本文選題：天氣風(fēng)險　切入點：天氣衍生產(chǎn)品　出處：《天津大學(xué)》2012年碩士論文

【摘要】：天氣風(fēng)險是指因天氣氣候變化給人們的生命財產(chǎn)安全、生產(chǎn)經(jīng)營活動以及經(jīng)濟(jì)發(fā)展帶來的不確定性。根據(jù)天氣風(fēng)險發(fā)生的概率及造成的后果,可以把天氣風(fēng)險分為三類。其分別為天氣災(zāi)害風(fēng)險、一般天氣風(fēng)險和氣候變化風(fēng)險。對于一般的天氣風(fēng)險,傳統(tǒng)的風(fēng)險管理策略不能很好地規(guī)避,而天氣衍生產(chǎn)品可以很好的規(guī)避這類風(fēng)險。 天氣衍生產(chǎn)品就是指以一定區(qū)域內(nèi)的溫度、風(fēng)速、濕度、雨量、降雪量等氣象條件為基礎(chǔ)數(shù)值的新興衍生產(chǎn)品。我國對天氣衍生品及其作用的了解尚處于起步階段,天氣衍生品市場尚未建立起來。 本文研究國內(nèi)外研究天氣衍生產(chǎn)品定價的文獻(xiàn),選取天津市2000年1月1日至2009年12月31日的氣溫數(shù)據(jù),使用Ornstein-Uhlenbeck過程建立氣溫的隨機(jī)模型,并對模型中的參數(shù)進(jìn)行估計,得到氣溫的參數(shù)分布,然后利用蒙特卡羅方法預(yù)測氣溫。接著以天津市某電力公司為例,應(yīng)用風(fēng)險中性的定價原理對天氣衍生產(chǎn)品進(jìn)行定價。結(jié)果顯示:隨著期權(quán)截止日的臨近,天津地區(qū)的氣溫期權(quán)價格與真實價值越趨接近。電力公司應(yīng)該購買期權(quán)進(jìn)行套期保值,以此規(guī)避企業(yè)遇到的氣溫變化引起的財務(wù)風(fēng)險。這說明利用蒙特卡羅方法,可以對氣溫期權(quán)進(jìn)行較為合理定價,對于我國的氣溫金融衍生品具有一定的實用性,并為其提供了一些參考價值。但我們同時也注意到氣溫的物理形成過程極其復(fù)雜,特別我國氣候復(fù)雜多變。氣溫期權(quán)的技術(shù)設(shè)計研究還遠(yuǎn)遠(yuǎn)不夠,需要更進(jìn)一步的理論探索和實踐。
[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.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.5;P4

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本文編號：1663612