环境风险与绿色金融产品定价研究

Represented by the green bonds, the innovation of green finance has become a highlight in the new normal international economy. However, the measurement of the environmental risks and the pricing of the relevant financial products are still under-researched. After identifying the nature and extensions of the environmental risks, this project aims at proposing a general principle as well as several diverse methods fitting different financial products for measuring the environmental risks. As follows, this project seeks to find out the risk structures of green financial products, providing industrial level evidences for the impact of environmental risks on the default risks. This project is also dedicated in creating the pricing methodologies of green credit and bond options, meanwhile, refining the key points about market environment for the development of green finance. The intended contributions are: (i) put forward a group of risk measurements including a general principle and the deriving ones specific to various green financial products, involving the environmental risks of not only the individual new technologies but also the industrial gathered benchmark based on energy efficiency and consequently indicating the premium of the environmental risks; (ii) model the pricing of green bond options and apply under the circumstance of interest rates going up and down, in respective, with a consideration of the price fluctuation in the carbon emissions trading markets; (iii) discover the practical connections between the environmental risks and the default risks by offering some empirical evidences of the main manufacturing industries while eventually summarizing the above connections theoretically; (iv) verify the values of information contained in the international green bond indexes and their options. The achievements of this project will provide academic supports to the innovation of green finance in not only measuring the environmental risks but also pricing the green financial products.

以绿色债券为代表的绿色金融创新已经是国际经济新常态的亮点，而环境风险度量和相关金融产品定价仍是待解决的学术问题。本课题旨在厘清环境风险的内涵与外延，提出环境风险度量的一般原理和适应不同绿色金融产品的环境风险度量方法；揭示绿色金融产品的风险结构，为环境风险对于违约风险的影响提供产业层面的证据；提出绿色信贷和债券的期权定价方法；提炼绿色金融产品发展的市场环境的要点。拟创新点为：(1)给出从一般度量原则到具体金融产品形态的度量方法，涉及新技术的环境风险、基于能源效率的产业环境风险基准，揭示环境风险溢价。(2)提出绿色债券的期权定价模型，结合碳排放交易市场价格波动，分别用于减息模式和加息模式。(3)发现环境风险与违约风险关联关系，提供覆盖制造业主要行业的实证证据，进而上升到理论。（4）论证国际绿色债券指数及其期权的信息价值。课题成果将为绿色金融创新提供环境风险度量及相关金融产品定价的学术支持。

在“碳达峰与碳中和”的国家中长期发展战略的指引下，产业绿色升级与绿色金融创新已经是中国经济高质量发展新常态的亮点，也是环境气候经济和金融领域国际学术界的热点主题。本课题聚焦环境风险与环境风险溢价的内涵与外延，提出环境风险度量的一般原理和适应不同绿色金融产品的环境风险度量方法；为环境风险对于违约风险的影响提供产业层面的证据，提出绿色信贷和绿色债券的期权定价方法；提出绿色金融产品发展商业生态的政策要点。已经获得创新点包括：(1)结合ESG(environment, social responsibility and corporate governance)评分体系，给出从一般度量原则到具体金融产品形态的度量方法，涉及新技术的环境风险、基于能源效率的产业环境风险基准，并用于绿色信贷和债券定价。发现环境风险与违约风险关联关系，提供覆盖制造业主要行业的实证证据。(2) 提出绿色证券定价的因子模型，发现绿色因子风险溢价；但是市场不能区分绿色技术，进而提出发展绿色技术专业评级的政策建议。（3）提出绿色基金绩效评价的四因素模型。实证发现绿色基金执行产业聚焦策略；在产业选择方面，绿色基金重点配置在制造业领域，其中智能制造的比例呈现上升趋势，表现出绿色基金对于产业升级的有力支持。通过代理创新能力的5个指标：研发支出、专利数目、新产品销售、新产品支出和新产品数量论证了绿色基金支持绿色技术推广和绿色升级的主要推动作用。（4）提出绿色债券定价的期权模型，论证了环境风险溢价。（5）提出基于能效的行业环境风险评估方法，形成环境风险评估的2层3维度方法论，为绿色技术评级提供技术支持。课题成果为绿色金融创新的环境风险度量及相关金融产品定价的提供学术支持。