基于模糊实物期权的企业碳资产估值模型构建

doi:10.3969/j.issn.2097-0706.2024.08.004

摘要/Abstract

摘要：

科学有效地碳资产评估是实现企业高效碳管理，促使全国碳排放权交易市场繁荣发展的一大助力。为提高企业碳资产评估效率，提升企业参与全国碳排放权交易市场的积极性，在充分研究企业参与碳排放权交易和碳排放权履约流程的基础上，分析企业碳资产的特性。基于实物期权理论和模糊数学理论，构建综合性企业碳资产估值模型，解决因碳价波动剧烈和忽视2种碳资产相关性而影响评估结果准确性的问题，并通过算例分析充分验证模型的有效性及稳定性。结果表明，基于模糊实物期权理论所提出的碳资产估值计算模型，可作为企业减碳降碳成效的判定依据，为实现高效碳资产管理带来助力，是推动企业充分参与碳市场，实现企业低碳转型的方法论探索。

关键词: 碳市场, 碳资产, 估值模型, 实物期权, 模糊数学

Abstract:

Scientific and effective carbon asset assessment is a major boost for enterprises to achieve their efficient carbon management and the prosperity and development of the national carbon emission trading market.In order to improve the assessment efficiency of enterprises' carbon assets and enhance their enthusiasm to participate in the national carbon emission rights trading market，the characteristics of enterprises' carbon assets are analyzed on the basis of fully studying the trading and compliance processes of enterprises' participation in the market. Based on the real option theory and fuzzy mathematics theory，a comprehensive enterprise carbon asset valuation model is constructed to solve the inaccurate evaluation results resulting from sharp fluctuations of carbon prices and the neglect of the correlation between two carbon assets.The effectiveness and stability of the model are fully verified by numerical examples.The results show that the carbon asset valuation model proposed based on the fuzzy real option theory can be used as a basis for judging the enterprises' carbon reduction performances，an assistance to realize efficient carbon asset management and a boost for enterprises to participate in the carbon market. It is a methodology exploration of enterprises' low-carbon transformation.

Key words: carbon market, carbon assets, valuation model, real options, fuzzy mathematics

中图分类号:

TK01：X322：X196：F275

赵丹, 朱丽敏, 胡珅, 韩诗琪. 基于模糊实物期权的企业碳资产估值模型构建[J]. 综合智慧能源, 2024, 46(8): 28-35.

ZHAO Dan, ZHU Limin, HU Shen, HAN Shiqi. Construction of an enterprise carbon asset valuation model based on fuzzy real options[J]. Integrated Intelligent Energy, 2024, 46(8): 28-35.

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债券代码	剩余年限/a	到期收益率/%
180005	1.75	3.770
200005	1.83	1.990
180013	2.00	3.610
180020	2.25	3.600
200013	2.38	3.020
平均值		3.198

项目	变动率/%						敏感性
项目	15	10	5	-5	-10	-15	敏感性
当前价值	10 921.840	7 216.327	3 572.826	-3 492.250	-6 892.630	-10 188.300	1
执行价值	-4 937.060	-3 368.750	-1 723.740	1 804.166	3 690.037	5 658.373	2
有效期	2 191.063	1 477.258	747.174	-765.161	-1 549.300	-2 353.540	3
中国经济政策不确定性指数	2 252.734	1 496.589	745.219	-737.470	-1 465.320	-2 181.360	4
无风险利率	1 329.828	887.204	443.896	-444.385	-889.162	-1 334.230	5