天气风险管理与天气衍生产品定价研究

发布时间：2018-03-25 14:48

本文选题：天气风险　切入点：天气衍生产品　出处：《天津大学》2012年硕士论文

【摘要】：天气风险是指因天气气候变化给人们的生命财产安全、生产经营活动以及经济发展带来的不确定性。根据天气风险发生的概率及造成的后果,可以把天气风险分为三类。其分别为天气灾害风险、一般天气风险和气候变化风险。对于一般的天气风险,传统的风险管理策略不能很好地规避,而天气衍生产品可以很好的规避这类风险。天气衍生产品就是指以一定区域内的温度、风速、湿度、雨量、降雪量等气象条件为基础数值的新兴衍生产品。我国对天气衍生品及其作用的了解尚处于起步阶段,天气衍生品市场尚未建立起来。本文研究国内外研究天气衍生产品定价的文献,选取天津市2000年1月1日至2009年12月31日的气温数据,使用Ornstein-Uhlenbeck过程建立气温的随机模型,并对模型中的参数进行估计,得到气温的参数分布,然后利用蒙特卡罗方法预测气温。接着以天津市某电力公司为例,应用风险中性的定价原理对天气衍生产品进行定价。结果显示:随着期权截止日的临近,天津地区的气温期权价格与真实价值越趋接近。电力公司应该购买期权进行套期保值,以此规避企业遇到的气温变化引起的财务风险。这说明利用蒙特卡罗方法,可以对气温期权进行较为合理定价,对于我国的气温金融衍生品具有一定的实用性,并为其提供了一些参考价值。但我们同时也注意到气温的物理形成过程极其复杂,特别我国气候复杂多变。气温期权的技术设计研究还远远不够,需要更进一步的理论探索和实践。
[Abstract]:Weather risk refers to the uncertainty brought about by weather and climate change in people's lives and property, production and operation activities and economic development. According to the probability of weather risk and its consequences, Weather risk can be divided into three categories: weather disaster risk, general weather risk and climate change risk. For general weather risk, traditional risk management strategy can not avoid it very well. And weather derivatives can be a good hedge against this kind of risk. Weather derivatives are new derivatives based on meteorological conditions such as temperature, wind speed, humidity, rainfall, snowfall and other meteorological conditions in a certain region. Our understanding of weather derivatives and their role is still in its infancy. The weather derivatives market has not yet been established. This paper studies the literature of weather derivative pricing at home and abroad, selects the temperature data of Tianjin from January 1, 2000 to December 31, 2009, establishes the temperature stochastic model by using the Ornstein-Uhlenbeck process, and estimates the parameters of the model. The parameter distribution of temperature is obtained, and then the temperature is predicted by Monte Carlo method. Then, taking a power company in Tianjin as an example, Using the risk-neutral pricing principle to price weather derivatives, the results show that with the closing date of the option, the price of air temperature option in Tianjin is closer to the real value. The power company should purchase the option to hedge. In order to avoid the financial risk caused by the change of temperature, it shows that the temperature option can be priced reasonably by using Monte Carlo method, and it has certain practicability for the air temperature financial derivatives in our country. But we also note that the physical formation process of temperature is extremely complex, especially in our country. The technical design of temperature option is far from enough. Further theoretical exploration and practice are needed.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;P4

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