Research On Risk And Pricing Of Carbon Financial Market In China

With the frequent occurrence of global warming and extreme weather,the coordination of environmental protection and economic growth has become a common concern of the international community,and it has become a consensus to solve this problem by building a trading market through multilateral agreements of the government.The United Nations Framework Convention on Climate Change in 1992 and The United Nations Framework Convention on Climate Change Kyoto Protocol in1997 had been clear about the necessity and importance of environmental protection by controling the greenhouse gas emissions.It is the starting point of carbon trading theory to define the property right of carbon dioxide and other greenhouse gas emission rights according to Coase theorem which could solve the the problem of environmental degradation through reasonable allocation of climate capacity resources so as to maintain the sustainable development of social economy.In 1968,the emission trading system appeared in the United States,and in 1975,the transaction of pollution letters of credit appeared for the first time.With the implementation of the Kyoto protocol and the subsequent full signing of the Paris Agreement,as well as the continuous improvement of the carbon emission trading system and carbon financial products,the international carbon finance market has been developing continuously.In order to promote sustainable economic development and enhance the image of international social responsibility,the Chinese government has always attached great importance to the development of carbon financial market.So far,China has set up seven pilot markets for trading carbon emission rights,including chongqing,hubei,Beijing,Shanghai,guangdong,shenzhen and tianjin.China's unified carbon financial trading market is being planned and established in stages,but in practice,it faces a series of basic problems,such as the lack of enthusiasm of market participants and the excessive fluctuation of product prices.This paper focuses on the risk and product pricing of China's carbon financial market,hoping to provide theoretical support for the establishment of a unified national carbon financial market.Firstly,this paper systematically analyzes the influencing factors of carbon trading price in seven major trading pilot markets in China,and empirically analyzes the credit risk and market risk of eight major commercial banks in carbon financial market with the help of econometric model.Then,it establishes a model from the perspective of expected return and transaction interval to analyze the impact of investor's risk preference.Then,MIDAS-BP neural network model is constructed to verify the effectiveness of spot pricing of carbon emissions in China.Finally,the application effects of different forecasting methods in spot carbon emission forecasting are compared,and the carbon credit asset pricing model is established to simulate the price distribution under different credit indicators in different industries.The main conclusions of this paper are as follows:First,the relationship between transaction prices and macro factors in the current Chinese pilot market is not significant.The study found that the relationship between the carbon trading price and the domestic stock market,the energy system and the world economy was weak,and the change of these variables had little impact on the carbon trading price,which further indicated that the market efficiency and liquidity of the seven major trading markets were poor.Second,commercial Banks are confronted with greater credit and market risks of carbon finance.Due to some basic reasons,commercial Banks have a high level of credit risk and market risk in the carbon finance system.Compared with other commercial Banks,the big four state-owned Banks have certain advantages in risk control.It is found that the credit risk of the four major Banks in China is smaller than that of other commercial Banks due to the influence of their own system,information acquisition,market size and business scope.In addition,the four major Banks have relatively strong risk control ability in the field of carbon finance.Other commercial Banks need to strengthen the control of credit risks in the carbon finance system.Third,investors' behavior is affected by investors' expected return on carbon trading and trading interval.The results show that the expected return distribution of carbon finance investors in China fluctuates greatly,and the extreme effect is significant.However,the market development is insufficient,resulting in low transaction frequency and long interval time.Therefore,China's carbon finance market will be in a bear market for a long time.At the same time,the price fluctuation is asymmetric,that is,enven in a reasonable expected return range,the probability of price falling is significantly higher than that of price rising.Fourth,in the spot pricing of carbon emission permits,midas-bp neural network model can overcome the shortcomings of single regression model and common combination model,and the improved combination prediction model organically includes raw coal,oil,weather,AQI and HS300.According to the prediction results,it is found that the ratio of mean square error in Chongqing and Hubei markets is large,which proves that the market operation efficiency is not high and the operation mechanism is imperfect.Fifth,the conclusions on the key factors influencing the price change of carbon financial products are as follow: First of all,there is a strong correlation between the distribution of the carbon financial product's price and the number of companies by emission controled,the simulation results shows that carbon financial product price volatility will gradually reduce and tend to be more reasonable level with the increasing number of companies to participate in the carbon financial products;Secondly,the price of carbon financial products is affected by the credit rating of participating enterprises.Through the research on the financing of enterprises with different credit levels,it is found that the higher the credit level of an enterprise is,the better the price of the carbon financial products involved will be.Finally,in order to control carbon financial risks,the information disclosure of participating enterprises needs to be established on a timely,correct and comprehensive basis,and the pricing of carbon financial products needs to be combined with the economic structure and industrial structure.Based on the research conclusions,this paper puts forward the corresponding management enlightenment from three aspects: Improving the construction of carbon financial market mechanism,promoting the innovation of carbon financial products,and strengthening international cooperation in the field of carbon finance.In terms of improving the carbon financial market mechanism,we should establish a national unified initial quota allocation mechanism for carbon emissions as soon as possible,and establish a dynamic quota adjustment mechanism to make up for the obvious mistakes in the initial allocation of carbon emission rights.When allocating carbon emissions,we should comprehensively consider the actual situation of economic development in various regions,learn from the early experience of foreign countries,and consider the combination of carbon tax principle and auction.It is suggested that the government should accelerate the construction of third-party management and service organization group from the perspective of promoting enterprise credit construction and improving MRV capacity.In terms of promoting the innovation of carbon financial products,financial services such as multi-functional compound green financing are implemented among banks,the development of carbon financial derivatives is promoted in an orderly manner,and a series of effective financial intermediary services related to carbon finance are provided.In terms of strengthening international cooperation,we should encourage banks to implement the Equator Management Principle,a professional tool for international carbon finance business,promote international carbon quota swap transactions,strengthen international cooperation in carbon finance business,and promote international coordination and industry exchange of theoretical research on carbon finance market.