Marius-Cristian Frunza

Managing Partner, Schwarzthal Kapital

Olivier Toutain

Senior Credit Risk Analyst, Risk Management team, Banque de France, Adjunct Professor, Université Paris - Dauphine Autres cours :

Finance environnementale

Les objectifs du cours

The course has 3 objectives:

  • To understand the markets with an environmental specificity
  • To apprehend the particular behaviour
  • To acknowledge the financial products existing in these markets

Plan du cours

Part 1: M. Frunza

1. Stochastic model for environmental finance (3h)

  • Jumps and mean reverse process
  • Generalized hyperbolic distributions
  • GARCH and GARCH-like processes

2. Carbon Finance I (2h)

  • Upon the Kyoto mechanism and the carbon market
  • Carbon market econometrics
  • Relationship with the energy and oil & gas market

3. Carbon Finance II (2h)

  • Financial products on carbon markets
  • Carbon market econometrics

4. Agricultural commodities (3h)

  • Markets overview and developments
  • Financial products on "soft" markets
  • Interest for the agricultural companies

5. Forestry and Environmental infrastructures (3h)

  • Overview and link with the commodities market
  • Upon real options in price modelling of forestry
  • Interest for investors

6. Weather derivatives (3h)

  • Overview and modelling of weather underlying (temperature, rain ,wind, snow)
  • Interest for industries ad financial institutions
  • Link with the energy and gas markets
  • Financial products based on weather derivatives
  • Pricing and hedging of weather derivatives

Part 2: O. Toutain

7. Cat bond markets (6h)

  • CAT bond market presentation (Definition, Legal framework, Characteristics, Risk modeling and « triggers »)
  • CAT bond market analysis (Recent developments, Investor benefits, Issuer benefits)
  • CAT bond developments (Investor requests, CAT bond market limits, CAT bond market forecasts)

8. Environmental investment strategies (2h)

  • Environmental appetite of investor
  • How to mitigate the environmental drift with financial investments?
  • Investment support for environmental sustainability 

Bibliographie

1. Options, futures et autres dérivés, John Hull, 2007
2. Energy and power risk management, Alexander Eydeland, 2003
3. Swiss Ré and Munich Ré Research

Examen

Project based assessment. Students will work in small groups on a research topic