财经理论与实践
財經理論與實踐
재경이론여실천
The Theory and Practice of Finance and Economics
2011年
6期
39~43
,共null页
天气风险 天气衍生品 风险管理 取暖指数
天氣風險 天氣衍生品 風險管理 取暖指數
천기풍험 천기연생품 풍험관리 취난지수
Weather risk, Weather derivatives ; Risk management ; Heating degree days
天气衍生品是为了规避天气风险给天气敏感行业带来收入的不稳定性而兴起的创新型风险管理工具，其实质是通过衍生舍约对天气风险进行分割、重组和交易的证券化产品。不同于传统金融衍生品，天气衍生品的价值取决于温度、湿度或降雨量等天气指数。本文在分析天气衍生品市场发展的基础上，重点探讨了最常见的天气期货和天气期权的运作机制及其精算定价。
天氣衍生品是為瞭規避天氣風險給天氣敏感行業帶來收入的不穩定性而興起的創新型風險管理工具，其實質是通過衍生捨約對天氣風險進行分割、重組和交易的證券化產品。不同于傳統金融衍生品，天氣衍生品的價值取決于溫度、濕度或降雨量等天氣指數。本文在分析天氣衍生品市場髮展的基礎上，重點探討瞭最常見的天氣期貨和天氣期權的運作機製及其精算定價。
천기연생품시위료규피천기풍험급천기민감행업대래수입적불은정성이흥기적창신형풍험관리공구，기실질시통과연생사약대천기풍험진행분할、중조화교역적증권화산품。불동우전통금융연생품，천기연생품적개치취결우온도、습도혹강우량등천기지수。본문재분석천기연생품시장발전적기출상，중점탐토료최상견적천기기화화천기기권적운작궤제급기정산정개。
Weather derivatives are innovative risk management tools for the weather-sensitive industries to hedge against income volatility due to weather risk. They are essentially securitization instruments in derivative contracts by dividing, restructuring, and trading of weather risks. Different from traditional financial derivatives, the value of weather derivatives depends on the weather index of temperature, humidity or rainfall and so on. Having analyzed the development of weather derivatives market, the operational mechanisms and actuarial pricings of the most popular weather futures and weather options are discussed in the paper.
