Model predicts EU carbon prices using market and political factors.
problem Predict future carbon prices for EU market management.
method Support vector regression with grid search and cross validation.
result Model predicts carbon prices accurately for 2030.
Study improves carbon price forecasting using quantile regression and feature selection.
problem Accurately predicting carbon prices influenced by geopolitical, social, and economic factors.
method Collect and analyze various influencing factors, select significant features, and use Sparse Quantile Group Lasso and Adaptive Sparse Quantile Group Lasso for robust predictions.
result Proposed methods outperform existing ones and provide a complete profile of future carbon prices.
This study analyzes how carbon pricing affects credit risk measures in a portfolio.
problem Impact of carbon pricing on credit risk measures in a portfolio.
method Adapted stochastic multisectoral model to account for GHG emissions costs and carbon prices.
result Carbon pricing distorts firm value distributions, increases banking fees, and reduces profitability.
Model predicts carbon price for green tech adoption.
problem Achieving emission targets with green technology adoption.
method Stationary equilibrium model with endogenous carbon price.
result Carbon price and stationary distribution of firms identified.
Calibrates carbon futures option pricing using high-frequency data.
problem Estimating equity and variance risk premia for carbon futures options.
method Multifactor stochastic volatility framework with jumps, employing indirect inference.
result Provides insights into carbon futures and option dynamics.
New hybrid model predicts carbon prices using blockchain data.
problem Predicting carbon prices with fluctuation.
method DILATED CNN-LSTM framework with L1/L2 regularization.
result DILATED CNN-LSTM outperforms traditional models.
This paper introduces a new market-based carbon risk measure for portfolio optimization.
problem The challenge of measuring and managing carbon risk in investment portfolios.
method Develops a market-based carbon risk measure and applies it to minimum variance portfolio construction.
result Market-based carbon risk measures can complement fundamental-based approaches in portfolio optimization.
The study assesses carbon risk in investment portfolios and proposes new management strategies.
problem The impact of carbon risk on stock pricing and portfolio construction.
method Developed a BMG risk factor and estimated time-varying carbon beta using a multi-factor model.
result Carbon risk can be incorporated into portfolio construction to reduce unrewarded financial risks.
Study assesses climate risks on supply chains and financial systems using detailed firm emissions data.
problem Lack of firm-level CO2 emissions data hinders assessment of transition risks from carbon pricing.
method Used detailed Hungarian firm emissions data and a simple economic ABM model to simulate carbon pricing impacts.
result 45% of companies are directly exposed to carbon pricing, leading to significant economic and financial losses.
Model predicts volatility and dependencies in EUA and energy prices.
problem Analyzing uncertainty and dependencies in European carbon and energy prices.
method Probabilistic multivariate conditional time series model with VECM-Copula-GARCH structure.
result Forecasting performance evaluated in an extensive rolling-window study.
Study analyzes EU ETS carbon market dynamics, revealing inefficiencies and anomalies.
problem Inefficiencies and anomalies in EU ETS trading and pricing mechanisms.
method Empirical analysis using AR-GARCH model and weighted network analysis.
result Heterogeneous and sometimes counter-intuitive elasticities in price-volume relationships.
Defines an implied CO2-price to cover climate change costs, finding it significantly higher than the SCC.
problem The social cost of carbon (SCC) does not fully cover climate change costs.
method Defines an implied CO2-price as a 'polluter pays principle' and calculates its value using a DICE model.
result The cost-implied CO2 price is around 500/tCO2,comparedto50/tCO2 for SCC. Model for multi-period carbon market pricing with allowances.
problem Carbon market pricing with multiple trading periods and compliance times.
method Singular forward-backward stochastic differential equations (SDEs).
result Value function convergence to infinite period model under certain conditions.
Proposes a pricing agent using reinforcement learning to balance renewable energy demand.
problem Intermittent renewable energy sources challenge carbon-free electricity generation.
method Reinforcement learning approach to balance customer demand with renewable energy generation.
result Demonstrates improved electricity pricing strategy for renewable energy integration.
Study uses non-parametric method to analyze EU ETS price determinants.
problem Understanding price determinants of EU ETS to inform policy.
method Non-parametric measure (Information Imbalance) to study variables.
result Commodity variables are most informative in Phase 3, while financial variables become more important in Phase 4.
Proposes a Carbon Equivalence Principle for financial products to align incentives and drive sustainability.
problem Align financial market incentives with carbon emissions to limit global warming.
method Introduces a Carbon Equivalence Principle requiring financial products to describe equivalent carbon flows alongside cash flows.
result Transparency of carbon flows in financial products can align incentives and reduce future costs, necessitating project re-structuring and financial net-zero designs.
