21 |
Klimatické deriváty v zemědělství / Weather derivatives in agricultureŠpička, Jindřich January 2009 (has links)
Agriculture is one of the most weather sensitive sectors. The thesis aims to assess the efficiency of agricultural weather derivatives to reduce revenue risk in agriculture taking into consideration the growing conditions in the Czech Republic. The problem of risk management scheme in the Czech agriculture is that systemic weather risks are not covered by insurance (drought). In these cases, farmers have to rely either on their own financial reserves or ad hoc state assistance. Various combinations of weather variables, crops, regions and weather stations have been examined to design index-based weather contracts for most important crops produced in the Czech Republic. The first part of the thesis is devoted to literature review concerning risk management in agriculture. Overview of data sources is followed by assessment of risk environment of agricultural enterprises in the Czech Republic. Then, author describes the choice of crops and regions suitable for weather derivative design. The main part is devoted to method of design and valuation of weather derivatives at the regional level (burn analysis, parametric bootstrap). Finally, discussion on main findings, chances and limitations of agricultural weather derivatives is considered. The research shows the need to better differentiate public risk management support in agriculture in the Czech Republic. Regarding the efficiency of weather derivatives, it is possible to conclude that spatial (geographical) and production basis risk significantly reduce the efficiency of weather derivatives in agricultural practice.
|
22 |
Applying a credit default swap valuation approach to price South African weather derivatives / Amelia Nadine HolemansHolemans, Amelia Nadine January 2010 (has links)
Most farmers in South Africa use standard insurance to protect their crops against natural disasters
such as hail or strong winds. However, no South African insurance contracts exist to compensate
for too much or too little rain (although floods are covered), or which will pay out if
temperatures were too high or too low for a certain period of time for the relevant crop.
Weather derivatives - which farmers may employ to ensure crops against adverse temperatures -
do exist, but these are mostly available in foreign markets in the form of Heating Degree Days
contracts and Cooling Degree Day contracts and are used chiefly by energy companies. Some
South African over-the-counter weather derivatives are available, but trading in these is rare and
seldom used.
The goal of this dissertation is to establish a pricing equation for weather derivatives specifically
for use in the South African market. This equation will be derived using a similar methodology
to that employed for credit default swaps. The premium derived will be designed to compensate
grape farmers from losses arising from two different climatic outcomes - in this case temperature
and precipitation. These derivatives will be region and crop specific and the formulation will be
sufficiently flexible as to allow for further climatic possibilities (which may be added at a later
stage).
These weather derivative premiums will then be compared to standard crop insurance to establish
economic viability of the products and recommendations will be made regarding their usage.
The possibility of the simultaneous use of these derivatives and standard crop insurance for optimal
crop coverage will also be explored and discussed. / Thesis (M.Com. (Risk management))--North-West University, Potchefstroom Campus, 2011.
|
23 |
Applying a credit default swap valuation approach to price South African weather derivatives / Amelia Nadine HolemansHolemans, Amelia Nadine January 2010 (has links)
Most farmers in South Africa use standard insurance to protect their crops against natural disasters
such as hail or strong winds. However, no South African insurance contracts exist to compensate
for too much or too little rain (although floods are covered), or which will pay out if
temperatures were too high or too low for a certain period of time for the relevant crop.
Weather derivatives - which farmers may employ to ensure crops against adverse temperatures -
do exist, but these are mostly available in foreign markets in the form of Heating Degree Days
contracts and Cooling Degree Day contracts and are used chiefly by energy companies. Some
South African over-the-counter weather derivatives are available, but trading in these is rare and
seldom used.
The goal of this dissertation is to establish a pricing equation for weather derivatives specifically
for use in the South African market. This equation will be derived using a similar methodology
to that employed for credit default swaps. The premium derived will be designed to compensate
grape farmers from losses arising from two different climatic outcomes - in this case temperature
and precipitation. These derivatives will be region and crop specific and the formulation will be
sufficiently flexible as to allow for further climatic possibilities (which may be added at a later
stage).
These weather derivative premiums will then be compared to standard crop insurance to establish
economic viability of the products and recommendations will be made regarding their usage.
