The core issue of the development of carbon financial market is risk.This article empirically studies the risk issues in the European Union,China and various carbon financial pilot markets.Based on the transaction data and income sequence of the market,select the optimal Copula function,establish the Garch-Copula-CVAR model measurement risk status,and test the results with the failure frequency inspection method.The conclusions are as follows:in order not to overestimate the risk of carbon market,we need to con-sider the actual interaction between exchange rate and carbon price;Quantifying the risks of each carbon fi-nancial market,the pilot market in Shanghai is the largest,and the national carbon financial market is the smallest;different factors such as national economic environment and local policies will have an impact on the market risk.
关键词
市场风险/区域碳金融/最优Copula模型
Key words
Market Risk/Regional Carbon Finance/The Optimal Copula Model
维普
万方数据