Artikel
Managing meteorological risk through expected shortfall
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.
- Language
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Englisch
- Bibliographic citation
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 4 ; Pages: 1-23 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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climate change
temperature
risk hedging
Value-at-Risk
Expected Shortfall
portfolio diversification
- Event
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Geistige Schöpfung
- (who)
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Stefani, Silvana
Kutrolli, Gleda
Moretto, Enrico
Kulakov, Sergei
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2020
- DOI
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doi:10.3390/risks8040118
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Stefani, Silvana
- Kutrolli, Gleda
- Moretto, Enrico
- Kulakov, Sergei
- MDPI
Time of origin
- 2020
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