Multi-stage emissions management of a steel company

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/61989100:27510/20:10245287 RIV/00216208:11320/20:10419092

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Multi-stage emissions management of a steel company

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Multi-stage emissions management of a steel company

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GA16-01298S" target="_blank" >GA16-01298S: Dynamické rozhodování ocelářského podniku obchodujícího s emisemi</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Annals of Operations Research

ISSN

0254-5330

e-ISSN

—

Svazek periodika

292

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

17

Strana od-do

735-751

Kód UT WoS článku

000563054500008

EID výsledku v databázi Scopus

2-s2.0-85062963820