Decision of a Steel Company Trading with Emissions

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F16%3A00469137" target="_blank" >RIV/67985556:_____/16:00469137 - isvavai.cz</a>
Alternative codes found
RIV/61989100:27510/16:86097827
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Decision of a Steel Company Trading with Emissions
Original language description
We formulate a Mean-CVaR decision problem of a production company obliged to cover its CO2 emissions by allowances. Certain amount of the allowances is given to the company for free, the missing/redundant ones have to be bought/sold on a market. To manage their risk, the company can use derivatives on emissions allowances (in particular futures and options), in addition to spot values of allowances. We solve the decision problem for the case of an real-life Czech steel company for different levels of risk aversion and different scenarios of the demand. We show that the necessity of emissions trading generally, and the risk caused by the trading in particular, can influence the production significantly even when the risk is decreased by means of derivatives. The results of the study show that even for low levels of the risk aversion, futures on allowances are optimal to use in order to reduce the risk caused by the emissions trading.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 34th International Conference Mathematical Methods in Economics MME 2016
ISBN
978-80-7494-296-9
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
916-921
Publisher name
Technical University
Place of publication
Liberec
Event location
Liberec
Event date
Sep 6, 2016
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000385239500157

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