Risk assessment for a Structured Product Specific to the CO2 Emission Permits Market

Marius-Cristian Frunza () and Dominique Guegan ()
Additional contact information
Marius-Cristian Frunza: Centre d'Economie de la Sorbonne et Sagacarbon, https://centredeconomiesorbonne.cnrs.fr
Dominique Guegan: Centre d'Economie de la Sorbonne - Paris School of Economics, https://cv.archives-ouvertes.fr/dominique-guegan

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: The aim of this work is to use a new modelling technique for CO2 emission prices, in order to estimate the risk associated with a related, structured product. After a short discussion of the specificities of this market, we investigate several modelling methods for CO2 emission prices. We use these results for risk modeling of the swap between two CO2 related instruments: the European Union Allowances and the Certified Emission Reductions. We estimate the counterparty risk for this kind of transaction and evaluate the impact of different models on the risk measure and the allocated capital

Keywords: Carbon; generalized hyperbolic distribution; value-at-risk; CER; EUA; Swap (search for similar items in EconPapers)
Pages: 24 pages
Date: 2010-06
New Economics Papers: this item is included in nep-ene and nep-env
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://mse.univ-paris1.fr/pub/mse/CES2010/10054.pdf (application/pdf)

Related works:
Working Paper: Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:10054

Access Statistics for this paper

More papers in Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Contact information at EDIRC.
Bibliographic data for series maintained by Lucie Label ().