ABSTRACT
ABSTRACT: Carbon market not only deploys resources effectively but also promotes low carbon economy development. For domestic enterprises, the international carbon finance market risk primarily contains two correlative risk factors: carbon price volatility and exchange rate volatility. This paper taking Chinese enterprises for example mainly uses Copula model to integrate carbon finance market risk and measure the VaR. The research findings: (1) The two risk factors have GARCH effect, time-varing and clustering; (2) The VaR would be overestimated if ignoring the correlation between different risk factors; (3) The integrated VaR changes in the same direction with the weight of carbon price risk assets if under the same confidence level; and rises with the confidence level growth on the same risk assets weight.
