Related papers: Carbon-Sensitive Fund Construction and Hedging for…
Purpose : Planning a transition towards sustainable carbon neutrality at the organization level raises several accounting challenges. This paper aims to shed light on key challenges, highlight answers from current accounting standards and…
We consider the construction of renewable portfolios targeting specified carbon-free (CFE) hourly performance scores. We work in a probabilistic framework that uses a collection of simulation scenarios and imposes probability constraints on…
Uncertainties in renewable energy resources (RES) and load variations can lead to elevated system operational costs. Moreover, the emergence of large-scale distributed threats, such as load-altering attacks (LAAs), can induce substantial…
We propose a hedging approach for general contingent claims when liquidity is a concern and trading is subject to transaction cost. Multiple assets with different liquidity levels are available for hedging. Our risk criterion targets a…
Increasing urbanization puts pressure on cities to prioritize sustainable growth and avoid carbon lock-in. Available modeling frameworks fall acutely of guiding such pivotal decision-making at the local level. Financial incentives,…
This paper explores the optimal policy for using an allocated carbon emission budget over time with the objective to maximize profit, by explicitly taking into account present-biased preferences of decision-makers, accounting for…
We develop a bidding strategy for a hybrid power plant combining co-located wind turbines and an electrolyzer, constructing a price-quantity bidding curve for the day-ahead electricity market while optimally scheduling hydrogen production.…
This paper studies an optimal investment and risk control problem for an insurer with default contagion and regime-switching. The insurer in our model allocates his/her wealth across multi-name defaultable stocks and a riskless bond under…
The EU targets 10 Mt of green hydrogen production by 2030, but has not committed to targets for 2040. Green hydrogen competes with carbon capture and storage, biomass and imports in reaching emissions reductions; earlier studies have…
This work studies a stochastic optimal control problem for a pension scheme which provides an income-drawdown policy to its members after their retirement. To manage the scheme efficiently, the manager and members agree to share the…
The voluntary carbon market is an important building block in the fight against climate change. However, it is not trivial for consumers to verify whether carbon offset projects deliver what they promise. While technical solutions for…
This paper introduces the concept of a global financial market for environmental indices, addressing sustainability concerns and aiming to attract institutional investors. Risk mitigation measures are implemented to manage inherent risks…
As insurers increasingly behave like financial intermediaries and actively participate in capital markets, understanding the dependence structure between insurance and financial risks becomes crucial for insurers' operations. This paper…
In this paper we study the pricing and hedging problem of a portfolio of life insurance products under the benchmark approach, where the reference market is modelled as driven by a state variable following a polynomial diffusion on a…
To make medium- and long-term insurance products attractive, it is essential to enable participation in stock market returns. However, to eliminate downside risk, guarantees must be included, which naturally leads to the challenge of…
To address the environmental concern and improve the economic efficiency, the wind power is rapidly integrated into smart grids. However, the inherent uncertainty of wind energy raises operational challenges. To ensure the cost-efficient,…
In this paper we investigate the causal impact of the European Union Emissions Trading System, a cap-and-trade scheme limiting greenhouse gas emissions of firms, on their environmental performance. Although previous studies have focused…
On the way towards carbon neutrality, climate stress testing provides estimates for the physical and transition risks that climate change poses to the economy and the financial system. Missing firm-level CO2 emissions data severely impedes…
In this paper, we explore the pricing and hedging strategies for an innovative insurance product called the equity protection swap(EPS). Notably, we focus on the application of EPSs involving cross-currency reference portfolios, reflecting…
Federated learning, conducive to solving data privacy and security problems, has attracted increasing attention recently. However, the existing federated boosting model sequentially builds a decision tree model with the weak base learner,…