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31На основании этого, можно судить, что Россия «платит» слишком много за участие в реформировании МФА: увеличенная кредитная нагрузка на экономику, обязательство в выполнении обременительных требований, наложенных наднациональными организациями, в отношении национальных банков и финансового рынка в целом. Поэтому российским властям необходимо провести эффективную корректировку модели интеграции в мировую финансовую архитектуру.
Наиболее удачным примером для России в данной ситуации может стать пример Китая, который придерживается концепции «разумного
государственного эгоизма». Суть данной концепции заключается в принятии решений в большей мере в интересах государства, нежели требований глобальной общественности. Концепция абсолютно не противоречит нормам международного права, так ка решения и требования наднациональных структур, с правовой точки зрения, носят лишь рекомендательный характер.
То есть для успешного развития и закрепления позиций в мировой финансовой архитектуре России необходимо, при выполнении обязательств перед ОЭСР, обращать внимание, в первую очередь, на макроэкономическую ситуацию в стране, чтобы избежать усугубления финансовой нестабильности. Кроме того, необходимо продолжать процесс интернационализации рубля, который в настоящее время используется лишь в расчетах стран СНГ и региональных объединений типа ЕАЭС.
Также необходимо создавать сеть транснациональных банков, так как именно они являются эффективным инструментом насыщения международного оборота валютой.
Таким образом, успех интеграции России в мировую финансовую архитектуру будет зависеть от таких факторов как степень вовлеченности в развитие инфраструктуры финансовых рынков регионального уровня, например, Евразийского экономического
пространств; создание собственной сети транснациональных банков, аудиторских компаний, бирж и др., а также продолжения процесса интеграции российского рубля: увеличения объемов кредитных и внешнеторговых операций в данной валюте.
Список использованных источников
1. Звонова Е.А., Безнощенко В.В. Современные проблемы участия России в процессах трансформации мировой финансовой архитектуры // Экономика. Налоги. Право. 2016. №2. С. 21
2. Хесин Е.С. Глобальное управление: финансовый аспект // Деньги и кредит. 2016. №2. С. 67
3. Реформирование мировой финансовой архитектуры и российский финансовый рынок // под ред. Е.А. Звоновой. Ru-Science. 2016
4. G20 Leaders' Communiqué Brisbane Summit, 1516 November 2014 // G20.org. URL: https://g20. org/wp-content/uploads/2014/12/brisbane_g20_leaders_summit_c ommunique1.pdf. //(Дата обращения: 8.10.2016)
5. Мишина В., Хомякова Л. Интегрированный валютный рынок Евразийского экономического пространства и расчеты в национальных валютах: мифы или реальность? // Вопросы экономики. 2014. № 8. С. 53.
6. «International Financial Statistics Year book, 2014», официальный сайт Международного валютного фонда. - URL:www.imf.org. (Дата обращения: 8.10.2016)
7. Международные валютные, кредитные, финансовые отношения // Под ред. Л.Н. Красавиной, М.: Юрайт, 2015
8. World Investment Report 2015: Reforming International Investment Governance. UNCTAD, 2015.
9. Евразийская экономическая комиссия. Департамент статистики. - URL: http://www.eurasiancommission.org/ru/act/integr_i_makr oec/dep_stat/ finstat/. (Дата обращения: 8.10.2016)
УДК: 338.2
НАЦИОНАЛЬНАЯ СИСТЕМА ТОРГОВЛИ КВОТАМИ НА ВЫБРОСЫ В КИТАЕ
Данеева Ю.О.
Научный руководитель: Ильинский А.И., профессор, д.т.н. Финансовый университет при Правительстве Российской Федерации, Москва, Россия
Аннотация. В статье анализируются состояние и перспективы единой национальной системы торговли квотами на выбросы (ETS) в современном Китае.
Ключевые слова: углеродный рынок, Китай, система торговли квотами на выбросы
NATIONAL EMISSION TRADING SYSTEM IN CHINA
Daneeva Y.
Research supervisor: Ilinskiy A.I., professor Financial University under the Government of the Russian Federation, Moscow, Russia
This article comes at a critical moment of international interest in China's climate action. In 2015 many significant events in this sphere have occurred - first of all is the UNFCCC COP 21 in Paris, also the end of the second compliance year for seven China's pilot Emission Trading Systems (ETSs), and the final preparation for launching of national China's ETS in the beginning of 2017 [1].
