Abstract
In this paper, an attempt is made to implement market-based risk measures in the process of weather risk management. A weather-VaR plays a significant role in the risk evaluation of non-extreme weather events and the process of its management, even in terms of weather derivatives. The innovative nature of the work results from the approach to model the weather factor as a "causative" instrument based on the specific historical data and not specific knowledge that typical weather forecasters have. The use of the bootstrap method to verify the indications of the VaR method is another advantage of the presented model. The obtained additional confidence interval is strengthening the VaR indications. The implementation of the weather VaR concept to derivative valuation may significantly influence the market of forward-looking weather contract.
Bilan, Y.; Mentel, G.; Streimikiene, D.; Szetela, B. 2020. Weather Risk Management In The Weather-Var Approach. Assumptions of Value-At-Risk Modeling, Economic Computation and Economic Cybernetics Studies and Research. Issue1, p.31–48, DOI: 10.24818/18423264/54.1.20.03; [Science Citation Index Expanded, Social Sciences Citation Index].