資源描述：
《基于copula模型的碳金融市場風(fēng)險(xiǎn)融合度量》由會(huì)員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在學(xué)術(shù)論文-天天文庫。
1、TheIntegratedMeasurementBasedontheCopulaModelabouttheMarketRiskofCarbonFinanceABSTRACTWiththepopularityoflow-carboneconomyandtherapiddevelopmentofthecarbonemissiontradingmarket，carbonfinanceisbecominganimportantstrategicchoicefornationalsustainabledevelopmentallovertheworld．Thecarbonfinance，whi
2、chserversforthecarbonemissiontrade，impliesatremendousbusinessopportunities．Inconsiderationofthepotentialbusinessopportunitiesandtherequirementforenterprisestopracticesocialresponsibilities，financialinstitutionsrepresentedbycommercialbanksgraduallyinvolveinthefieldofcarbonfinance．Whentherearewil
3、dfluctuationsinthecarbonfinancialmarket，theriskwouldcome．Forfinancialinstitutions，thesemarketriskfactorssuchasthefluctuantpriceriskofcarbonandtheexchangerateriskduringtransactionsettlementcannotbeoverlooked．First，thispaperdeterminestworiskfactorsaboutthemarketriskofcarbonfinance：thefluctuantpri
4、ceriskofcarbonandtheexchangeraterisk．Then，theauthorusestheARMA—GARCHmodeltodepictthemarginaldistributionofsequenceofthefiuctuantpriceriskofcarbonandthereturnrateoftheexchangeraterisk．ByconstructingthemarginaldistributionoftheARMA-GARCH，thestandardizedresidualssequenceofthefluctuantpriceriskofca
5、rbonandthereturnrateoftheexchangerateriskcanbeobtained．WiththeadoptionofCopula，theauthorbuildstherelevantmodelofCopula—-ARMA··GARCHaccordingtothestandardizedresidualssequence，andthenchoosestheoptimalfittingCopulatoestablishtheintegratedmarketrisksofthefluctuantpriceofcarbonandexchangerate．Final
6、ly,makinguseofMonteCarloAnalog，theauthorcalculatestheriskvalueVaRoftheintegratedmarketrisksofcarbonfinance．Andonthisbasis，anempiricalstudyisalsodone．Accordingtotheempiricalstudy，themainresultsareasfollows：First，iftheactualrelevancyofdifferentmarketriskfactorsisnotconsidered，theintegratedmarketr
7、iskofcarbonfinancewillbeoverestimated．Second，withthesamedegreeofconfidence，thereisadirectproportionrelationshipbetweentheintegratedvalueofmarketriskandtheriskassetsratioofcarbonprice．Lastbutnotleast，withthesameamountofassets，thepo
