反距离加权法天气衍生品空间基差风险对冲效果  

Hedging Effectiveness of Geographical Basis Risk of Weather Derivatives:Based on Inverse Distance Weighting

作　　者：李永[1] 崔习刚[1] 刘鹃 

机构地区：[1]同济大学经济与管理学院,上海200092 [2]大地财产保险公司,上海200135

出　　处：《中国人口·资源与环境》2013年第10期160-168,共9页China Population,Resources and Environment

基　　金：国家社会科学基金"中国农业巨灾债券的运行机制设计与定价研究"(编号:09CJY091);2012年中央高校基本科研业务费专项资金项目

摘　　要：天气衍生品作为一项金融创新产品,为天气风险的管理和转移提供了新的途径。与传统衍生品不同的是,天气衍生品合约标的物是常见的天气变量,本身不具有资产价格,因此面临的并不是传统意义上的基差风险。天气衍生品的基差风险包括产品基差风险和空间基差风险,这些基差风险严重影响着天气衍生品的风险对冲效果,阻碍了市场发展,也是研究的重点与难点。相比产品基差风险因特定部门而异,空间基差风险具有不可避免的特点。依据反距离加权法,增加空间多样性构建天气衍生品组合,可用于对冲空间基差风险,但需要经验数据验证。研究表明,天气衍生品收益与假设收益的均方根误差(RMSE)能够很好的量化天气敏感企业遇到的天气风险,天气风险对冲效果可以通过RMSE的变化值进行度量;构建中国华东地区降雨量看跌期权交易,相较单一地区收益偏差,期权买方采用空间组合策略取得了更好的空间基差风险对冲效果。此外,研究结果发现,在构建天气衍生品空间组合时,组合中气象观测点的数目并不是越多越好,即较少的观测点个数即能显著降低天气风险对冲效果,这也为实践操作提供了便利。As one of financial innovative products,weather derivatives provide new ways to manage and transfer weather risks.Different from the traditional financial derivatives,weather derivatives＇ underlying matters don＇t have asset price,which are common weather variables,for example,average temperature,heating degree days and cooling degree days.Weather derivatives＇ basis risks consist of product basis risk and geographical basis risk.These basis risks hinder the development of weather derivatives,which are also the emphasis and difficulty in the field of weather derivatives.Compared with product basis risk,geographical basis risk （i.e.the deviation of weather conditions at different locations）is unavoidable.It is still unknown whether spatial-portfolio of weather derivatives in different locations,weighting by inverse distance,could hedge the geographical basis risk or not.For that purpose,we construct the root mean standard error between the revenue of weather derivatives and the hypothetical revenue to measure the weather risks of the weather-sensitive enterprises.We find that in contrast with single-site rainfall based derivative,multi-site rainfall-derivatives can perform better in hedging geographical basis risk,with a put option of rainfall-derivatives testing the feasibility of spatial portfolio in East China.Besides,we also find that spatial-portfolio with few weather stations is adequate,and it can provide convenience for practice as well.

关 键 词：天气衍生品 空间基差风险 反距离加权法 均方根误差 

分 类 号：F831[经济管理—金融学]