CAJ | 학술논문

选取欧洲碳排放权交易系统现货和期货数据，以及芝加哥气候环境交易所的数据，根据在险值理论、条件方差理论以及极值理论，构造GARCH－EVT－VaR模型，度量上述两个市场的正常波动和极端情况下的期望风险。对比两个市场的波动情况、市场效率以及市场风险，本文发现碳排放权交易市场下跌风险更大，并且下跌的信息对于市场的影响更明显。另外，认为强制性交易市场更适合碳排放权交易，且期货交易的引入增大了碳交易市场的不确定性。
선취구주탄배방권교역계통현화화기화수거，이급지가가기후배경교역소적수거，근거재험치이론、조건방차이론이급겁치이론，구조GARCH－EVT－VaR모형，도량상술량개시장적정상파동화겁단정황하적기망풍험。대비량개시장적파동정황、시장효솔이급시장풍험，본문발현탄배방권교역시장하질풍험경대，병차하질적신식대우시장적영향경명현。령외，인위강제성교역시장경괄합탄배방권교역，차기화교역적인입증대료탄교역시장적불학정성。
This paper selects spot and future data of EU ETS and the data of CCX to evaluate the risk of the two markets under extreme conditions or in order by GARCH-EVT-VaR model based on the value-at risk theory,the conditional variance theory and the extreme value theory.Compared with volatility,efficiency and risk of the two markets,it indicates that the downside risk is greater than the upside risk;the information of downside risk has more impact on the markets.It also shows that the mandatory market is more suitable for carbon trading and the futures make the carbon market more un-certain.