A Study On The Valuation Of Green Financial Bonds In China

In 2016,China opened the development of green financial bonds,which is a new type of green financial financing tool for the main purpose of raising funds for the construction of green projects such as green recycling and low-carbon development,and green financial bonds are green bonds and an indispensable part of the green financial system.The emergence and development of green financial bonds in China has a pivotal and positive role in maintaining the natural ecological environment and promoting stable economic development.In this paper,through the analysis of the relevant information of green financial bonds publicly issued in China,we find that: green financial bonds have the special characteristics of option nature and maturity mismatch,and there are problems such as the lack of unified environmental benefit indicators and the lack of professional evaluation institutions,etc.Meanwhile,the increasing number of green financial bonds and the complex structure of products have led to the high difficulty of their valuation,in addition,the value of the green part of green financial bonds is easily ignored and their prices In addition,the value of the green part of green financial bonds is easily ignored and their prices may be undervalued.Therefore,this paper takes the valuation of green financial bonds in China as the research object,aiming to provide a certain theoretical basis for the estimation of the investment value of green financial bonds in China and enrich the relevant research on green financial bonds by conducting valuation research on green financial bonds.In order to achieve this research objective,this paper specifically views green financial bonds as a combination of fixed rate bonds and options based on the special nature of green financial bonds,and considers that the valuation of green financial bonds is the sum of the value of the fixed rate bonds and the "green" attributes,with the value of the fixed rate bonds using a discounted cash flow model The value of the fixed rate bond component is discounted using the discounted cash flow model,and the option pricing model is introduced to discuss the value of the "green" attribute component.Given the uncertainty and dynamism of asset investment values in the option pricing model,a GARCH model is constructed to estimate the asset volatility parameters involved in the option pricing model.This indicates that the carbon emission rights price series has a mean-reverting process and fractal characteristics,and thus the fractal Brownian motion option pricing model is used to determine the value of the"green" attribute."A generalised autoregressive conditional heteroskedasticity model was developed to predict the volatility of the log returns of carbon credits based on the results of the test.The option pricing model is solved using Monte Carlo simulation and inputting the values of the parameters to calculate the value of the ’green’ floating component of the green financial bond.Finally,a complete valuation of the first issue of 2016 green financial bonds issued by Shanghai Pudong Development Bank was carried out using the constructed valuation model and the predicted volatility parameters of the log yield of carbon emission rights,and it was found that after the environmental benefits were taken into account in the valuation model,there was a discrepancy between the theoretical value and the actual price of the results,and there was an underestimation of the actual issue price of the green financial bonds,which indicated that the This suggests that the environmental benefits of green bonds may have been overlooked.Based on the findings of the study,the following recommendations are made:relevant government departments should improve the laws and regulations related to the valuation of green financial bonds,clarify the valuation standards and guidelines,explore the formation mechanism and valuation methods of green financial bonds,and ensure the scientificity of the valuation process and the accuracy of the valuation results;issuers should standardise the scope of use of the funds raised and improve the information disclosure system to ensure more reasonable pricing results Investors can refer to the valuation model of green financial bonds constructed in this paper to calculate the investment value of green financial bonds,identify the real value of green financial bonds and make investment decisions,so as to make a contribution to the improvement of the ecological environment while obtaining investment income.