The possibility of the simultaneous use of these derivatives and standard crop insurance for optimal
crop coverage will also be explored and discussed. / Thesis (M.Com. (Risk management))--North-West University, Potchefstroom Campus, 2011.
|
24 |
Three essays on agricultural and catastrophic risk managementChen, Shu-Ling, January 2007 (has links)
Thesis (Ph. D.)--Ohio State University, 2007. / Title from first page of PDF file. Includes bibliographical references (p. 97-104).
|
25 |
Deriváty na počasí jako alternativní nástroj řešení rizikovosti / Weather Derivatives as Alternative Risk SolutionKrupová, Tereza January 2010 (has links)
Thesis deals with weather derivatives and their position within other financial instruments. It is divided into five main parts. The aim of the first part is to describe the basic mechanism and hallmarks of derivatives as a part of financial market. Also a brief history of weather derivatives is charted. The second chapter is focused on risk and fundamental risk factors and approaches. The weather risk management is presented. The third part discuses weather risk as special kind of risk. This part analyzes the impact of weather on the economy. The differences between weather derivatives and insurance are highlighted. The fourth chapter presents the weather derivatives from the users' points of view; it describes weather derivatives' structure and usage, main underlying indices and also looks on the pricing issues. In the final part the current situation and the possible future evolution of weather derivatives is presented. This part also includes information about the main organizations dealing with either weather management or derivatives.
|
26 |
Three essays on agricultural and catastrophic risk managementChen, Shu-Ling 07 June 2007 (has links)
No description available.
|
27 |
Weather derivativesXu, Wei 18 September 2008 (has links)
Wetter stellt für die Landwirtschaft einen Hauptunsicherheitsfaktor dar. Angesichts der Kli-maveränderung gilt es als wahrscheinlich, dass Wetterschwankungen und die Häufigkeit extremer Wetterereignisse in Zukunft zunehmen werden. Vor diesem Hintergrund spielt die Entwicklung von Wetterrisikomanagementinstrumenten eine wichtige Rolle zur Einkom-mensstabilisierung in der Landwirtschaft sowohl in entwickelten Volkswirtschaften als auch in Entwicklungsländern. Seit Mitte der neunziger Jahre werden auf Finanzmärkten sogenannte Wetterderivate angebo-ten, die den Austausch von Wetterrisiken zwischen Marktteilnehmern ermöglichen. Zielsetzung der vorliegenden Arbeits ist es, die Einsatzmöglichkeiten von Wetterderivaten in der Landwirtschaft zu untersuchen. Dazu sind verschiedene methodische Vorarbeiten zu leisten. Erstens, wird ein statistisches Modell benötigt, das die Unsicherheit des betrachteten Wetterereignisses (z.B. Temperatur oder Niederschlag) beschreibt. Zweitens, muss der Zusammenhang zwischen Wetter und landwirtschaftlicher Produkti-on abgebildet werden. Drittens, schließlich bedarf es eines theoretischen Modells, um das Wetterderivat zu bepreisen. Liegen die genannten Modellkomponenten vor, kann die Hedgingeffektivität eines Wetterde-rivats aus Sicht eines landwirtschaftlichen Produzenten bestimmt werden. Dies geschieht in der vorliegenden Arbeit beispielhaft für Getreideproduzenten in Deutschland. Es zeigt sich, dass die Hedgigeffektivität und damit die Zahlungsbereitschaft für Wetterderivate produkt- und regionsspezifisch ist. Angesichts eines ausgeprägten Basisrisikos ist es unwahrscheinlich, dass Wetterderivate in Deutschland eine breite Anwendung durch Landwirte erfahren werden. Ihr Anwendungspotenzial bei landwirtschaftlichen Versicherern und Rückversicheren er-scheint dagegen höher, da diese mit Hilfe von Wetterderivaten einen Teil ihres systematischen Risikos aus landwirtschaftlichen Ertragsversicherungen auf den Kapitalmarkt transferieren können. / Weather is a major factor of uncertainty for agriculture. The effects of climate change means that it is likely that in the future there will be increased fluctuations in weather patterns and extreme meteorological events will become more regular. In this context, the development of weather risk management instruments plays an important role in the stabilising of incomes in the agricultural sector, both in developed economies as well as in developing countries. Since the mid-nineties, so-called weather derivatives have been emerged on the market which enables participants in the market to exchange weather risks. This work aims to investigate the implementation possibilities of weather derivatives in agriculture. A range of methodological preliminary investigations will be carried out. First of all it is necessary to find a statistical model which describes the uncertainty of observed weather events (e.g. temperature or precipitation). Secondly, the relationship between weather and agricultural production needs to be mapped. Thirdly, a theoretical model needs to be devised which is capable of pricing the weather derivatives. The hedging effectiveness of a weather derivative can be determined from the point of view of an agricultural producer using the model components described above. This study will use the example of grain producers in Germany. It will demonstrate that hedging effectiveness and with it willingness to pay for weather derivatives depends on the product and region. A pronounced basis risk means that it is unlikely that weather derivatives will be widely used by farmers in Germany. Their application potential for agricultural insurers and reinsurers, however, seems greater, since they can use weather derivatives to transfer a part of their systematic risk from agricultural income insurance onto the capital market.
