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2013 Fiscal Year Final Research Report

Research of utilizing the weather derivatives, relation between the major companies and the risk of unseasonable weather in Iwate Prefecture

Research Project

  • PDF
Project/Area Number 23530373
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Public finance/Monetary economics
Research InstitutionIwate 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
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
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.

  • Research Products

    (4 results)

All 2014 2013 2012 2011

All Journal Article (2 results) Presentation (2 results)

  • [Journal Article] 岩手県における夏季のリスクスワップの分析2014

    • Author(s)
      Tee KianHeng
    • Journal Title

      岩手県立大学総合政策学会

      Volume: 第16巻1号

  • [Journal Article] 岩手県県内都市における冬の気温オプションの価格分析とリスクスワップの分析2012

    • Author(s)
      Tee KianHeng
    • Journal Title

      岩手県立大学総合政策学会

      Volume: 第14巻1号 Pages: 1-18

  • [Presentation] 気温スワップ取引―GARCHモデルとSVモデルとの比較2013

    • Author(s)
      Tee KianHeng
    • Organizer
      科学研究費補助金「ファイナンス時系列における「発展モデル」の開発と統計的推測」による計量経済学・計量ファイナンス研究集会
    • Place of Presentation
      広島経済大学
    • Year and Date
      2013-12-23
  • [Presentation] 岩手県内都市における気温オプションのペイオフに関する分析2011

    • Author(s)
      Tee KianHeng
    • Organizer
      科学研究費補助金「ファイナンス時系列における「発展モデル」の開発と統計的推測」による計量経済学・計量ファイナンス研究集会
    • Place of Presentation
      広島経済大学
    • Year and Date
      2011-12-23

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Published: 2015-07-16   Modified: 2021-04-07  

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