Defines SETR to measure carbon transition risk for investors.
problem Difficulty in measuring the magnitude of carbon transition risk for investors.
method Defines Single Event Transition Risk (SETR) and illustrates its use.
result SETR can approximate the magnitude of low-carbon transition risk.
Study finds carbon emissions affect stock value, but not bought emissions.
problem Determining if carbon emissions impact stock value and whether this is due to direct or indirect emissions.
method Fixed-effects analysis with propensity score weighting to control for selection bias.
result Firms with higher Scope 1 emissions have a statistically significant positive carbon premium, but Scope 2 emissions do not.
Model predicts climate change's impact on real estate prices.
problem Impact of climate transition on real estate prices.
method Modeling property valuation using Ornstein-Uhlenbeck processes and carbon prices.
result Depreciation of inefficient real estate assets due to climate transition is quantifiable.
Modeling bank portfolio risk under climate transition impacts.
problem Evaluating risk measures for a bank's collateralized loans in a climate transition economy.
method Developed an end-to-end modeling framework using stochastic processes and dynamic macroeconomic variables.
result Derived expressions for risk measures as functions of climate transition parameters.
Study reveals inefficiencies in EU carbon trading market.
problem Inefficiencies in carbon trading market undermine emission reduction goals.
method Analysis of granular transaction data from 2005-2020.
result 40% of firms never trade in a given year, and many trade only during high-price months.
Quantum-inspired tensor network speeds up financial risk assessment.
problem Efficiently pricing multi-asset derivatives in finance.
method Tensor network algorithms for multi-asset options pricing.
result Tensor network approach yields several orders of magnitude speedup.
In this paper, we analyze Nash equilibria between electricity producers selling their production on an electricity market and buying CO2 emission allowances on an auction carbon market. The producers' strategies integrate the coupling of the two markets via the cost functions of the electricity production. We set out a…
Paper models transition risk using jump-diffusion model to price credit swaps.
problem Capturing transition risk in financial markets.
method Calibrated jump-diffusion model to CDS term structure, using quantile regression.
result Jump-diffusion model captures transition risk, jumps represent green policies.
Optimal dynamic allocation of carbon allowances reduces emissions efficiently.
problem Reducing carbon emissions from firms over time with dynamic allocation and trading.
method Variational approach to solve the Stackelberg game between regulator and firms.
result Optimal policies lead to constant abatement effort and allowance price, outperforming static allocations.
Proposes CEP to better represent financial products' carbon impact.
problem Binary 'Green' label inadequately represents financial products' carbon impact.
method Introduces Carbon Equivalence Principle (CEP) for financial products.
result Financial products' carbon impact can be included as a linked term sheet.
This study analyzes EU ETS literature trends using bibliometric methods.
problem Understanding the evolving research landscape of EU ETS.
method Bibliometric analysis of Scopus database, focusing on publication trends, themes, influential authors, and journals.
result Notable increase in research activity over two decades, particularly during policy changes and economic events.
Study analyzes carbon footprint of 1,417 ML models on Hugging Face.
problem Scarce knowledge on measuring and reporting carbon footprint of ML models.
method Repository mining study on Hugging Face Hub API.
result Stalled carbon emissions-reporting models, slight decrease in carbon footprint over 2 years.
Generative models improve carbon storage site prediction using Bayesian inversion.
problem Predicting suitable geologic sites for long-term carbon dioxide storage.
method Generative adversarial networks and Bayesian inversion to condition models on physical measurements and historic data.
result Improved resolution of carbon dioxide storage capacity forecasts.
Integrated Assessment Models (IAMs) are mainstay tools for assessing the long-term interactions between climate and the economy and for deriving optimal policy responses in the form of carbon prices. IAMs have been criticized for controversial discount rate assumptions, arbitrary climate damage functions, and the inade…
Paper analyzes how present-bias affects carbon emissions and proposes a method to mitigate it.
problem Present-bias impacts carbon emission patterns towards a net zero target.
method Stochastic control techniques adapted from insurance risk theory.
result Higher present-bias leads to excess emissions, and carbon taxes can reduce emissions but beyond a certain point have diminishing returns.
A model optimizes carbon emission reduction and allowance purchasing for companies.
problem Optimizing carbon emissions and allowance purchasing for companies.
method Established an optimal control model involving two stochastic processes with two control variables, converted into an HJB equation, proved existence and uniqueness of solution.
result Proved the existence and uniqueness of the solution to the HJB equation.
