管理评论

›› 2015, Vol. 27 ›› Issue (10): 33-43.

• 经济与金融管理 • 上一篇    下一篇

天气衍生品基差风险量化及对冲效果研究

李永, 马宇, 崔习刚   

  1. 同济大学经济与管理学院, 上海 200092
  • 收稿日期:2014-04-22 出版日期:2015-10-31 发布日期:2015-11-06
  • 作者简介:李永,同济大学经济与管理学院副教授,硕士生导师,博士;马宇,同济大学经济与管理学院硕士研究生;崔习刚,同济大学经济与管理学院硕士研究生。
  • 基金资助:

    国家社会科学基金一般项目(15BJY127)。

Weather Derivatives Basis Risk Quantifying and Hedging Effect

Li Yong, Ma Yu, Cui Xigang   

  1. School of Economics and Management, Tongji University, Shanghai 200092
  • Received:2014-04-22 Online:2015-10-31 Published:2015-11-06

PDF (PC)

990

摘要：

天气衍生品在国外企业对冲天气风险中取得显著效果,但天气衍生品的收益和实际损失之间的偏差削弱了其对冲效果,降低了套期保值者购买天气衍生品的热情。在量化空间基差风险的基础上,致力于探究通过增加空间多样化的方式降低基于降雨量的天气衍生品的空间基差风险。最小化空间基差风险需要知道不同地区的降雨量联合分布,为此,通过估计降雨量随机生成模型得出最优空间组合的权重。研究发现,这种方法相对于传统的历史数据模拟法和反距离加权法,能够更有效地降低天气衍生品的空间基差风险,从而更好的复制天气敏感企业暴露在一般天气风险下的收益,有助于提高企业购买天气衍生品的热情。

关键词: 天气衍生品, 天气风险, 空间基差风险, 均方根误差

Abstract:

Weather derivatives have achieved remarkable effects in hedging weather risks in foreign countries, but its inner geographical basis risk reduces the degree of market acceptance. We decrease the geographical basis risk of weather derivatives by increasing the space diversity, on the basis of quantifying the geographical basis risk. To minimize the geographical basis risk, we need to know the joint distribution of rainfall in different regions, so we estimate the randomly generated model of rainfall to get the weight of optimal geographic combination. The study shows that, compared with the traditional historical data simulation method and inverse distance weighting method, this new method can be more effective in reducing the geographical basis risk of weather derivatives, and it can copy the revenue of weather-sensitive companies under general weather risks, so it is helpful to improve the enthusiasm enterprises to purchase weather derivatives.

Key words: weather derivatives, weather risk, geographical basis risk, root mean square error