Carbon Pricing in Newly Designed Emission Markets

Presented by Associate Professor Juri Hinz from the National University of Singapore.

Date: 12 December 2008

Venue: Amora Hotel, 11 Jamison Street Sydney

Carbon emission trading schemes have been designed to reduce pollution by introducing appropriate market mechanisms. The two most prominent examples of existing cap and trade systems are the EU-ETS (European Union Emission Trading Scheme) and the US Sulfur Dioxide Trading System. In such systems, a central authority sets a limit (cap) on the total amount of pollutant that can be emitted within a pre-determined period.

The main thrust of the workshop is the design and the evaluation analysis of new cap-and-trade schemes for the control and the reduction of atmospheric pollution. The tools developed are intended to help policy makers, companies and regulators understand the pros and cons of the emergine emission markets.

Emission markets: voluntary trading schemes,  European Emission Trading Scheme (EU ETS) principles of a cap and trade system, lessons from existing markets.

Economic theory of emission trading: equilibrium models, the role of  abatement costs and uncertainty in the process of allowance price formation, allowance price driversFair pricing of emission-related financial products: equilibrium and risk neutrality, reduced-form martingale modeling, risk-neutral valuation.

Design of emission markets: windfall profits within EU ETS and other shortcomings of generic schemes, possible modifications of  a cap and trade mechanism, optimality criteria for market design.   

For further information please download a flyer and registration form or contact the conference organiser.

Modelling and Numerical Aggregation of Risks (with Applications to Credit and Operational Risks)

Presented by Professor Uwe Schmock from the Vienna University of Technology, Austria

Date: 15 & 16 December 2008

Venue: Amora Hotel, 11 Jamison Street Sydney

Contents:

• The danger of modelling: a typology of model risk
• Mitigation of model risk
• Modelling of extreme events
• Case study for model risk: securitization of weather risk
• Detecting and modelling trends, testing for trends
• Robustness, sensitivity and consistency of models
• Testing for dependence
• Introduction to credit risk
• Approximations and simplifications
• Poisson mixture models
• Generalised Panjer recursion and numerical stability
• Numerical aggreration of dependent credit risks
• Generalised CreditRisk+
• Quantification of risks, risk measures
• Risk-based allocation of capital
• Introduction to operational risk
• Numerical aggregation of operational risks

For further information please download a flyer and registration form or contact the conference organiser.