Investigates optimal PPI strategies to reduce carbon emissions while managing financial risk.
problem Optimizing portfolio insurance strategies to mitigate carbon emissions.
method Modelled risky assets using stochastic factor model with partial information, solved optimization problem using CRRA utility function.
result Optimal carbon penalized PPI strategies reduce carbon emissions without sacrificing financial performance.
Study finds environmental liability insurance reduces industrial carbon emissions.
problem Reduction of industrial carbon emissions.
method Two-way fixed effect model using provincial (city) level panel data from 2010 to 2020.
result Environmental liability insurance reduces industrial carbon emissions at both direct and indirect levels, with varying effects.
Optimizes gradual reduction of excess carbon emissions to net-zero.
problem Achieving net-zero carbon emissions through gradual reduction of excess emissions.
method Stochastic control approach to identify optimal emission strategy under constraints.
result Identifies the emission strategy that maximizes future profit from excess emissions.
Due to the threat of climate change, a transition from a fossil-fuel based system to one based on zero-carbon is required. However, this is not as simple as instantaneously closing down all fossil fuel energy generation and replacing them with renewable sources -- careful decisions need to be taken to ensure rapid but …
Carbontracker tracks and predicts training DL models' carbon footprint.
problem Exponential growth in energy consumption for training deep learning models.
method Carbontracker tool for tracking and predicting energy and carbon footprint.
result Promotes responsible computing and encourages energy-efficient deep learning.
Study finds cherry-picking load shaping strategies outperforms others in reducing grid CO2 emissions.
problem Lack of detailed counterfactual data makes it hard to assess load shaping strategies' effectiveness.
method Calibrated granular ERCOT simulations for counterfactual analysis of load shaping strategies.
result LMP-based load shaping outperforms other strategies in reducing grid CO2 emissions.
Method constructs hedging portfolio for carbon risk but not ESG risk.
problem Hedging carbon risk with ESG risk.
method Triangulated Maximally Filtered Graph and node2vec algorithms.
result Efficient hedging portfolio strategy for carbon risk but not ESG risk.
A successful response to climate change needs vast investments in low-carbon research, energy, and sustainable development. Governments can drive research, provide environmental regulation, and accelerate global development, but the necessary low-carbon investments of 2-3% GDP have yet to materialise. A new strategy to…
Optimizes renewable energy mix to meet carbon-free targets at lowest cost.
problem Minimizing annual procurement costs while achieving specified carbon-free hourly performance.
method Probabilistic framework with simulation scenarios and probability constraints. Fixed set of renewable generators and load customer.
result Demonstrated that certain renewable energy portfolios can meet carbon-free targets at lower costs compared to others.
A new model selects low-carbon mutual funds considering ESG criteria, risk, and investor preferences.
problem Aligning financial investments with a low-carbon economy.
method Tri-criterion portfolio selection model using a preference-based multi-objective genetic algorithm (ev-MOGA).
result The model successfully incorporates carbon risk exposure and loss-adverse attitudes into portfolio construction.
China integrates ESG into corporate strategy for sustainable growth.
problem Corporate focus on short-term financial metrics.
method Deep integration of ESG principles into corporate culture and strategy.
result Companies are expected to fulfill social responsibilities and create long-term value.
The paper examines spillovers between agriculture, crude oil, carbon, and climate markets.
problem Understanding dynamic spillovers between agriculture, crude oil, carbon emission, and climate markets.
method A novel R2 decomposed connectedness approach. result Overall spillovers are mainly contemporaneous, not lagged; climate change significantly impacts others; agricultural markets have heterogeneous effects; corn is a major risk contributor.
In this note, we present an existence result of a Nash equilibrium between electricity producers selling their production on an electricity market and buying CO2 emission allowances on an auction carbon market. The producers' strategies integrate the coupling of the two markets via the cost functions of the electricity…
We present a novel approach to the pricing of financial instruments in emission markets, for example, the EU ETS. The proposed structural model is positioned between existing complex full equilibrium models and pure reduced form models. Using an exogenously specified demand for a polluting good it gives a causal explan…
Study models risks for low-carbon economy in Balkan countries, focusing on shadow economy and populism.
problem Risks and uncertainties in establishing a low-carbon economy in Balkan countries with transition economies.
method Transdisciplinary approach combining economic policy, public opinion, and climate change models.
result Identifies shadow economy and populism as key risk factors for low-carbon economy implementation.
We explain a persistent cost-of-carry spread in EUA market and suggest ECB policy change.
problem Persistent cost-of-carry spread in EUA market.
method Cointegration analysis of EUA spread with credit spread and risk-free rate.
result Cointegration found between EUA spread, credit spread, and risk-free rate.