Dannenberg, Henry; Ehrenfeld, Wilfried - Institut für Wirtschaftsforschung Halle (IWH) - 2008
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 …