4 papers
Propagation of carbon price shocks through the value chain: the mean-field game of defaults
Zorana Grbac, Simone Pavarana, Thorsten Schmidt +1
We introduce a new mean-field game framework to analyze the impact of carbon pricing in a multi-sector economy with defaultable firms. Each sector produces a homogeneous good, with…
Climate Finance Bench
Rafik Mankour, Yassine Chafai, Hamada Saleh +3
Climate Finance Bench introduces an open benchmark that targets question-answering over corporate climate disclosures using Large Language Models. We curate 33 recent sustainabilit…
A model of strategic sustainable investment
Tiziano De Angelis, Caio César Graciani Rodrigues, Peter Tankov
We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero-sum dynamic game between an investor with environmental preferences and a firm.…
Price impact and long-term profitability of energy storage
Roxana Dumitrescu, Redouane Silvente, Peter Tankov
We study the price impact of storage facilities in electricity markets and analyze the long-term profitability of these facilities in prospective scenarios of energy transition. To…