- 學位論文
天氣衍生性商品評價與風險管理：CME雨量指數二元式合約之應用
Valuation and Risk Management of Weather Derivatives: the Application of CME Rainfall Index Binary Contracts
摘要
本文討論了CME發行之雨量衍生性商品——雨量指數二元式合約之評價與風險管理。標的之雨量指數由兩種模型所刻畫：以一階兩狀態馬爾可夫鏈建立的發生模型，以及以混合指數分配建立的雨量強度模型。爲了捕捉降雨的季節性特徵，上述兩模型中的參數均以截斷傅立葉級數擬合，其中之係數以最大概似估計法估計，階數根據AIC與BIC判定。在以蒙地卡羅模擬獲得日降雨量模擬路徑後，計算月降雨量並以常態逆高斯分配擬合。鑒於天氣衍生性商品市場之不完備性，本文利用Esscher變換對雨量指數二元式選擇權進行評價，並以CME之真實市場價格校準獲得風險市場價格。最後，利用燃燒分析與敏感度分析討論雨量衍生性商品之風險管理。
並列摘要
In this paper we discuss the valuation and risk management of rainfall index binary contracts, which is a type of precipitation derivatives issued in CME. We describe the underlying rainfall index by occurrence model with first-order, two-state Markov chain, and magnitude model with mixed-exponential distribution. In order to capture the seasonality characteristics of precipitation, the parameters in both models are described with truncated Fourier series, in which the coefficients are fitted by MLE, and the orders are determined by AIC and BIC. We simulate the daily rainfall index by Monte Carlo simulation, and fit the simulated monthly rainfall index with NIG distribution. Since weather derivatives market is an incomplete market, we value the rainfall index binary options by using Esscher transform. The market price of risk is calibrated with real market data from CME. And the risk management of precipitation derivatives is discussed by using burn analysis and sensitivity analysis.