We develop a model of the dynamic structure of capacity factor risk. It incorporates the risk that the capacity factor may vary widely from year-to-year, and also the risk that the reactor may be permanently shutdown prior to the end of its anticipated useful life. We then fit the parameters of...

The supply of allowances in the European Union Emissions Trading System is currently determined by a rigid allocation programme. The Market Stability Reserve (MSR) makes the allocation of allowances flexible and contingent on the aggregate bank, while preserving the overall emissions cap. We...

This papers investigates the change in risk transmission mechanism between commodities as a result of the financialization of the commodity market. Relying on intra-day price observations for 25 commodities traded in the US market, the time series of realized variances/covariances is...

The substantial economic transformation required to mitigate and adapt to climate change will lower the value of certain businesses as well as some firms' assets in the not-too-distant future. Firms will need to transition to a less carbon-intensive business model, but may do so at different...

Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that carbon risk affects firms' credit spread. The effect is larger for European than North American firms and varies substantially across industries, suggesting the market recognises...

Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that carbon risk affects firms’ credit spread. The effect is larger for European than North American firms and varies substantially across industries, suggesting the market recognises...

The decision of whether to retain forest or convert to another land use is affected by uncertainty over future land-use returns. This paper examines the design of conservation payments to landowners under uncertainty. Payments are indexed to the returns from forest conversion (agriculture), or...