no code implementations • 5 Feb 2024 • Chi Truong, Matteo Malavasi, Han Li, Stefan Trueck, Pavel V. Shevchenko
We model the severity of extreme sea level events using the block maxima approach from extreme value theory, and then develop a real options framework, factoring in climate change, sea level rise uncertainty, and the growth in asset exposure.
no code implementations • 21 Feb 2022 • Lin Han, Ivor Cribben, Stefan Trueck
With both 5-minute and 30-minute price data, we find that extreme prices are more persistent in the market with a higher share of intermittent renewable energy.
