Multi-stage emissions management of a steel company

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F20%3A00502673" target="_blank" >RIV/67985556:_____/20:00502673 - isvavai.cz</a>
Alternative codes found
RIV/61989100:27510/20:10245287 RIV/00216208:11320/20:10419092
Result on the web
<a href="https://link.springer.com/article/10.1007/s10479-019-03192-4" target="_blank" >https://link.springer.com/article/10.1007/s10479-019-03192-4</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10479-019-03192-4" target="_blank" >10.1007/s10479-019-03192-4</a>

Result language
angličtina
Original language name
Multi-stage emissions management of a steel company
Original language description
We present a multi-stage model for determining the optimal production and emissions coverage for an industrial company participating in the European Emissions Trading System. This model is adapted for a real-life European steel company. A mean-multiperiod CVaR is used as a decision criterion. There are two stochastic parameters-market demand for products and emissions allowance price. The aim of this paper is to explore the costs and risk of a company caused by emissions trading. The presented model is solved for various values of the risk aversion parameters and initial price of the allowance. As a result, it is found that the production is little influenced by the price of allowances and it nearly does not depend on risk-aversion. The probability of the company’s default, on the other hand, is significantly influenced by the emission prices. Futures on allowances as well as banking (i.e., transferring allowances between periods) are used to reduce the risks of the emissions trading. We further exploit the same situation under different settings, namely, given random price margins, and time-dependent, deterministic and positively contaminated distributions of demand. In all these cases, the results follow patterns similar to those given the original setting.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability

Project
<a href="/en/project/GA16-01298S" target="_blank" >GA16-01298S: Dynamic Decision-making of a Steel Producer under Emission Control</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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