Which carbon derivatives are applicable in practice? A case study of a European steel company
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F17%3A00484650" target="_blank" >RIV/67985556:_____/17:00484650 - isvavai.cz</a>
Alternative codes found
RIV/61989100:27510/17:10236288
Result on the web
<a href="http://dx.doi.org/10.14736/kyb-2017-6-1071" target="_blank" >http://dx.doi.org/10.14736/kyb-2017-6-1071</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.14736/kyb-2017-6-1071" target="_blank" >10.14736/kyb-2017-6-1071</a>
Alternative languages
Result language
angličtina
Original language name
Which carbon derivatives are applicable in practice? A case study of a European steel company
Original language description
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.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GA16-01298S" target="_blank" >GA16-01298S: Dynamic Decision-making of a Steel Producer under Emission Control</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Kybernetika
ISSN
0023-5954
e-ISSN
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Volume of the periodical
53
Issue of the periodical within the volume
6
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
15
Pages from-to
1071-1085
UT code for WoS article
000424732300007
EID of the result in the Scopus database
2-s2.0-85040713548