Climate, Energy, and Carbon Derivatives: Pricing Mechanisms and Risk Management under Carbon Market Uncertainty
気候、エネルギー、カーボンデリバティブ：炭素市場の不確実性下における価格メカニズムとリスク管理 (AI 翻訳)
褚云鹤
🤖 gxceed AI 要約
日本語
本論文は、炭素市場の不確実性の下でのデリバティブの価格メカニズムとリスク管理を検討する。ブラック・ショールズやヘストンモデルなどの古典的価格モデルをエネルギー、天候、カーボンデリバティブに拡張し、ボラティリティや政策不確実性などのリスク源を特定する。クロスヘッジやポートフォリオ分散などの統合的戦略による炭素リスク軽減の有効性を示す。
English
This paper examines derivative pricing and risk management under carbon market uncertainty, extending classical models (Black-Scholes, Heston) to energy, weather, and carbon derivatives. It identifies key risk sources (volatility, policy uncertainty, liquidity) and shows that integrated strategies like cross-hedging and diversification can mitigate carbon risk. Contributes to climate finance literature.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
日本の炭素市場は発展途上にあり、本論文の枠組みは今後のカーボンデリバティブ導入やリスク管理に示唆を与える可能性があるが、具体的な日本市場への応用は今後の課題。
In the global GX context
This paper provides a systematic framework for pricing and risk management of carbon derivatives globally, relevant to the ISSB and TCFD context where climate-related financial instruments are increasingly important.
👥 読者別の含意
🔬研究者:A useful literature review and framework for scholars in climate finance and derivative pricing.
🏢実務担当者:Risk managers and traders in financial institutions can apply the discussed hedging strategies to carbon portfolios.
🏛政策担当者:Regulators may gain insights into designing carbon market mechanisms that reduce uncertainty.
📄 Abstract（原文）
With the development of green finance and the progress of global climate governance, climate-related financial instruments, especially energy and carbon derivatives, have become increasingly important in modern financial markets. This paper examines the pricing mechanisms and risk management of derivatives under uncertainty in the carbon market. By combining literature review with market analysis, this study synthesizes classical derivative pricing models including the Black–Scholes and Heston frameworks, and extends their applicability to the pricing of energy, weather, and carbon derivatives. This paper further analyzes the structural differences across these markets and identifies key sources of risk, including volatility, policy uncertainty, and liquidity constraints. The results indicate that carbon risk has become a key new element in the pricing of derivatives and in portfolio management. This study finds that effective carbon risk mitigation can be realized via integrated strategies including cross-hedging, asset diversification, and scenario-based stress testing. This paper contributes to the literature on climate finance by offering a systematic framework for understanding derivative pricing and risk management under carbon market uncertainty.
🔗 Provenance — このレコードを発見したソース
- openalex https://doi.org/10.54254/2754-1169/2026.lh34981first seen 2026-07-15 05:09:02
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