home   structure    disabled Versija neįgaliesiems  
         
     
  LT  EN                  El. paštas: laei@laei.lt  
 
 
 
Mokslo publikacijos
2020-05-26

Weather Risk Management In The Weather-Var Approach. Assumptions of Value-At-Risk Modeling

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.


Keywords:  weather risk, value-at-risk, bootstrap.

 

 

Impact Factor: 0.973  (2018 Journal Citation Reports, Clarivate Analytics, 2019)

 

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].

 




derlius_2020.jpg
Baneris-8.jpg
Virselis_2019_raudona_lt.png
B_34658va3p.jpg
9B08E3R.jpg
c9l3L9fBmR.jpg
zedine1.jpg
                 
LAEI  |  A. Vivulskio g. 4A-13, 03220 Vilnius  |  Tel. (8 5) 2614525  |  Faks. (8 5) 2614524  |  El. paštas laei@laei.lt  |  Įm. kodas 111952970  |  PVM mokėtojo kodas LT119529716
Valstybės biudžetinė įstaiga. Duomenys kaupiami ir saugomi juridinių asmenų registre, kodas 111952970
  Pagaminta Xserv.lt