The consequences of the man's activity are claimed to be the key factor of global warming and climate change since 1950 [2]. Therefore, in December 2015 195 countries took part in the United Nations Framework Convention on Climate Change (UNFCCC) in order to complete a new climate agreement. According to the agreement, the global average temperature increase must be limited to within 2°C. Moreover, the developed countries should continue to take the initiative in reaching their goals in emission reduction and meeting their obligations in financing the efforts of the developing countries in the amount of $100 billion each year by 2020. Furthermore, the parties made a commitment to announce new funding targets by 2025.
Carbon pricing is a vital instrument for achieving the global Greenhouse gas (GHG) emission goal. Expert bodies of different counties have advo ed that creating a carbon pricing system is the best way of reducing GHG emissions, given that "a system that places a price on greenhouse gas emissions (through cap-and-trade, taxes) creates incentives for emission reduction efforts".
The World Bank's experts consider that, there is increasing drive toward carbon pricing all over the world. At present, almost 40 countries and more than 20 cities, states, and regions, which together give the quarter of global GHG emissions, have implemented a carbon pricing system. These carbon pricing systems include 50% of the emissions in those regions, which is equal to 3.5 billion tn CO2 or 12% of global GHG emissions. We can find the confirmation of this trend in the words of World Bank President Jim Yong Kim: "There has never been a global movement to put a price on carbon at this level and with this degree of unison. It marks a turning point from the debate on the economic systems needed for low-carbon growth to the implementation of policies and pricing mechanisms to deliver jobs, clean growth and prosperity".
Emissions trading schemes (ETSs) and carbon taxes together compose carbon pricing systems. Research conducted by Peking University has revealed that the slope of marginal income curve of carbon emission reduction is bigger than marginal cost in the long term. Therefore China decided to develop ETS. The decisive impetus for introduction of China's carbon market rooted in the pressure from the international community, development of a 10-years strategic plan, industrial modernization, modifi ion of the energy structure and the realization of emission goals.
Financial institutions have many reasons to participate in carbon trading, primarily to grow their business and use carbon trading as a new investment instrument. For example, regulated enterprises usually want to promote their image and to meet emission goals. Voluntary emission reduction enterprises also wish to expand the business, to find new ways for investment, and to improve the social position. The same we can say about the enterprises, which are interested in the carbon market.
Technical support units generally provide consulting services, and aim to enhance their business in the area of accounting and verifi ion and developing CCER projects. If we will look at the process of Chinese carbon market's development, we will see, that trading activity has been quite modest in the early phases of the given market's formation. The experience of the EU ETS has shown, that such scenario is a normal way of developing this kind of market. The main underlying causes are the low level of awareness and capacity limitations within companies and different policy and regulatory problems. Besides, the carbon position of many Chinese companies still remain unclear and as well as their abatement cost and, consequently, they are not expected to trade actively. Another obstacle is that majority of the companies are unexperienced in price hedging strategies and their traders may not be motivated to trade carbon. Finally, Chinese companies usually trade via intermediaries and financial intermediaries are still to join the market.
Nevertheless, there are several symptoms of the progress in this market's development. First of all, there is high expectations of the market participants and stakeholders towards expansion of a national market for carbon in China in the future. Secondly, market players have begun creating forecasts of the future carbon price. Third, the majority of stakeholders expect companies to start factoring in carbon price by 2020.
Global carbon trading systems were valued in 2015 in $34 bln, which is 6% higher than in 2014 - $32 billion. Currently, carbon prices fluctuate between $1/tCO2e and $13/tCO2e, and 90% has the price less than $10/tCO2e. Scenario analysis of keeping within the goal of 2 degrees Celsius may have a positive outcome only when the global average carbon price being between $80/tCO2e and $120/tCO2e. Therefore, nowadays prices are inconsistent to their market goal.
China is the most significant emitter of CO2, having 27% of the total world's emissions. According to the Five Year Plan (FYP, 2016-2020), Chinese national carbon market is expected to start working in early 2017, in consequence of which China will have the biggest carbon market in the world. The carbon market and market mechanisms belong to the complementary approach of command-and control mechanisms. This is due to the fact that Chinese government has chosen to apply more market-based initiatives such as carbon market, in keeping with its market and economic reform as proposed at the Party 18th Communist Party Congress in 2012. Seven ETS pilots were organized in 2013 in order to deliver both knowledge and experience for the national system. The recent Paris Agreement from the Conference of the Parties (COP21) of the United Nations Framework Convention on Climate Change (UNFCCC) emphasizes the role for market mechanisms, and ensures there is an additional incentive for China to strengthen its ETS. Today China has already collected much information and experience from the pilot's data and through international cooperation. One of the important lessons learnt from the pilots is that trading liquidity is one area of concern that must be developed. In general China's national ETS will look like a two-level system - central and provincial, with uniform rules for all provinces.
