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| Registros recuperados: 20 | |
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| Berg, Ernst; Schmitz, Bernhard; Starp, Michael; Trenkel, Hermann. |
| The risks associated with farming activities are likely to increase in the future. It, therefore, appears worthwhile to analyse new risk management instruments. This paper investigates weather derivatives for which a market has already emerged in the USA. Contrary to traditional financial derivatives, their payoff is determined by future weather events, such as temperature or precipitation. Thus, they hedge risks which result from climate. Since they address production risks they are complementary to instruments that hedge price risks, such as future markets. The objective of the paper is to evaluate the economic impacts of weather derivatives and to assess their potential as farm level instruments of risk management. After outlining the main... |
| Tipo: Journal Article |
Palavras-chave: Weather derivatives; Weather risk; Risk management; Stochastic simulation; Financial Economics; Risk and Uncertainty. |
| Ano: 2005 |
URL: http://purl.umn.edu/97213 |
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| Berg, Ernst; Schmitz, Bernhard. |
| Recent and presumable future developments tend to increase the risks associated with farming activities. These include climate risks which have always played an important role in farming. Weather based instruments can be valuable tools to reduce the risk associate with unfavourable climatic events. However, a number of factors can limit the hedging effectiveness of these tools. These factors include basis risk, the impacts of remaining price uncertainty and diversification effects. The paper addresses the influence of each of these factors. In its final part an integrated approach for a comprehensive assessment of weather derivatives and other hedging instruments is proposed that is based on the concept of portfolio optimisation. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Downside risk; Portfolio optimisation; Risk management; Risk-value models; Weather derivatives; Risk and Uncertainty. |
| Ano: 2007 |
URL: http://purl.umn.edu/9269 |
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| Simmons, Phil; Edwards, Miriam; Byrnes, Joel. |
| A theoretical optimal hedging model is developed to determine potential demand from Australian farmers for a hedging tool to remove the economic consequences of climate related variability in wheat yield. In the past, financial instruments have been developed to hedge price risk on capital markets; however, in more recent times new financial instruments, weather derivatives, have been developing that hedge the volumetric risk associated with unfavourable weather. Weather derivatives have the ability to effectively hedge weather related volume risk for the agricultural, mining, energy and manufacturing industries, while also providing a risk management tool for construction firms and special events organisers, although there are still many hurdles to... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Weather derivatives; Risk; Hedging; Wheat; Crop Production/Industries; Risk and Uncertainty. |
| Ano: 2007 |
URL: http://purl.umn.edu/9262 |
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| Woodard, Joshua D.; Garcia, Philip. |
| Previous studies identify limited potential efficacy of weather derivatives in hedging agricultural exposures. In contrast to earlier studies which investigate the problem at low levels of aggregation, we find using straight forward temperature contracts that better weather hedging opportunities exist at higher levels of spatial aggregation. Aggregating production exposures reduces idiosyncratic (i.e. localized or region specific) risk, leaving a greater proportion of the total risk in the form of systemic weather risk which can be effectively hedged using weather derivatives. The aggregation effect suggests that the potential for weather derivatives in agriculture may be greater than previously thought, particularly for aggregators of risk such as... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Weather derivatives; Spatial aggregation; Corn; Yield risk; Crop insurance; Hedging; Risk and Uncertainty. |
| Ano: 2007 |
URL: http://purl.umn.edu/9832 |
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| Turvey, Calum G.. |
| This paper presents a model and framework for pricing degree-day weather derivatives when the weather variable is a non-traded asset. Using daily weather data from 1840-1996 it is shown that a degree-day weather index exhibits stable volatility and satisfies the random walk hypothesis. The paper compares the options prices from the recommended model and compares it to a typical insurance-type model. The results show that the insurance model overprices the option value at-the-money and this may explain why the bid-ask spreads in the weather derivatives market is sometimes very large. |
| Tipo: Working or Discussion Paper |
Palavras-chave: Weather derivatives; Degree-day options; Weather risk; Marketing; Risk and Uncertainty. |
| Ano: 2001 |
URL: http://purl.umn.edu/34109 |
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| Vedenov, Dmitry V.; Barnett, Barry J.. |
