中国煤电企业环境压力测试

Environmental Stress Testing of Coal Power Enterprise in China

中文关键词:  压力测试  DCF模型  资本资产定价模型  加权平均资本成本

英文关键词:stress test  DCF model  capital asset pricing model  weighted average cost of capital

中文摘要:

      中国煤电行业的发展伴随着各种环境风险，本文以典型煤电企业为例，在产能过剩、能效标准提高、环境保护税、全国碳市场、水资源税和非水可再生能源规划目标的风险约束下，建立环境成本内部化和环境风险分析工具，考虑不同压力情境下对煤电企业价值的影响，构建环境风险影响财务成本的压力测试框架。结果表明，对单个风险而言，产能过剩和碳市场风险对企业价值的影响是大多数地区在不同情景中面临的主要风险驱动因素。对于综合风险压力测试而言，各地区1 000MW超超临界机组乐观情景及悲观情景的企业价值距合理回报预期企业价值相差小，而300MW和600MW亚临界机组因能效水平低、经营成本高等原因在环境风险压力下企业价值偏离合理回报较多。随着环境风险严重程度的不断增加，环境压力测试有助于煤电企业和金融机构了解环境风险对企业财务状况的影响，从而对投资决策产生影响。

英文摘要:

      The development of China's coal power industry is accompanied by various environmental risks. In this paper, typical coal power enterprises are taken as examples to establish a tool for environmental cost internalization and environmental risk analysis under the risk constraints of energy efficiency standards, environmental protection tax, national carbon market, water resources tax, overcapacity and renewable energy substitution, considering the impact on the value of coal power companies under different stress scenarios and constructing a stress testing framework for environmental risks that affect financial costs. The results show that the impacts of overcapacity and carbon market on enterprise value for individual risks are the main risk drivers that most regions face in different scenarios. For the comprehensive risk stress test, the enterprise value of the 1000MW ultra-supercritical units in each region has a small difference from the corporate value of the reasonable return in the optimistic and pessimistic scenarios, while the 300MW and 600MW sub critical units are more likely to deviate from the reasonable return due to the low energy efficiency and high operating costs. With the continuous increase in the severity of environmental risks, the environmental stress test helps coal power companies and financial institutions to understand the impact of environmental risks on the financial status of the company and thus influence the investment decisions.