Heliyon (Jun 2023)
Risk measurement of China's green financial market based on B-spline quantile regression
Abstract
To accurately measure the spillover effect of China's green financial carbon emission market, a new measurement of conditional value at risk (CoVaR) based on the B-spline quantile methods is proposed. Firstly, the variable coefficient CoVaR model is constructed, and the model coefficients are estimated by the B-spline quantile method. Then, the relationship between Δconditional value at risk (ΔCoVaR) and value at risk (VaR) is considered. In the empirical analysis, we investigate five carbon trading quota risk measurements of the carbon emission projects in China from 2014 to 2022, and verify the B-spline superiority by Monte Carlo simulation. The empirical results show that B-spline method has the highest risk fitting success rate and the smallest error.
