Minimizing Geographical Basis Risk of Weather Derivatives Using A Multi-Site Rainfall Model
Minimizing Geographical Basis Risk of Weather Derivatives Using A Multi-Site Rainfall Model
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DOI：
10.1007/s10614-013-9410-y
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发表时间：
2013-11
影响因子：
2
通讯作者：
M. Ritter;O. Musshoff;M. Odening
中科院分区：
文献类型：
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作者：
M. Ritter;O. Musshoff;M. Odening
众所周知，天气衍生品的套期保值有效性受到地理基础风险的干扰，即，不同地点天气状况的差异。在本文中，我们将探讨如何通过区域多样化来降低基于降雨的衍生品的地理基础风险。要尽量减少地理基础风险，就需要了解不同地点降雨量的共同分布情况。为了这个目的，我们估计每日多站点降雨模型，从最优投资组合的权重。我们发现，这种方法可以更有效地降低地理基础风险比简单的方法，例如，反距离加权。
It is well known that the hedging effectiveness of weather derivatives is interfered by the existence of geographical basis risk, i.e., the deviation of weather conditions at different locations. In this paper, we explore how geographical basis risk of rainfall based derivatives can be reduced by regional diversification. Minimizing geographical basis risk requires knowledge of the joint distribution of rainfall at different locations. For that purpose, we estimate a daily multi-site rainfall model from which optimal portfolio weights are derived. We find that this method allows to reduce geographical basis risk more efficiently than simpler approaches as, for example, inverse distance weighting.