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," Documents de travail du Centre d'Economie de la Sorbonne 10054, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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.
- Abdou Kâ Diongue & Dominique Guegan & Rodney C. Wolff, 2010. "BL-GARCH model with elliptical distributed innovations," Post-Print halshs-00368340, HAL.
- Abdou Kâ Diongue & Dominique Guegan & Rodney C. Wolff, 2010. "BL-GARCH model with elliptical distributed innovations," PSE-Ecole d'économie de Paris (Postprint) halshs-00368340, HAL.
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More about this item
Keywords
Carbon; Carbone; Generalized Hyperbolic Distribution; CER; EUA; Swap; Value at Risk;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENV-2010-07-31 (Environmental Economics)
- NEP-RMG-2010-07-31 (Risk Management)
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