Risk assessment for a Structured Product Specific to the CO2 Emission Permits Market
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- Marius-Cristian Frunza & Dominique Guegan, 2010. "Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00504209, HAL.
References listed on IDEAS
- Abdou Kâ Diongue & Dominique Guegan & Rodney C. Wolff, 2010. "BL-GARCH model with elliptical distributed innovations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368340, HAL.
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KeywordsCarbon; generalized hyperbolic distribution; value-at-risk; CER; EUA; Swap;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-31 (All new papers)
- NEP-ENE-2010-07-31 (Energy Economics)
- NEP-ENV-2010-07-31 (Environmental Economics)
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