欧盟碳市场风险度量分析研究基于极值理论

摘要

This paper analyzes EUA Futures and Spots in EU ETS, which is the most developed carbon market in the world. We have built EGARCH Model to describe the features of fluctuations in carbon price. What's more, Extreme Value Theory is used to analyze risk exposure for carbon price and to measure the Value at Risk for EU ETS. The results illustrate that GARCH-EVT-VaR Model can effectively measure the EU ETS market risk.%本文以欧盟碳市场欧盟碳配额的期现货价格收益率为研究对象,通过建立EGARCH模型来分析欧盟碳市场价格波动的不对称性,并采用EVT-POT理论、静态VaR和动态Va R分析等方法,对欧盟碳市场进行风险度量,有效的拟合了欧盟碳市场价格收益率序列的波动情况,得出了欧盟碳市场价格波动存在显著的不对称性,GARCH-EVT-VaR模型是评估碳市场风险的有效方法等结论.