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Prognose des CO2-Zertifikatepreisrisikos

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Author Info

  • Henry Dannenberg
  • Wilfried Ehrenfeld

Abstract

Modeling the price risk of CO2 certificates is one important aspect of integral corporate risk management related to emissions trading. The paper presents a risk model which may be the basis for evaluating the risk of emission certificate prices. We assume that the certificate price is determined by the expected marginal CO2 abatement costs prevailing at the current trade period and stochastically fluctuates around the respective level as returned from the mean reversion process. Due to uncertainties about future environmental states we suppose that within one trade period, erratic changes in the expected marginal abatement costs may occur leading to shifts in the price level. The aim of the work is to model the erratic changes of the expected reversion level and to estimate the parameters of the mean reversion process.

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File URL: http://www.iwh-halle.de/d/publik/disc/5-08.pdf
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Bibliographic Info

Paper provided by Halle Institute for Economic Research in its series IWH Discussion Papers with number 5.

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Date of creation: Jun 2008
Date of revision:
Handle: RePEc:iwh:dispap:5-08

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Related research

Keywords: risk; carbon dioxide; emissions trading; EUA; CO2 certificate price; mean reversion process;

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  1. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
  2. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
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Cited by:
  1. Wilfried Ehrenfeld, 2012. "Klimawandel und betriebliche Innovationsprozesse," IWH Discussion Papers 13, Halle Institute for Economic Research.

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