This paper studies the option implied tail risk in the oil and gas industry around the unburnable carbon news of April 2009. It was arguably the first science news amplified by the media that stated that the value of the oil and gas industry is stranded. After controlling for the level of proved fossil fuel reserves and the return drop on the event day, I find that large and small companies are perceived as equally exposed to carbon risk. However, the risk persists only in some oil and gas firms. As expected, the level of fossil fuel reserves increases risk.

中文翻译：

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化石燃料行业的尾部风险：围绕不可燃碳新闻的选项隐含分析

本文围绕 2009 年 4 月的不可燃碳新闻研究了石油和天然气行业的期权隐含尾部风险。这可以说是第一个被媒体放大的科学新闻，称石油和天然气行业的价值陷入困境。在控制了已探明的化石燃料储量水平和活动当天的回报率下降后，我发现大小公司被认为同样面临碳风险。然而，风险只存在于一些石油和天然气公司。正如预期的那样，化石燃料储量增加了风险。