Apreçamento de créditos de carbono por meio de modelos estocásticos: European Allowances Units da segunda fase do European Union Emission Trade Scheme / Valuation of carbon credits through stochastic models: 2nd phase European Allowances Units of the European Union Emission Trade Scheme
AUTOR(ES)
Rodrigo Mariti Fraga
DATA DE PUBLICAÇÃO
2007
RESUMO
In 2006, the carbon credit global market has negotiated around 22.5 billions (twenty two billions and five hundred million euros), equivalent to 1.6 billions tons of CO2 credits or allowances. Due to the importance of this new market, starting from an adapted version of the models and methodology of Xu (2004), this monograph empirical evaluate through daily spot and futures prices of European Allowance Units - EUAs, negotiated at the European Climate Exchange - ECX, during the period of May 3, 2005 to June 29, 2007, if mean reverting models are adequate to capture the real distribution observed for 2nd phase European Allowance Units. For that purpose, this monograph has used a daily portfolio with daily spot prices and all the prices of the futures contracts observed in each day to estimate the risk free parameters which allows that the formula future prices fits the real future prices observed in the market. The capacity to reflect this equality has been used as the selection criteria of the models, and all the models that has fulfilled this criterion has been analyzed in more details. The results obtained in this research has supported that the 2nd phase European Allowance Units are properly modeled by two factor model, with mean reverting process, and seasonality, presented in Xu (2004) to model natural gas prices. Nevertheless, the adequacy of the models to fit the real future prices, the qq plots presented in the Illustration 21 and 23 herein below indicates that the models are not consistent to reflect the distribution of the tails, which may be correct through an adaptation of the model with the insert of a new factor, a stochastic changes of the volatility, such as GARCH, instead of simply assuming that the volatility is a deterministic function of time. This dissertation purpose is to address how to evaluate 2nd phase European Allowance Units through stochastic models and present: (i) the risk free parameters which can be used to evaluate other carbon credits derivatives, such as options, swaps, futures of CER, and so on; and (ii) the calibrated model of prices of European Allowance Units which may be used to built risk management support tools
ASSUNTO(S)
climate changes valuation modelos estocásticos carbon credits apreçamento stochastic models derivatives economia créditos de carbono derivativos mudanças climáticas
