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Modelling extreme risks for green bond and clean energy.

Jinghua Zhuo1, Xiaohang Ren2, Kun Duan3

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Summary

This study assessed extreme risk in green bonds and clean energy markets using Value at Risk (VaR) and Expected Shortfall (ES). The clean energy market showed significant volatility post-COVID-19, unlike the stable green bond market.

Keywords:
Clean energyExtreme riskGreen bondStructural breakVaR and ES

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Area of Science:

  • Financial Economics
  • Risk Management
  • Sustainable Finance

Background:

  • Traditional risk measures like Value at Risk (VaR) and Expected Shortfall (ES) are widely used in financial markets.
  • Limited research exists on extreme risk measurement in emerging markets, specifically green bonds and clean energy sectors.
  • The COVID-19 pandemic introduced significant volatility, necessitating updated risk assessment models.

Purpose of the Study:

  • To estimate and compare extreme risk in the SP500 Green Bond (GB) and Global Clean Energy (GCE) markets.
  • To evaluate the performance of traditional and semi-parametric models in capturing market fluctuations.
  • To identify market stability and identify potential structural breaks in these emerging financial sectors.

Main Methods:

  • Employed traditional models and semi-parametric models with simultaneous excitation functions.
  • Utilized Value at Risk (VaR) and Expected Shortfall (ES) as primary risk indices.
  • Conducted breakpoint scans on model predictions to detect market regime shifts.

Main Results:

  • The green bond market demonstrated relative stability, with no significant breakpoints detected.
  • The global clean energy market exhibited sharp fluctuations post-COVID-19, with representative models showing at least two breakpoints.
  • The GARCH model with normal innovations outperformed other traditional models, while the GARCH-FZ model showed the best fit among semi-parametric candidates.

Conclusions:

  • The green bond market is more stable than the clean energy market, especially after the pandemic.
  • Accurate risk measurement models are crucial for navigating volatility in sustainable finance markets.
  • Findings offer valuable insights for governments, corporations, and investors in managing risks within green financial instruments.