A risk hedging strategy for the 2°C target and the Copenhagen Accord
نویسندگان
چکیده
منابع مشابه
Analysis of the Dynamic Optimal Hedging Ratio and its Effectiveness by M-GARCH Models: A Case Study for Iran Crude Oil Spot Price
Hedging the risk of crude oil prices fluctuation for countries such as Iran that are highly dependent on oil export earnings is one of the important subject to discuss. In this regard, the main purpose of this study is to calculate and analyze the optimal dynamic hedging ratio for Iranian light and heavy crude oil spot prices based on one-month to four-month cross hedge contracts in New York St...
متن کاملHedging of Options in Jump-Diffusion Markets with Correlated Assets
We consider the hedging problem in a jump-diffusion market with correlated assets. For this purpose, we employ the locally risk-minimizing approach and obtain the hedging portfolio as a solution of a multidimensional system of linear equations. This system shows that in a continuous market, independence and correlation assumptions of assets lead to the same locally risk-minimizing portfolio. ...
متن کاملHedging strategies of Energy Commodities
The paper examines the issue of hedging in energy markets. The objective of this study is to select an optimal model that will provide the highest price risk reduction for the selected commodities. We apply the ordinary least squares methods, autoregressive model, autoregressive conditional heteroscedasticity and copula to calculate the appropriate dynamic minimum-variance hedge ratio. The obje...
متن کاملRisk Management in Oil Market: A Comparison between Multivariate GARCH Models and Copula-based Models
H igh price volatility and the risk are the main features of commodity markets. One way to reduce this risk is to apply the hedging policy by future contracts. In this regard, in this paper, we will calculate the optimal hedging ratios for OPEC oil. In this study, besides the multivariate GARCH models, for the first time we use conditional copula models for modelling dependence struc...
متن کاملA Global Carbon Market and the Allocation of Emission Rights
The paving of the way for a new climate agreement has turned out to be extremely challenging. The negotiators struggle to make the required emissions reductions binding under international law and to agree on burden-sharing amongst nations. Despite the fact that the G8 (Major Economics Forum 2009 ) as well as the Copenhagen Accord (UNFCCC 2010 ) refer to the 2°C target, the current pledges of t...
متن کامل