| Project/Area Number |
23530373
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Multi-year Fund |
|---|
| Section | 一般 |
|---|
| Research Field |
Public finance/Monetary economics
|
|---|
| Research Institution | Iwate Prefectural University |
|---|
Principal Investigator |
TEE Kian Heng 岩手県立大学, 総合政策学部, 准教授 (70325140)
|
|---|
| Project Period (FY) |
2011 – 2013
|
| Project Status |
Completed (Fiscal Year 2013)
|
| Budget Amount *help |
¥2,470,000 (Direct Cost: ¥1,900,000、Indirect Cost: ¥570,000)
Fiscal Year 2013: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2012: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2011: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
|
|---|
| Keywords | 天候デリバティブ / リスクヘッジ / リスクスワップ / 気温オプション / GARCHモデル / SVモデル / Hellinger距離 / 気温リスクスワップ / Burning Cost法 / 確率分布法 / 気象リスク / VARモデル |
|---|
| Research Abstract |
The purpose of this research is analysis of the weather risk of a company in Iwate Prefecture, and analyzing the hedge effect when utilizing weather derivatives.
I used burning cost method and probability distribution method to calculating the premium of the temperature derivatives. Burning cost method is the method of calculating the premium using the past data. And probability distribution method is the method of assuming about the distribution of the data, performing the simulation based on the distribution, and calculating the premium based on the result of the simulation. I also consider weather derivative transaction between two companies in order to transfer the risks of adverse weather, called risk swap transaction. I used Hellinger distance to verify the equity of the risk swap transaction.
I found that the premium of the derivatives calculated by the two methods was different and the equity of the risk swap transaction is not obtained.
|