|
28 |
Dynamic moment analysis of non-stationary temperature data in AlbertaZhou, Qixuan January 2010 (has links)
Strong seasonality is observed in the volatile hourly Alberta temperature and its low- and high-order statistical moments. We propose a time series model consisting of a linear combination of an annual sinusoidal model, a diurnal sinusoidal model and a fractional residual model, to study the characteristics of these spatial and time-dependent Alberta temperatures. Wavelet multi-resolution analysis is used to measure Hurst exponents of the temperature series. Our empirical results show that these Hurst exponents vary over various time scales, indicating the existence of multi-fractality in the temperatures. Such temperature models are of importance for the pricing and insurance of agricultural crops, of tourist resorts and of all forms of energy extraction and generation of importance to the resource-based economy of Alberta. Of particular interests are the observed extreme volatilities in the winters, caused by the unpredictable Chinook winds, which may be an important reason to introduce a Chinook insurance option. / 64 leaves : map ; 29 cm
|
29 |
An Analysis of Markov Regime-Switching Models for Weather Derivative PricingGerdin Börjesson, Fredrik January 2021 (has links)
The valuation of weather derivatives is greatly dependent on accurate modeling and forecasting of the underlying temperature indices. The complexity and uncertainty in such modeling has led to several temperature processes being developed for the Monte Carlo simulation of daily average temperatures. In this report, we aim to compare the results of two recently developed models by Gyamerah et al. (2018) and Evarest, Berntsson, Singull, and Yang (2018). The paper gives a thorough introduction to option theory, Lévy and Wiener processes, and generalized hyperbolic distributions frequently used in temperature modeling. Implementations of maximum likelihood estimation and the expectation-maximization algorithm with Kim's smoothed transition probabilities are used to fit the Lévy process distributions and both models' parameters, respectively. Later, the use of both models is considered for the pricing of European HDD and CDD options by Monte Carlo simulation. The evaluation shows a tendency toward the shifted temperature regime over the base regime, in contrast to the two articles, when evaluated for three data sets. Simulation is successfully demonstrated for the model of Evarest, however Gyamerah's model was unable to be replicated. This is concluded to be due to the two articles containing several incorrect derivations, why the thesis is left unanswered and the articles' conclusions are questioned. We end by proposing further validation of the two models and summarize the alterations required for a correct implementation.
|
30 |
Weather risk managementCabrera, Brenda López 30 August 2010 (has links)
CAT-Bonds und Wetterderivate sind die Endprodukte eines Verbriefungprozesses, der nicht handelbare Risikofaktoren (Wetterschäden oder Naturkatastrophenschäden) in handelbare Finanzanlagen verwandelt. Als Ergebnis sind die Märkte für diese Produkte in der Regel unvollständig. Da geeignete Risikomaße in Bezug auf einen bestimmten Preis Voraussetzung sind zur Preisbestimmung, ist es notwendig den Marktpreis des Risikos (MPR), welcher ein wichtiger Parameter des zugehörigen äquivalenten Martingalmaß ist, zu berücksichtigen. Die Mehrheit der bisherigen Veröffentlichungen haben die Preise der nicht handelbaren Vermögenswerte mittels der Annahme geschätzt, dass der MPR gleich null ist. Diese Annahme verzerrt allerdings die Preise und wurde bisher noch nicht quantifiziert. Diese Doktorarbeit beschäftigt sich mit den Unterschieden zwischen dem historischen und dem risikoneutralen Verhalten der nicht handelbaren Basiswerte und gibt Einblicke in den Marktpreis für Wetterrisiko und die Wetterrisikoprämie. Diese Arbeit beginnt mit einer Darstellung der Instrumente zur Übertragung der Risiken, gefolgt von den finanziellen - statistischen Verfahren und endet mit einer Untersuchung reeller Daten, wobei der Schwerpunkt auf die implizierten Trigger-Intensitätsraten eines parametrischen CAT-Bond für Erdbeben und auf den MPR der Temperatur Derivate gelegt wird. / CAT bonds and weather derivatives are end-products of a process known as securitization that transform non-tradable (natural catastrophes or weather related) risk factors into tradable financial assets. As a result the markets for such products are typically incomplete. Since appropiate measures of the risk associated to a particular price become necessary for pricing, one essentially needs to incorporate the market price of risk (MPR), which is an important parameter of the associated equivalent martingale measure. The majority of papers so far has priced non-tradable assets assuming zero MPR, but this assumption yields biased prices and has never been quantified earlier. This thesis deals with the differences between historical and risk neutral behaviors of the non-tradable underlyings and gives insights into the behaviour of the market price of weather risk and weather risk premium. The thesis starts by introducing the risk transfering instruments, the financial - statistical techniques and ends up by examining the real data applications with particular focus on the implied trigger intensity rates of a parametric CAT bond for earthquakes and the MPR of temperature derivatives.
|
Page generated in 0.0684 seconds