Janda, Karel and Vylezik, Tomas (2011): Financial Management of Weather Risk with Energy Derivatives.
Download (178kB) | Preview
In this paper we describe the major issues in the weather risk management. We focus on the management of financial risks connected with weather. We first provide a general discussion of the impact of weather on the economy. Then we follow with the overview of the development of the weather risk management. The core of the paper in then devoted to the role of weather derivatives as financial tools for weather risk management.
|Item Type:||MPRA Paper|
|Original Title:||Financial Management of Weather Risk with Energy Derivatives|
|English Title:||Financial Management of Weather Risk with Energy Derivatives|
|Keywords:||Financial risk; Weather risk; Derivatives; Energy|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing; Futures Pricing
Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics > Q4 - Energy
|Depositing User:||Karel Janda|
|Date Deposited:||26. Nov 2011 15:37|
|Last Modified:||12. Feb 2013 17:46|
Alaton, P.; Djehiche, B.; Stillberger, D. (2002): On Modelling and Pricing Weather Derivatives, Applied Mathematical Finance, Volume 9, Issue 1 March 2002 , pages 1 - 20.
Ameko, A (2004): Managing weather risk to reduce earnings volatility, Environmental Finance 6(1): 56-57, October 2004.
Buckley, N.; Hamilton, A.; Harding, J.; Roche, N.; Ross, N.; Sands, E; Skelding, R.; Watford, N.; Whitlow, H. (2002): European Weather Derivatives, working paper, http://www.actuaries.org.uk/__data/assets/pdf_file/0020/18722/Ross.pdf [as of 2009-06-17].
Campbell, S. D. and Diebold F. X. (2005): Weather Forecasting for Weather Derivatives, Journal of the American Statistical Association. March 1, 2005, 100(469): 6-16. doi: 10.1198/016214504000001051.
Cao, M. and Wei, J. (2004): Weather Derivatives Valuation and Market Price of Weather Risk, Journal of Futures Markets. Vol 24, No. 11.
Clemens, A. E.; Hurn, A. S.; Lindsay, K. A. (2008): Estimating the Payoffs of Temperature-based Weather Derivatives, NCER Working Paper Series, Working Paper #33, August 2008, http://www.ncer.edu.au/papers/documents/NCER_WpNo33Aug08.pdf [as of 2009-07-06].
Dutton, J. F. (2002a): Opportunities and Priorities in a New Era for Weather and Climate Services, Bulletin of the American Meteorological Society 83, September 2002, pp. 1303-1311.
Dutton, J. F. (2002b): Weather Risk Mitigation at Jefferson Gas, Weather Venture Ltd, http://www.weatherventures.com/publications/JeffersonGas.pdf [as of 2009-06-14].
Garman, M.; Blanco, C.; Erickson, R. (2000): Seeking a Standard Pricing Model, Environmental Finance, March 2000.
Geyser, J. M. (2004): Weather derivatives: Concept & application for their use in South Africa, Agrekon, 2004, vol. 43, issue 4.
Larsen, P. H. (2006): An Evaluation of the Sensitivity of U.S. Economic Sectors to Weather, http://ssrn.com/abstract=900901 [as of 2009-06-14].
Mitu, N. M. (2008): Weather derivatives – a new concept in the weather insurances, Annals of the University of Craiova Economic Science Series. Issue 36, Vol. 4 pp. 1958-1966, http://www.ceeol.com/ [as of 2009-06-15].
Müller, A. and Grandi, M. (2000): Weather derivatives for protection against weather risks: Speculation tool or integral element of the risk management tools of weather-sensitive industries? Geneva Papers on Risk and Insurance: Issues and Practice 25: 273–87, http://www.munichre.com/publications/art_weather_derivates_en.pdf [as of 2009-06-15].
Myers, R. (2008): What Every CFO Needs to Know About Weather Risk Management, CME Group & Storm Exchange Inc., available at http://www.cmegroup.com/trading/weather/files/WeatherRisk_CEO.pdf [as of 2009-06-15].
Nelken, I. (2000): Weather Derivatives – Pricing and Hedging. Super Computer Consulting, Inc., http://www.supercc.com/papers/Weather.pdf [as of 2009-06-15].
Ruck, T. (2001): Hedging Weather Risk for Improved Financial Performance, Energy Koch Trading LP, http://www.oildompublishing.com/power/pgmarchieves/Sept-Oct/Hedging10-01.pdf [as of 2009-06-14].
Sytsma, D. L. and Thompson, G. A. (2002): Weather Risk Management: A Survivor of the Collapse/Demise of U.S. Energy Merchants, R.J. Rudden Associates, Inc., http://www.climetrix.com/WeatherMarket/SelectedArticles/RJRuddenRpt081502.pdf [as of 2009-06-19].
Tindall, J. (2006): Weather Derivatives: Pricing and Risk Management Applications, Institute of Actuaries of Australia, http://www.actuaries.asn.au/IAA/upload/public/fsf06_paper_tindall_weather%20derivatives.pdf [as of 2009-06-06].
Zeng, L. (2000): Weather Derivatives and Weather Insurance: Concept, Application, and Analysis, Bulletin of the American Meteorological Society, vol. 81, Issue 9, pp. 2075-2082.