| This study analyzes efficiency of weather derivatives as primary insurance instruments for six crop reporting districts that are among the largest producers of corn, cotton, and soybeans in the United States. Specific weather derivatives are constructed for each crop/district combination based on analysis of several econometric models. The performance of the designed weather derivatives is then analyzed both in- and out-of-sample. The primary findings suggest that the optimal structure of weather derivatives varies widely across crops and regions, as does the risk-reducing performance of the optimally designed weather derivatives. Further, optimal weather derivatives required rather complicated combinations of weather variables to achieve reasonable fits... |
| Tipo: Journal Article |
Palavras-chave: Agricultural risk management; Crop insurance; Index insurance; Weather derivatives; Risk and Uncertainty. |
| Ano: 2004 |
URL: http://purl.umn.edu/30916 |
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| Best, Peter; Stone, Roger; Sosenko, Olena. |
| Global and hemispheric climate indicators have proved useful in many countries for characterising intra- and inter-annual variability in climate processes, agricultural output and biomass production. They also form the basis of successful seasonal climate and production prediction systems for the probability distributions of allied parameters such as rainfall or crop yield. Climate risk management via derivative, insurance or bond instruments has only recently incorporated non-local climate parameters such as "teleconnection" indices in payoff functions and overall design. A feasibility study of using the Southern Oscillation Index in weather derivatives for the Australian wheat industry has suggested several such climate-anomaly indicators as suitable... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Weather derivatives; SOI; Wheat yield; Australian case studies; Climate adaptation; Agribusiness; Risk and Uncertainty. |
| Ano: 2007 |
URL: http://purl.umn.edu/9257 |
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| Musshoff, Oliver; Odening, Martin; Xu, Wei. |
| The importance of weather as a production factor in agriculture is well established long time and a significant portion of yield fluctuations is caused by weather risks. Traditionally, farmers have tried to hedge against unfavorable weather using insurance, such as crop insurance. In recent years a new class of instruments, so called weather derivatives, have emerged. They allows to reduce weather based risks as well. Weather derivatives are financial market products such as forwards, futures, options and swaps, that have a weather component such as temperature or rainfall. Although weather derivatives have some advantages compared to traditional insurance, their trading volume is still rather small. One reason (among others) for why potential users... |
| Tipo: Journal Article |
Palavras-chave: Weather derivatives; Option pricing; Actuarial methods; Financial methods; Financial Economics; Risk and Uncertainty. |
| Ano: 2005 |
URL: http://purl.umn.edu/97216 |
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| Woodard, Joshua D.; Garcia, Philip. |
| Previous studies identify limited potential efficacy of weather derivatives in hedging agricultural exposures. In contrast to earlier studies which investigate the problem at low levels of aggregation, we find that better weather hedging opportunities may exist at higher levels of spatial aggregation. Aggregating production exposures reduces idiosyncratic risk, leaving a greater proportion of the total risk in the form of systemic weather risk which can be effectively hedged using relatively simple weather derivatives. The aggregation effect suggests that the potential for weather derivatives in agriculture may be greater than previously thought, particularly for aggregators of risk such as reinsurers. |
| Tipo: Journal Article |
Palavras-chave: Crop insurance; Hedging; Reinsurance; Spatial aggregation; Systemic risk; Weather derivatives; Risk and Uncertainty. |
| Ano: 2008 |
URL: http://purl.umn.edu/36705 |
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| Schulte-Geers, Matthias; Berg, Ernst. |
| The optimisation of production plans is an important topic in agriculture, often related to diversification and specialisation as the classical instruments of coping with production risk. Although the measurement of embedded risk is often inaccurate, it is nevertheless necessary for decision making to describe the common behaviour of different variables in a model. Imprecisely defined relationships influence the “right” choice, why it is important to find a good approximation of the real circumstances. In financial science, copula functions are frequently used instead of correlation coefficients to model joint price behaviour, because of the possibility to link the marginal distributions on multifarious ways. By now, agricultural science makes less use of... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Copula; Risk; Weather derivatives; Risk and Uncertainty. |
| Ano: 2011 |
URL: http://purl.umn.edu/115996 |
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| Registros recuperados: 20 | |
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