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建模绿色债券和清洁能源的极端风险
Jinghua Zhuo1, Xiaohang Ren2, Kun Duan3
1School of Mathematics and Statistics, Central South University, 410083, Changsha, China.
概括
本研究评估了绿色债券和清洁能源市场的极端风险,使用风险价值 (VaR) 和预期缺口 (ES). 清洁能源市场在COVID-19后出现了显著波动,与稳定的绿色债券市场不同.
科学领域:
- 金融经济学 金融经济学
- 风险管理 风险管理
- 可持续金融 可持续金融
背景情况:
- 传统的风险指标,如风险价值 (VaR) 和预期缺口 (ES),在金融市场上被广泛使用.
- 关于新兴市场,特别是绿色债券和清洁能源行业的极端风险测量研究有限.
- 由于COVID-19大流行引发了显著的波动,需要更新风险评估模型.
研究的目的:
- 估计和比较SP500绿色债券 (GB) 和全球清洁能源 (GCE) 市场的极端风险.
- 评估传统和半参数模型在捕捉市场波动方面的表现.
- 确定市场稳定性,并确定这些新兴金融部门的潜在结构性破裂.
主要方法:
- 采用传统模型和具有同时激发功能的半参数模型.
- 风险利用价值 (VaR) 和预期缺口 (ES) 作为主要风险指数.
- 对模型预测进行了断点扫描,以检测市场制度的转变.
主要成果:
- 绿色债券市场表现出相对稳定,没有发现任何重大断点.
- 全球清洁能源市场在COVID-19后出现了剧烈波动,代表性模型显示至少有两个断点.
- 具有正常创新的GARCH模型优于其他传统模型,而GARCH-FZ模型在半参数候选者中显示出最佳匹配.
结论:
- 绿色债券市场比清洁能源市场更稳定,尤其是在疫情后.
- 准确的风险测量模型对于应对可持续金融市场波动至关重要.
- 调查结果为政府,公司和投资者提供了宝贵的见解,帮助他们管理绿色金融工具中的风险.
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