Managing Meteorological Risk through Expected Shortfall

Risks

Silvana Stefani¹  Enrico Moretto²  Gleda Kutrolli³  Sergei Kulakov⁴ 

[1] Dipartimento di Discipline Matematiche, Finanza Matematica ed Econometria, Università Cattolica del Sacro Cuore, via Necchi, 9, 20123 Milano, Italy;Dipartimento di Economia, Università degli Studi dell’Insubria, via Monte Generoso 71, 21100 Varese, Italy;Dipartimento di Statistica e Metodi Quantitativi, Università di Milano-Bicocca, Piazza dell’Ateneo Nuovo, 1, 20126 Milano, Italy;House of Energy Markets and Finance, University of Duisburg-Essen, Berliner Platz 6-8, 45127 Duisburg, Germany;

关键词: climate change;    temperature;    risk hedging;    Value-at-Risk;    Expected Shortfall;    portfolio diversification;   

DOI  :  10.3390/risks8040118

来源: DOAJ

【 摘 要 】

This paper focuses on weather derivatives as efficient risk management instruments and proposes a more advanced approach for their pricing. An “hybrid” contract is introduced, combining insurance properties, specifically tailored for the region under study and introducing Value-at-Risk (VaR) and Expected Shortfall (ES) as appropriate measures for the strike price. The numerical results show that VaR and ES are both efficient ways for managing the so-called Tail Risk; further, being ES more conservative than VaR and due to its subadditivity property, it can be seen that seasonal contracts are generally better off than monthly contracts in reducing global risk.

【 授权许可】

Unknown