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Cryptos

Construction of a Conditional Hedge via MNQ Micro E-mini Nasdaq Short. Calibration on BTC Beta=0.45

This study details an advanced quantitative modeling of a conditional hedge for a crypto-exposed portfolio, employing Micro E-mini Nasdaq-100 (MNQ) futures contracts as the hedging instrument. The calibration is based on a dynamic conditional beta of BTC/Nasdaq at 0.45, estimated using a multivariate DCC-GARCH(1,1) model with Markov regime switching. Key Findings: ¤ Minimum Variance Hedge…
06/06/20260Comments

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Legal and tax studies

Stochastic Modeling of the Impact of Pillar Two (OECD) on Tax Engineering and the Valuation of Tokenized Carbon Investments (TCC): Correlation Analysis Between STEELLDY’s CCQI Index and the Risk-Adjusted Tax Performance of TCCs in French Jurisdiction

The impact of the Pillar Two international tax regime (OECD) on the valuation and structuring of tokenized carbon credit (TCC) investments, particularly in France. (A) Structural effect of Pillar Two on the taxation of TCCs ¤ Pillar Two imposes a minimum effective rate of 15% on the profits of multinational corporations, neutralizing tax optimization…
05/10/20260Comments

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Carbon Credit MarketCarbon Credit Market ESG Data ServicesESG Data Services

Pillar Two’s Silent Killer: How GloBE Rules Decimate Tax Benefits for Tokenized Carbon Credits

The widespread implementation of OECD Pillar Two (GloBE rules) starting in fiscal year 2024-2025 fundamentally alters the economics of tokenized carbon credit investment. This analysis, based on quantitative modeling and international tax doctrine, demonstrates three key effects: Pillar Two erodes the tax value of tokenized carbon credits by neutralizing non-refundable tax credits and ESG incentives…
05/09/20260Comments

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