• Journal of the Korean Data and Information Science Society
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• 제23권2호
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• pp.365-374
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• 2012

Weather derivatives designed to manage casual changes of weather, as opposed to catastrophic risks of weather, are relatively a new class of financial instruments. There are still many theoretical and practical challenges to the effective use of these instruments. The objective of this paper is to develop a pricing approach for valuing weather derivatives and presents a case study that is practical enough to be used by the risk managers of electrical utility firms. Utilizing daily average temperature data of Guangzhou, China from $1^{st}$ January 1978 to $31^{st}$ December 2010, this paper adopted a univariate time series model to describe weather behavior dynamics and calculates equilibrium prices for weather futures and options for an electrical utility firm in the region. The results imply that the risk premium is an important part of derivatives prices and the market price of risk affects option values much more than forward prices. It also demonstrates that weather innovation as well as weather risk management significantly affect the utility's financial outcomes.

• 한국유기농업학회지
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• 제28권4호
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• pp.459-475
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• 2020

This study analyzes weather derivatives as an alternative risk management tool to stabilize farm revenue to complement the existing crop insurance program which suffers from asymmetric information problems such as adverse selection, moral hazard, and verifiability. We estimated apple yield functions to observe the relationship between yields and weather indices such as temperature and precipitation. Based on the estimated yield functions we designed weather futures and options products underlying temperature and precipitation, and calculated the prices of futures and options by two different approaches, historical distribution and Monte Carlo simulation. We found that weather futures and options stabilize farm revenue based on the estimated four risk indicators: Coefficient of Variation, Value at Risk, Certainty Equivalence, and Risk Premium. As a result, weather derivatives could be considered as a potential farm risk management tool through studying more in legal and institutional strategies and developing various derivatives products.

• Journal of applied mathematics & informatics
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• 제9권2호
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• pp.771-785
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• 2002

Many industries like energy, utilities, ice cream and leisure sports are closely related to the weather. In order to hedge weather related risks, they invest their assets with portfolios like option, coupons, future, and other weather derivatives. Among weather related derivatives, CDD and HDD index options are mainly transacted between companies. In this paper, the autocorrelation system of temperature will be checked for several cities in Korea and the parameter estimation will be carried based on the maximum likelihood estimation. Since the log likelihood increase as the number of parameters increases, we adopt the Schwarz information criterion .

• Journal of applied mathematics & informatics
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• 제12권1_2호
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• pp.335-349
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• 2003

Almost all business are affected by the weather so that weather derivatives has been traded to hedge weather risk. Since the weather itself is not an asset with a market price, some analysts believe that the Black-Scholes equation could not be used appropriately to price weather derivative options. But some weather derivatives can be considered as an Asian option, we revisit the Black-scholes model. Numerical solution of the Black-Scholes equation has a significant error at the money option or around the money option, it is necessary to adopt adaptive mesh near to the strike value. Here we propose a numerical method with an adaptive grid refinement.

• 자원ㆍ환경경제연구
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• 제15권2호
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• pp.319-353
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• 2006

본 논문은 날씨파생상품이 전기도매시장에서의 가격 및 수량 위험의 헤지수단으로서 활용될 수 있다는 것을 보여주고 있다. 또한 일별 수준의 가격과 물량이 아니라 여름기간 동안의 전기도매시장에서의 전기구입 비용 혹은 전기판매 수입을 대상으로 하여 날씨관련 계약형태의 위험헤지효과를 살펴보았다. 날씨관련 계약들이 전기도매시장의 시장신호를 더 잘 보전하고 있으며, 도매전기 구입관련 금융위험을 더 잘 헤지함을 발견하였다. 전기도매시장에서 선물계약과 날씨파생상품을 결합하였을 경우, 더운 날의 경우 높은 전기생산비용이 가격에 반영되며, 전기판매 수입 혹은 전기구입 비용의 변동성이 현저히 낮아진다는 것을 발견하였다.

• 한국환경독성학회:학술대회논문집
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• 한국환경독성학회 2004년도 Sharing Experience of Human and Ecological Risk Assessment and Management in Asia/Pacific Region
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• pp.105-105
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• 2004

• Journal of the Korean Data and Information Science Society
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• 제25권1호
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• pp.155-167
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• 2014

본 연구는 기후파생상품의 가격결정 연구를 위한 중간과정으로서 우리나라 일별 평균기온에 대한 연속형 시계열 모형을 추정한다. 6개 광역도시를 대상으로 1954년 1월 1일부터 2010년 12월 31일까지의 57년간 일별 기온 시계열을 추세, 계절성, 불규칙 변동으로 구분하여 분석하였다. 특히 불규칙 성분은 연속형 자기회귀모형을 적용하였다. 분석결과, (1) 57년의 비교적 장기간 온도 시계열을 적용함으로써, 우리나라 선행연구의 결과와는 다르게 추세 성분이 통계적 유의성을 갖는 것으로 나타났다. 특히 추세성분의 기울기가 양의 부호를 가짐으로써 지구온난화의 추이가 우리나라에서 진행 중임을 보였다. (2) 추세와 계절성분이 제거된 불규칙성분에 대해 단위근 검정을 적용한 결과, 6개 광역시 모두에 대해 단위근이 없는 안정적인 것으로 나타났다. (3) 불규칙 성분에 대해 연속형 모형인 CAR모형을 적용한 결과, 차수가 3인 CAR(3)가 적합한 것으로 나타났으며 이러한 결과는 국외문헌의 결과와도 일치한다. 파생상품의 가격결정에는 기초자산의 연속형 시계열 모형의 개발이 가장 중요하므로 본 연구의 결과는 기후파생상품의 가격결정 연구에 활용될 수 있을 것이다.

