基于Copula的天然气市场组合风险分析-金融学专业论文.docxVIP

重庆大 重庆大学硕士学位论文 英文摘要 PAGE PAGE III ABSTRACT According to the prediction from the International Energy Agency (IEA), the consumption of natural gas for the whole world would increase with a rate of 1.5% per year from 2007 to 2030, and reaches 41600 ×108m3 in 2030. In the middle east and the commonwealth of independent states, the natural gas consumption already accounts for more than 50% of the primary energy source and shows a tendency of gradual increase in the near future. One can easily realize from the history of the development of the primary natural gas market, that the pricing mechanism of the natural gas has gone through an evolution from the monopoly pricing to competitive market pricing, along with the progress in the natural gas industry and the drastic increase of the consumption of natural gas. Considering the rapid development of the natural gas market, our current pricing mechanism is already out of date, and a revolution is demanding. It is rather necessary to establish a reasonable structure of the natural gas market and the corresponding pricing system, in order to ensure the health development of our natural gas industry. Once the natural gas market starts running, then several markets such as spot and futures markets would appear. Hence, to reduce the financial risk, the natural gas companies might take the combination of several markets into consideration. However, most of the domestic research focuses on the price of natural gas, but seldom pay attention to the quantification of the financial risk of the natural gas market. Therefore, we have employed the Copula joint distribution function to quantify the risk of the investment combination. This approach perfectly takes into account the nonlinear feature of the natural gas price and also the risk aversion of the investors, which thus gives a better estimation. In this work, we first introduce the trend of the development of the natural gas market, the financial feature of the natural gas and