RT Journal Article
T1 Measuring the risk-adjusted performance of CO2 Emission Markets: Evidence from SENDECO2
A1 Feria Domínguez, José Manuel
A1 Rodriguez-Carrillero, David
A1 Guerra-Martinez, José Carlos
K1 CO2 allowances
K1 Risk-adjusted performance indicators
K1 Value at risk
K1 Sharpe-VaR ratio
K1 Monte Carlo simulation
K1 SENDECO2
AB This paper analyzes the historical risk-adjusted performance of CO2 emission allowances traded on SENDECO2 (the reference market for Southern Europe) by using the daily spot prices of the European Union Allowances (EUAs) and Certified Emission Reductions (CERs) from 2008 to 2012. We revisit the Sharpe-ratio, taking into account the modified version proposed by Ferruz and Sarto (1997), to propose a new performance indicator, the Sharpe-VaRFS, estimated by Monte Carlo simulation. Due to the existing imbalances between demand and supply for allowances, both the EUA and CER markets underperform when compared with financial stock markets, being unattractive to potential investors.
PB Elsevier
YR 2018
FD 2018-02-01
LK https://hdl.handle.net/10433/19428
UL https://hdl.handle.net/10433/19428
LA en
NO Utilities Policy, Volume 50, 2018, Pages 124-132
NO Departamento de Economía Financiera y Contabilidad
DS RIO
RD May 24, 2026