基于Copula函数的我国绿色债券市场与绿色股票市场的极值风险测度

The Extreme Risk Measurement of Green Bond and Green Stock Markets in China Based on Copula

摘要: 本文运用基于极值分布的Copula-GARCH模型研究了我国绿色债券市场和绿色股票市场之间的关联特征及极值风险特征。研究结果显示，该模型能准确度量两者之间的负向相关结构，并能清晰刻画由绿色债券市场和绿色股票市场所构造的投资组合的在险价值，为我国绿色金融市场风险特征的发展提供了决策参考依据。

Abstract: This paper investigates the correlation and extreme risks of green bond and green stock markets in China using the Copula-GARCH model with extreme value distribution. The result shows that the model can accurately measure the negative correlation structure between green bonds and green stock markets and clearly characterize the Value at Risk of the portfolio constructed by the two markets. This provides a decision-making reference for the development of risk characteristics of the Chinese green financial market.