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The Journal of Alternative Investments

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Article

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

Marius-Christian Frunza and Dominique Guegan
The Journal of Alternative Investments Winter 2013, 15 (3) 72-91; DOI: https://doi.org/10.3905/jai.2012.15.3.072
Marius-Christian Frunza
is a director at Schwarzthal Kapital in Puteaux, France.
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  • For correspondence: marius.frunza@schwarzthal.com
Dominique Guegan
is a professor in the Paris School of Economics at University Paris 1 Pantheon-Sorbonne in Paris, France.
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  • For correspondence: dguegan@univ-paris1.fr
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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.

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The Journal of Alternative Investments: 15 (3)
The Journal of Alternative Investments
Vol. 15, Issue 3
Winter 2013
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Risk Assessment for a Structured Product Specific
to the CO2 Emission Permits Market
Marius-Christian Frunza, Dominique Guegan
The Journal of Alternative Investments Dec 2012, 15 (3) 72-91; DOI: 10.3905/jai.2012.15.3.072

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Risk Assessment for a Structured Product Specific
to the CO2 Emission Permits Market
Marius-Christian Frunza, Dominique Guegan
The Journal of Alternative Investments Dec 2012, 15 (3) 72-91; DOI: 10.3905/jai.2012.15.3.072
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  • Article
    • Abstract
    • OVERVIEW OF THE PROPERTIES OF EMISSION ALLOWANCES TRADING PRICES
    • MODEL CALIBRATION AND ANALYSIS
    • APPLICATION TO RISK MODELING OF A CO2 DERIVATIVE
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCES
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