相关论文: Structured climate financing: valuation of CDOs on…

Investment in renewable electricity generation is highly capital intensive and therefore strongly dependent on financing conditions. In Europe, much of this investment has occurred under public support schemes that resemble long-term public…

In this perspective, we introduce recent research into the structure and function of complex investor networks supporting sustainability efforts. Using the case of solar, wind and hydro energy technologies, this perspective explores the…

The goal of this paper is to specify dynamic term structure models with discrete tenor structure for credit portfolios in a top-down setting driven by time-inhomogeneous L\'evy processes. We provide a new framework, conditions for absence…

This study deals with the pricing and hedging of single-tranche collateralized debt obligations (STCDOs). We specify an affine two-factor model in which a catastrophic risk component is incorporated. Apart from being analytically tractable,…

In this paper, we propose a multi-RREH (Remote Renewable Energy Hub) based optimization framework. This framework allows a valorization of CO2 using carbon capture technologies. This valorization is grounded on the idea that CO2 gathered…

Accurate and reliable forecasting of renewable energy generation is crucial for the efficient integration of renewable sources into the power grid. In particular, probabilistic forecasts are becoming essential for managing the intrinsic…

The integration of renewable energy sources (RES) into power grids presents significant challenges due to their intrinsic stochasticity and uncertainty, necessitating the development of new techniques for reliable and efficient forecasting.…

Research in quantitative finance has demonstrated that reinforcement learning (RL) methods have delivered promising outcomes in the context of hedging financial portfolios. For example, hedging a portfolio of European options using RL…

Climate adaptation could yield significant benefits. However, the uncertainty of which future climate scenarios will occur decreases the feasibility of proactively adapting. Climate adaptation projects could be underwritten by benefits paid…

We develop a probabilistic framework for joint simulation of short-term electricity generation from renewable assets. In this paper we describe a method for producing hourly day-ahead scenarios of generated power at grid-scale across…

Insurance companies often operate across multiple interrelated lines of business (LOBs), and accounting for dependencies between them is essential for accurate reserve estimation and risk capital determination. In our previous work on the…

We study the problem of hedging unit linked life insurance policies whose benefits depend on an investment fund that incorporates environmental criteria in its selection process. Offering these products poses two key challenges:…

Renewable energy (RE) generation exhibits pronounced seasonality and variability, and neglecting these features can lead to significant underestimation of long-term power system risks in power supply. While long-term dispatch strategies are…

Residential Load Profile (RLP) generation and prediction are critical for the operation and planning of distribution networks, especially as diverse low-carbon technologies (e.g., photovoltaic and electric vehicles) are increasingly…

The aim of this work is to propose an end-by-end modeling framework to evaluate the risk measures of a bank's portfolio of collateralized loans in an economy subject to the climate transition. The economy, organized in sectors, is driven by…

This paper presents a multi-stage expansion model for the co-planning of transmission lines, battery energy storage (ES), and wind power plants (WPP). High penetration of renewable energy sources (RES) is integrated into the proposed model…

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…

We follow a long path for Credit Derivatives and Collateralized Debt Obligations (CDOs) in particular, from the introduction of the Gaussian copula model and the related implied correlations to the introduction of arbitrage-free dynamic…

Sustainable investing refers to the integration of environmental and social aspects in investors' decisions. We propose a novel methodology based on the Triangulated Maximally Filtered Graph and node2vec algorithms to construct an hedging…

Accurate power forecasting from renewable energy sources (RES) is crucial for integrating additional RES capacity into the power system and realizing sustainability goals. This work emphasizes the importance of integrating decentralized…