Peter Tankov, directeur scientifique du programme de recherche sur la finance verte et durable (GSF) à l’Institut Louis Bachelier et professeur de finance quantitative à l’ENSAE, présentera « Green investment and asset stranding under transition scenario uncertainty ».

Abstract: We develop a real-options approach to evaluate energy assets and potential investment projects under transition scenario uncertainty. Dynamic scenario uncertainty is modelled by assuming that the economic agent acquires the information about the scenario progressively by observing a signal. The problem of valuing an investment is formulated as an American option pricing problem, where the optimal exercise time corresponds to the time of entering into a potential investment project or the time of selling a potentially stranded asset. To illustrate our approach, we apply representative scenarios from integrated assessment models to the examples of a coal-fired power plant without Carbon Capture and Storage (CCS) and potential investment into a biomass power plant with CCS.

 

Attention, ce séminaire aura lieu en mode hybride.

L’inscription (gratuite) est obligatoire (pour les 2 modes de participation) par mail à chaireACPR@acpr.banque-france.fr

Organisateur

  • ACPR

Lieu

Hybride : présentiel à l’ACPR 4 Pl. de Budapest, Paris, 75009 France