Which carbon derivatives are applicable in practice? A case study of a European steel company

0484650 - ÚTIA 2018 RIV CZ eng J - Článek v odborném periodiku
Šmíd, Martin - Zapletal, F. - Hančlová, J.
Which carbon derivatives are applicable in practice? A case study of a European steel company.
Kybernetika. Roč. 53, č. 6 (2017), s. 1071-1085. ISSN 0023-5954
Grant CEP: GA ČR GA16-01298S
Institucionální podpora: RVO:67985556
Klíčová slova: carbon allowances * carbon derivatives * mean-CVaR * optimization
Obor OECD: Statistics and probability
Impakt faktor: 0.632, rok: 2017
http://library.utia.cas.cz/separaty/2017/E/smid-0484650.pdf

This paper constructs and analyses a model for optimal production and emission covering of a real-life European steel company. The emissions may be covered by a combination of EUA and CER allowances and their derivatives. The company is assumed to be risk-averse, maximizing the Mean-CVaR criterion. The problem is analysed given continuum of risk-aversion coefficients and three scenarios of the demand. It is found that the production does not depend on the risk aversion and is always maximal, but the optimal composition of the (spot) allowances and their derivatives depends non-trivially on both the risk aversion and the demand. Out of all the derivatives, only futures are used. Surprisingly, options are never used.
Trvalý link: http://hdl.handle.net/11104/0280147