Earticle

초록

영어

We consider CO2 emission-backed securities designed as a securitization based on national CO2 emissions. We constructed the securities using data from “CO2 Emissions from Fuel Combustion” of the International Energy Agency. The securities consist of several tranches with specific coupon rates determined by each nation’s probability of threshold (or target emission) achievement. These securities can be traded in financial markets without the interference of other countries and would give countries an incentive to reduce their CO2 emissions. This study also suggests a financial environmental cleanliness measure for each country using the concept of “green spread” for single-tranche securities.

목차

Abstract
 1. Introduction
 2. Literature Survey
 3. EU ETS and Global CO2 level
 4. CO2 Emissions Modeling and Expanded Kyoto Protocol
  4.1 CO2 Emissions Modeling
  4.2 Expanded Kyoto Protocol
 5. Designing and Pricing the Securities
 6. Numerical Examples
  6.1. Based on Expanded Kyoto Protocol
  6.2. Practical Application
 7. Green Spread: A Clean Environment Indicator
 8. Conclusion
 References
 Appendix

키워드

저자

• Dong-Hoon Shin [ Department of Global Finance and Banking, Inha University, Incheon, Korea ]
• Changhui Choi [ Korea Insurance Research Institute, Seoul, Korea, ]
• Changki Kim [ Korea University Business School, Seoul, Korea, ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330