A Methodical Approach to Design and Valuation of Weather Derivatives in Agriculture
Joint Authors
Source
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-06-13
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
The paper deals with weather derivatives as the potentially effective risk management tool for agricultural enterprises seeking to mitigate their income exposure to variations in weather conditions.
Design and valuation of the weather derivatives is an interdisciplinary approach covering agrometeorology, statistics, mathematical modeling, and financial and risk management.
This paper first offers an overview of data sources and then methods of design and valuation of weather derivatives at the regional level.
The accompanied case study focuses on cultivation of cereals (wheat and barley) in the Czech Republic.
However, its generalizability is straightforward.
The analysis of key growing phases of cereals is based on regression analysis using weather indices as the independent variables and crop yields as dependent variables.
With the bootstrap tool, the burn analysis is considered as useful tool for estimating uncertainty about the payoff, option price, and statistics of probability distribution of revenues.
The results show that the spatial and production basis risks reduce the efficiency of the weather derivatives.
Finally, the potential for expansion of weather derivatives remains in the low income countries of Africa and Asia with systemic weather risk.
American Psychological Association (APA)
Spicka, Jindrich& Hnilica, Jiri. 2013. A Methodical Approach to Design and Valuation of Weather Derivatives in Agriculture. Advances in Meteorology،Vol. 2013, no. 2013, pp.1-8.
https://search.emarefa.net/detail/BIM-449367
Modern Language Association (MLA)
Spicka, Jindrich& Hnilica, Jiri. A Methodical Approach to Design and Valuation of Weather Derivatives in Agriculture. Advances in Meteorology No. 2013 (2013), pp.1-8.
https://search.emarefa.net/detail/BIM-449367
American Medical Association (AMA)
Spicka, Jindrich& Hnilica, Jiri. A Methodical Approach to Design and Valuation of Weather Derivatives in Agriculture. Advances in Meteorology. 2013. Vol. 2013, no. 2013, pp.1-8.
https://search.emarefa.net/detail/BIM-449367
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-449367