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Zur Quantifizierung Des Basisrisikos Von Wetterderivaten

Listed author(s):
  • Musshoff, Oliver
  • Odening, Martin
  • Xu, Wei

Es ist seit langem bekannt, dass das Wetter den Hauptunsicherheitsfaktor in der pflanzlichen Produktion darstellt. Seit einiger Zeit wird der Einsatz von Wetterderivaten zur Absicherung gegen wetterbedingte Ertragsschwankungen diskutiert. In diesem Beitrag wird am Beispiel ei-nes getreideproduzierenden Betriebes in Brandenburg unter Verwendung von realen Ertrags- und Wetterdaten mit Hilfe einer stochastischen Simulation die risikomindernde Wirkung quan-tifiziert, die durch den Einsatz von Niederschlagsoptionen erzielt werden kann. Dabei wird die Hedging-Effektivität durch das Kontraktdesign (Index, Strike-Preis, Tick-Size) gesteuert. Das Basisrisiko der Produktion und das geografische Basisrisiko verbleiben jedoch in jedem Fall beim Landwirt. Ziel ist es, beide Basisrisiken zu separieren und in ihrer Höhe auszuweisen. Dies erlaubt Rückschlüsse für die Gestaltung von Wetterderivaten. Somit ist die hier behandelte Fragestellung sowohl für Landwirte als auch für potenzielle Anbieter von Wetterderivaten rele-vant.

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Paper provided by German Association of Agricultural Economists (GEWISOLA) in its series 46th Annual Conference, Giessen, Germany, October 4-6, 2006 with number 14947.

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Date of creation: 2006
Handle: RePEc:ags:gewi06:14947
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  1. Manfredo, Mark R. & Richards, Timothy J., 2005. "Hedging Yield with Weather Derivatives: A Role for Options," 2005 Annual meeting, July 24-27, Providence, RI 19369, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  2. Richards, Timothy J. & Manfredo, Mark R. & Sanders, Dwight R., 2004. "Pricing Weather Derivatives," Working Papers 28536, Arizona State University, Morrison School of Agribusiness and Resource Management.
  3. Jewson,Stephen & Brix,Anders, 2005. "Weather Derivative Valuation," Cambridge Books, Cambridge University Press, number 9780521843713.
  4. Musshoff, Oliver & Odening, Martin & Xu, Wei, 2005. "Zur Bewertung von Wetterderivaten als innovative Risikomanagementinstrumente in der Landwirtschaft," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 54(4).
  5. Vedenov, Dmitry V. & Barnett, Barry J., 2004. "Efficiency of Weather Derivatives as Primary Crop Insurance Instruments," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 29(03), December.
  6. Martin Odening, 2007. "Analysis of rainfall derivatives using daily precipitation models: opportunities and pitfalls," Agricultural Finance Review, Emerald Group Publishing, vol. 67(1), pages 135-156, May.
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