Estimating the Portfolio Risk with Copula-GARCH-EVT Method: Empirical Study of Carbon Market

Ting Li; Zhi Gang Zhang; Lu Tao Zhao

doi:10.4028/www.scientific.net/AMR.791-793.2175

Paper Titles

Risk Management Strategy of Floorball in Universities
p.2159

Analysis of Reserve Scale Optimization of Equipment Material for Emergency Operation
p.2162

Research on Efficiency of Engineering Cost Consulting Industry in China Based-on DEA Model
p.2166

A Static Game Study between Food Enterprises Based on Value Perception Differences of Food Quality and Safety
p.2171

Estimating the Portfolio Risk with Copula-GARCH-EVT Method: Empirical Study of Carbon Market
p.2175

A Revenue Sharing Model for Closed-Loop Supply Chain of Green Agricultural Products
p.2179

The Analysis of South Lake Based on Hedonic Model in Xi'an Influence on the Peripheral Real Estate Value
p.2183

Study on the Effect of Regulation Project of Bifurcation on Flow Characteristics of Sink Reach of River Flowing into the Lake
p.2188

Evaluation Method of Talents Comprehensive Skills on Japan-Oriented Software Outsourcing
p.2192

HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 791-793Estimating the Portfolio Risk with...

Estimating the Portfolio Risk with Copula-GARCH-EVT Method: Empirical Study of Carbon Market

Abstract:

With the rapid growth of the carbon market, carbon price fluctuations are increasingly important for market participants. Carbon market risk directly affects the investor confidence and emission reduction results. In this paper we use Copula-GARCH-EVT model to calculate the Value-at-Risk of carbon futures via Monte Carlo method and demonstrate that GARCH-EVT model is the proper marginal distribution, it has higher accuracy than other marginal distribution models. The method of Copula is better than the traditional covariance metric method.

You might also be interested in these eBooks

View Preview

Info:

Periodical:

Advanced Materials Research (Volumes 791-793)

Pages:

2175-2178

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.791-793.2175

Citation:

Cite this paper

Online since:

September 2013

Authors:

Ting Li, Zhi Gang Zhang, Lu Tao Zhao

Keywords:

Carbon Market, Copula Function, GARCH-EVT Method, Portfolio VaR

Export:

RIS, BibTeX

Price:

Permissions CCC:

Request Permissions

Permissions PLS:

Request Permissions

Сopyright:

Citation:

References

[1] William Blytha, Derek Bunnb, Janne Kettunenb, Tom Wilson . Policy interactions, risk and price formation in carbon markets[J]. Energy Policy. 2009. 37(12): 5192-5207.

DOI: 10.1016/j.enpol.2009.07.042

Google Scholar

[2] Rodney R. White . Carbon Finance: The Financial Implications of Climate Change. JOHN WILEY & SONS INC. (2007).

Google Scholar

[3] Julien Chevallier. A model of carbon price interactions with macroeconomic and energy dynamics. Energy Economics. 2011. 33(6): 1295-1312.

DOI: 10.1016/j.eneco.2011.07.012

Google Scholar

[4] ZHANG Yue-jun, WEI Yi-ming. Interpreting the mean reversion of international carbon futures price: Empirical evidence from the EU ETS. Systems Engineering-Theory & Practice, 2011. 2(21): 214-220.

Google Scholar

[5] Feng Zhenhua, Wei Yiming. Systematic risk and Expectations of Returns in EU Carbon Market. Chinese Journal of Management, 2011. 8(3): 451-455.

Google Scholar

[6] Wei Yan-hua, Zhang Shi-ying. Multivariate Copula-GARCH Model and Its Applications in Financial Risk Analysis. Application of Statistics and Management, 2007, 26(3): 432-439.

Google Scholar

[7] Zhang Mingheng. Value-at-Risk Description of Multi-assets by Use of Copulas. Quantitative and Technical Economics. 2004, 21(4): 67-70.

Google Scholar