Legal framework has crucial importance on the successful establishment of the national ETS. The experience of Beijing and Shenzhen, where the local People's Congresses have passed ETS legislation, has shown, that a strong legal basis is of utmost importance for the effectiveness of the market. However the other pilots (Tianjin, Shanghai, Guangdong and Hubei) still have weaker legal ground - it includes only local governments' decrees or just a notice (Chongqing).
Accordingly, China has to address challenges in different areas in order to ensure the success of the national ETS. First of all, data transparency problem is especially acute, since in the pilots' phase there was no fundamental data, which is essential for market players. Without proper analysis of the accurate data they could not trade freely, that is why the market suffers from the lack of liquidity.
Also there is a need in development of compliance companies' activity, meaning that they have to spread their interests to such areas as trading and carbon risk-management. During the pilot phase their work was primarily concentrated on allowance allo ion, emissions monitoring, reporting and verifi ion.
Efforts were also being made by Chinese Ministry of Finance, which has established the modernization of hedging accounting rules in order to make them work according to the international standards. Thus it will believably reassure compliance firms to increase their presence on carbon market.
Financial firms also begin their expansion on carbon market because they see new opportunities in hedging area and trading. The future national ETS will provide broker-dealers and futures companies a broad field for action, when they will be able to develop tools and instruments for their clients' hedging needs. Moreover, they have another promising direction -helping compliance companies in better managing their carbon exposures.
Regarding the financial instruments, which will be developed for the national ETS, China has prepared special green finance system guidelines, which were presented to the public during the G20 Summit in Hangzhou (September, 2016). These financial instruments destined for the usage in the national ETS include forwards, swaps, options, bonds and carbon asset securitization. The guidelines also called for exploration and research on a carbon futures instrument. Developing of the futures market is important because it is the best way for compliance companies to satisfy their needs in hedging. This finding was concluded from the European trading experience. As for Chinese commodity futures markets, they have begun operating over 20 years ago, however regulated commodity OTC trading market is still in its early stages.
As concerns Chinese practical experience, performance of provincial pilot has shown that three lessons can be learnt regarding carbon derivatives:
- Every instrument must be used for particular need and market participants should be aware in which situation which instrument is best appropriate.
- There is a need in comprehensible rules and regulation for trading and clearing of the instrument, with active participation of regulated financial intermediaries.
Thus, one of the biggest issue is to organize sound and well-regulated exchange platform with deep liquidity, a cap-and-trade system in order to ensure the functioning of the national ETS. The low level of liquidity on the Chinese ETS provincial pilots is caused by the fact, that the trading platforms did not have any equity ownership from nonstate, or private investors, while provincial allowances are traded exclusively on each designated trading platform, with no competition. Therefore, in order to guarantee the successful launching of the Chinese national ETS in the next year, existing carbon exchanges are required to improve their governance structure by attracting equity ownership from the private sector, enhancing transparency, and adopting an independent Board of Directors.
So the growth prospects of the carbon market in China are quite various alongside with the challenges, which must be faces in the nearest future. Among them are the issues connected with the transformation from the pilots to the national carbon market, which include alteration of MRV guidelines, possibility of allowances' continuance, quantifi ion of allowances and allo ion, and changes in the scope of coverage. These problems are subject to be solved by regulatory agencies. Besides, many other practical problems need to be overcome, such as building the capacity of the market, development of the supporting tools and other related issues. Third party verifi ion institutions' challenge lies in making decision about the degree of support for verifi ion instruments, methods of creation the conditions for extending market access, the profitability of verifi ion work and other concerns. A number of obstacles must be overcome also by enterprises, which have to find new ways of reducing emission reduction costs, destruction of obsolete equipment, and preparing capacity for carbon trading.
The results from 2015 China Carbon Pricing Survey jointly conducted by China Carbon Forum (CCF) and ICF International (ICF) contain additional information about the directions of carbon market's improvement. The survey was carried out from May to July 2015, produced expectations about the future of China's carbon price from 304 China-based stakeholders. The answers of the respondents have shown, that participants mostly concern about following aspects: "allo ion of allowances", "level of the cap", "monitoring and reporting systems", "accreditation and verifi ion systems", and "registry and market oversight".
Furthermore, the question about the readiness of national ETS turned out to be quite controversial. Chinese authorities intend to implement national ETS in all provinces in mainland China in the beginning of 2017, but only one-third of respondents believe it will happen so early. The rest of respondents are unanimous in their opinion that the national ETS will be fully operational by 2020 or earlier.
