融产品在价格上表现出了许多特殊性,其中包括跳跃性、非平稳性、价格易变性以及分布的非正态性,这些特性触及了传统的金融产品的定价模型和风险测度模型的局限性,而需要使用拓展的模型来解决该类产品的问题。包括,对比了传统布莱克-斯科尔斯期权定价方法与蒙特卡罗期权价格模拟法的预期结果,得到了后者更具适用性的结果；对比了传统的VaR风险测定模型,发现C-VaR模型更为适合碳金融产品风险测度。
除此之外,频繁波动的价格表现也为碳金融产品的风险管理提出了迫切需求,由于碳金融产品种类丰富,同时与生态、经济关联性强的产品较多,因此,多元化的投资策略对碳金融产品投资者的风险规避来说是一个较好的选择。
As an emerging financial product, carbon financial products are the power to build and impr ove the backbone of carbon market financial products and also the basic tools of the carbon f inancial products trading market. Price is the core part of the trading of carbon financial prod ucts, in terms of both of its informational role of price or the income impact of market partici pants.
The specialty of the price of carbon financial products is because of its nature as being based onemissions of underlying commodity. Analyzing from the point of view of market participa nts, the carbon financial product prices are affected mainly by the policy, the supply quota an d demand factors. These elements' complex and burdensome impact mechanism makes carb on financial products showing lots of their specialty, including jumping, unstationarity, price variability and distribution of non-normality. These features touch the limitations of tradition al financial products pricing models and risk estimation models and need to use extended mo del to solve the problems of such products. This includes comparing the traditional Black-Scholes option pricing methods to the expected results of the simulation of the Monte Carlo option prices, leading to the latter is more applicable; comparing traditional VaR risk measur ement models and finding that the C-VaR model is more appropriate for risk measure of carb on financial products.
In addition, frequent fluctuations in price performance also call for the urgent needs of carbo n financialproducts risk management. With the varieties of carbon financial products and stro ng relevance with both ecological and economic products, diversified strategy carbon financi al products investment is a better choice for the investors to avoid risk.
引文
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[33] 孙立军.国外碳信用市场发展与我国碳金融产品创新研究[J].经济纵横,2010,(6)：30-79.
[34] 王遥.碳金融-全球视野与中国布局[M].北京：中国经济出版社,2010,186-190.
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[5] Benz,E., Truck,S. CO2 Emission Allowances Trading in Europe-Specifying a new Class of Asset[J]. Problems and Perpectives in Management,2006.
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[8] 洪娟,陈静.我国碳交易市场价格影响因素分析[M].价格理论与实践.
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[15] George Daskalakis, Dimitris Psychoyios. Raphael N. Markellos. Modeling CO2 emission allowance prices and derivatives:Evidence from the European trading scheme[J]. Journal of Banking & Finance,2009. (1):1-35.
[16] Uhrig-Homburg,M, Wagner,M. Futures Price Dynamics of CO2 Emission Certificates-An Empirical Analysis[J] [J] [J]. University of KarlsruheWorking Paper,2007
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[23] 许正山.VaR、CVaR方法的改进及其在金融风险度量中的应用[D].2010,武汉理工大学硕士论文.
[24] 徐雅娉.基于均值-CVaR的投资组合优化问题研究[D].青岛大学硕士论文.
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[28] 郇志坚,李青.碳金融：原理、功能与风险[J].金融发展评论,2010,(8)：102-122.
[31] 王遥.碳金融-全球视野与中国布局[M].北京：中国经济出版社,2010,37.
[32] 杨志,陈波.碳交易市场走势及欧盟碳金融全球化战略研究[J].经济纵横,2011,(1)：25-29.
[33] 孙立军.国外碳信用市场发展与我国碳金融产品创新研究[J].经济纵横,2010,(6)：30-79.
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