5 papers
Comparison of Tax and Cap-and-Trade Carbon Pricing Schemes
Stéphane Crépey, Samuel Drapeau, Mekonnen Tadese
Carbon pricing has become a central pillar of modern climate policy, with carbon taxes and emissions trading systems (ETS) serving as the two dominant approaches. Although economic…
Sensitivity Analysis of emissions Markets: A Discrete-Time Radner Equilibrium Approach
Stéphane Crépey, Mekonnen Tadese, Gauthier Vermandel
Emissions markets play a vital role in emissions reduction by incentivizing firms to minimize costs. However, their effectiveness heavily depends on the decisions of policymakers,…
Derivatives Risks as Costs in a One-Period Network Model
Dorinel Bastide, Stéphane Crépey, Samuel Drapeau +1
We present a one-period XVA model encompassing bilateral and centrally cleared trading in a unified framework with explicit formulas for most quantities at hand. We illustrate poss…
Dual Representation of Expectile based Expected Shortfall and Its Properties
Samuel Drapeau, Mekonnen Tadese
The expectile can be considered as a generalization of quantile. While expected shortfall is a quantile based risk measure, we study its counterpart -- the expectile based expected…
Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall
Samuel Drapeau, Mekonnen Tadese
Expectile bears some interesting properties in comparison to the industry wide expected shortfall in terms of assessment of tail risk. We study the relationship between expectile a…