Counterparty Risk Contagion Model of Carbon Quota Based on Asset Price Reduction

Abstract

Driven by the “double carbon” goal, the sale of financial assets at reduced prices by firms due to carbon emission constraints is bound to aggravate the uncertainty and volatility of carbon trading among firms, and potentially create counterparty risk contagion. In view of this, this paper considers the sensitivity of the transaction of corporate financial assets, the transaction price of carbon quotas, and corporate carbon performance; constructs a network model for the risk contagion of carbon quota counterparties; theoretically discusses the risk formation and infection mechanism of carbon quota counterparties; and calculates and simulates the evolutionary characteristics of the risk contagion of carbon quota counterparties. The main research conclusions are as follows. (1) In the interfirm debt network, the sensitivity to the price of selling the financial asset, the probability of credit risk contagion of carbon quotas among firms, the cumulative proportion of assets sold, and the proportion of rational investors in the financial market exert a decreasing phenomenon on the risk of carbon quota counterparties. In addition, the corporate carbon performance shows a marginal increasing phenomenon. (2) When multiple factors intersect, the proportion of rational investors in the financial market has the greatest influence on the formation of the carbon quota counterparty risk, whereas the effect of corporate carbon performance has the least. Corporate carbon risk awareness has the greatest effect on the risk contagion of carbon quota counterparties, whereas the trading price of the carbon quota has the least influence. In addition, the total score of the interfirm assessment has a great impact on the trend and range of the risk contagion of carbon quota counterparties. (3) Corporate carbon risk awareness and the carbon quota trading price have a marginally decreasing effect on the risk contagion of carbon quota counterparties, and corporate carbon performance and the total score of interfirm assessment have a marginally increasing effect. This study has important theoretical and practical significance for preventing interfirm counterparty risk contagion under the double carbon target.

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