排放權交易之市場風險管理

Abstract

根據世界銀行統計，目前全球碳交易成交金額已超過 1,400 億美元，交易量更超過8,000百萬噸二氧化碳當量，我國金管會於民國 97 年允許期貨商交易英國洲際期貨交易所之碳商品期貨，意謂著國內碳交易的參與者將日漸增加，本研究以風險管理的角度出發，運用簡單移動帄均模型、RiskMetrics 模型、GARCH 模型及 Power EWMA 模型建立風險值模型，並以穿透率檢定、資金使用效率及損失嚴重性指標進行模型驗證，提供金融機構及金融監管機關一個有效監控排放權交易市場風險之方法，研究結果發現管理角度以及管理者風險趨避程度不同，可能導致最適風險模型因此而有所差異。

According to the World Bank, the volume of transactions of carbon market has grown rapidly from 710 million tons in 2005 to 8,700 million tons in 2009. The futures commission merchants in Taiwan have been permitted to transact European Climate Exchange carbon financial instruments futures contracts in Intercontinental Exchange since 2008. In this paper we focus on the risk management in the carbon market, using simple moving average model, RiskMetrics model, GARCH model and Power EWMA model to calculate Value-at-Risk. Meanwhile, the performances of these VaR models are compared applying the failure test, capital efficiency and loss severity. After the model selection procedure, we determine an optimal VaR model for emissions trading for financial institutions and regulators.