We study how the introduction of carbon taxes in a closed economy propagate in a credit portfolio and precisely describe how carbon taxes dynamics affect the firm value and credit risk measures such as probability of default, expected and unexpected losses.We adapt a stochastic multisectoral...

This paper is dedicated to the replication of a convex contingent claim h(S_1) in a financial market with frictions, due to deterministic order books or regulatory constraints. The corresponding transaction costs rewrite as a non linear function G of the volume of traded assets, with G'(0) 0....