Prognose des CO2-Zertifikatepreisrisikos / Henry Dannenberg und Wilfried Ehrenfeld
Loading...
Download298.4 KB
Prognose des CO2-Zertifikatepreisrisikos
Discovery
577021435
URN
urn:nbn:de:gbv:3:2-7301
DOI
ISBN
ISSN
Koordinaten
Skalierung
dc.contributor.contributor
Other contributor
Publication history
Halle (Saale) : Inst. für Wirtschaftsforschung, May 2008
Content
Online-Ressource (PDF-Datei: 22 S.) : graph. Darst.
Edition
Language
ger
Comment
Zsfassungen in dt. und engl. Sprache
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. -- risk ; carbon dioxide ; emissions trading ; EUA ; CO2 certificate price ; mean reversion process
Series
IWH-Diskussionspapiere ; 2008,5 ppn:37244492X