The aim of this work is to use a new modelling technique for CO2 emission prices, in order to estimate the risk associated with a related, structured product. After a short discussion of the specificities of this market, we investigate several modelling methods for CO2 emission prices. We use...

La crise financière 2007-2008 a suscité une profusion de réactions et d'explications : on a évoqué le mimétisme des organismes, la cupidité de leurs dirigeants, la propension des traders à aimer le jeu. Elle est évidemment due à la conjonction de plusieurs facteurs. Nous mettons ici...

In this paper, we propose an alternative approach to estimate long-term risk. Instead of using the static square root method, we use a dynamic approach based on volatility forecasting by non-linear models. We explore the possibility of improving the estimations by different models and...