Click to login and read the full article.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Abstract
The aim of this article is to use a new modeling technique for CO2 emission prices to estimate the risk associated with a related, structured product. After a short discussion of the specificities of this market, the author investigates several modeling methods for CO2 emission prices and uses these results for risk modeling of the swap between two CO2-related instruments: the European Union allowances and the certified emission reductions. We also estimate the counterparty risk for this kind of transaction and evaluate the impact of different models on the risk measure and the allocated capital.
TOPICS: Futures and forward contracts, developed markets, counterparty risk, factor-based models or other real assets
- © 2012 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Log in using your username and password
In this issue
to the CO2 Emission Permits Market
Jump to section
Similar Articles
Cited By...
- No citing articles found.