The average price expectation in the national ETS is Yuan 39/t in 2017; Yuan 45/t in 2018; Yuan 56/t in 2020; and Yuan 70/t in 2025. However, the price levels remain highly uncertain, especially in the more distant future. The 20th and 80th percentiles for 2025 are 40 Yuan/t and 100 Yuan/t respectively.
Nevertheless, China's carbon price is expected to gradually grow. Moreover, respondents expressed an
opinion about the increasing influence of carbon pricing on investment decisions in the coming years. In 2016, 36% expect investment decisions to be strongly or moderately affected, and by 2020 this figure rises to 82%.
Lastly, one of the most critical questions was about the expectations regarding the choice of policies to reduce GHG emissions in China at different points in time. From now until 2025, the majority has answered that the emphasis will clearly shift towards ETS, environmental tax, and environmental information disclosure.
The historical climate agreement recently achieved in Paris has given a great rise of interest in China's national emission trading scheme to be launched in the nearest future. The world leaders have many reasons to pay so much attention: China - the biggest greenhouse gas source and the first "developing country" that makes efforts towards facing climate change challenges by providing market-based solutions through cap-and-trade policies.
On 3 August 2016, Jiang Zhaoli, Deputy Director General of the Department of Climate Change of the National Development Reform Commission (NDRC), proclaimed that China intends to implement a rolling model for allo ion and compliance for national emissions trading system (ETS). In case its acceptance, this would mean that participating companies would be divided into groups, for example, by sector. These groups would then receive their allowances on different dates and be subject to differing compliance deadlines. The initial allowance allo ion will roll out across different regions in China starting from October 2016 and would be finished by the end of March 2017. Trading is expected to begin in the first half of 2017.
Since the implementation of 7 ETS pilots in 2011, remarkable progress has been recorded, with China already becoming the second largest carbon market in 2013. This is certainly excellent result and serves as a strong business case for an early domestic roll out. More significantly, China's experience can be shared with other developing counterparts that wish to pursue both economic and environmental sustainability.
Bibliography
1. IPCC 5th Assessment Report (AR5), Working Group III Technical Support Unit, 2014
2. China to launch world's largest emissions trading system in 2017. https://icapcarbonaction.com/en/news-archive/309-china-to-launch-world-s-largest-emissions-trading-system-in-2017
3. International Carbon Action Partnership (ICAP), 2016. 'Emissions Trading Worldwide International Carbon Action Partnership, Status Report 2016'. https://icapcarbonaction.com/en/status-report-2016.
4. Benefits of Emissions Trading: Taking Stock of the Impacts of ETS Worldwide https://icapcarbonaction.com/index.php?option=com_atta ch&task=download&id=389
5. Environomist China Carbon Market Research Report 2016. http://www.thesouthpolegroup.com
6. Duan, Maosheng 2015. From Carbon Emissions Trading Pilots to National System: The Road Map for China, Carbon & Climate Law Review, 3/2015. http://carbon-pulse.com/24056/
УДК 336.49
ИСПОЛЬЗОВАНИЕ МЕТОДА МОНТЕ КАРЛО В МНОГОМЕРНОЙ МОДЕЛИ ОЦЕНКИ
БАНКОВСКОГО РИСКА
Катаргин Н.В.
Финансовый университет при Правительстве Российской Федерации, г. Москва
Аннотация. Банкам важно оценивать вероятность одновременного отрицательного отклонения в стоимости активов в хвостах их распределений - в зоне высокого риска. Предлагается использовать для этого метод Монте-Карло, что позволяет моделировать модели со сложными взаимными влияниями входных переменных с произвольным распределением. В качестве примера рассмотрим моделирование портфелей акций и кредитов, цены на которые могут иметь как нормальное, так и любое другое распределение. Составлены портфели активов с оптимальным соотношением доход/риск. Расчеты выполнены в MS Excel с помощью Visual Basic.
Ключевые слова, кредиты, акции, риск, оптимизация портфеля, метод Монте Карло.
MONTE CARLO METHOD IN THE MULTIDIMENSIONAL MODEL OF THE BANKING RISK
Nikolai Katargin
Financial University under the Government of Russian Federation, Moscow, Russia
Abstract. Important for banks to assess the probability of simultaneous negative deviation of the values of assets in the tails of their distributions, in the area of high risk. Proposed to use for this purpose a Monte Carlo method that allows to simulate models with complex mutual influence of the input variables with arbitrary distribution. As example, consider simulation of portfolios of shares and loans, the prices of which have as normal as another distribution. Composed portfolios of assets with the optimal ratio of income/risk. The calculations are performed in MS Excel using Visual Basic.