• Agribusiness and Information Management
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• 제4권1호
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• pp.24-31
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• 2012

This case study investigates the KIKO currency option that has been a social issue in recent years among developing countries, especially Korea, where the financial derivatives market is in a state of rapid growth. The forward transaction which becomes a basis of derivatives is intended to hedge risks that may be caused by a future change in asset prices. Although it originates from a simple form of agricultural transactions, there currently exists a variety of derivatives in more sophisticated forms. In the Korean agricultural industry, the need to use such derivatives is great, as there is a huge risk of price fluctuation in agricultural products due to frequent adverse weather. In addition, many developing countries with export-led industrial structures similar to Korea's, of necessity must resort to currency hedging as a method of reducing relevant risk. However, in most cases, the lack of understanding about financial derivatives results in an inappropriate application of these derivatives. The KIKO in this study represents such cases. Since 2007, KIKO has been sold in Korea to many small- and medium-sized export companies for the purpose of currency hedging when the exchange rate between the Korean won and the U.S. dollar was in a downward spiral. The main focus of this study is a case which is most representative of KIKO. As inflation rapidly increased during the financial crisis in the U.S. at the end of 2007, derivatives became a hot issue in the courts rather than in the financial markets. This case study investigates what KIKO and the fierce legal debates over it imply, from the perspective of the option of value evaluation in order to suggest not only a direction in which companies can utilize financial derivatives, but also a roadmap for the future derivatives market.

• 한국농림기상학회지
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• 제17권4호
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• pp.290-305
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• 2015

필지단위 재해발생 가능성을 적절한 대응방안과 함께 재배농가에게 농장 맞춤형으로 전달할 수 있는 '농업기상재해 조기경보 시스템'의 실용성과 운영 효율성을 높이기 위하여 현업 서비스 시스템을 국립농업과학원에 구축하여 2014년도 10월부터 2015년 3월까지의 시범 서비스 운영기간 동안 현장 적용을 위한 개선, 서비스 안정화 단계를 거쳤다. 현업 서비스 시스템은 섬진강 하류 유역(행정구역상 광양시 일부, 하동군 일부, 구례군 일부)의 약 470 자원농가와 950 여필지를 서비스 대상으로 하였다. 자원농가에게 필지 단위 사전경보를 개별 문자로 통보하는 시스템과 해당 지자체가 관내 현황을 시각적으로 파악할 수 있는 분포형 사전 경보시스템(웹 GIS 기반) 형식의 투 트랙(Two track) 시스템으로 구성되었다. 1차 연구대상지역인 섬진강 하류에 대하여 현업 서비스는 2015년 3월 2일부터 개별 문자통보를 개시하였으며 온라인 홈페이지는 2015년 4월부터 인터넷 주소(http://www.agmet.kr)로 운영을 시작하였다. 현재는 농장 날씨정보, 농장 재해정보, 전국기상위험, 전국기상특보, 문자서비스를 제공하고 있으며 연구가 진행되는 2017년까지 서비스 대상지역 확대, 서비스 컨텐츠 확대, 서비스 품질 개선 등의 연구활동과 함께 지속적으로 유지될 것이다.

• 한국염색가공학회지
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• 제9권1호
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• pp.44-49
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• 1997

Recent investigation and developments of A. Iqbal on diketo-pyrrolo-pyrrole (DPP) pigments has prompted us to synthesize and close observation of a few properties of these molecules. Described are synthesis, via 1-phenyl-2-ethoxycarbonyl-5-pyrrolinone intermediate, of asymmetric derivatives such as 1,4-Diketo-3-(4-chlorophenyl)-6-phenyl-pyrrolo-(3,4c)-pyrrole (4), 1,4-Diketo-3-(4-bromophenyl)-6-phenybpyrrolo-(3,4c)-pyrrole (5), 1,4-Diketo-3-(3-cyanophenyl)-6-phenyl-pyrrolo-(3,4c)-pyrrole (6), 1,4-Diketo-3-(4-cyanophenyl)-6-phenyl-pyrrolo-(3,4c)-pyrrole (7), 1,4-Diketo-3-(4-pyridyl)-6-phenyt-pyrrolo-(3,4c)-pyrrole (8), 1,4-Diketo-3-(3-pyridyl)-6-phenyl-pyrrolo-(3,4c)-pyrrole (9), 1,4-Diketo-3-(2-pyridyl)-6-phenyl-pyrrolo-(3,4c)-pyrrole (10), 1,4-Diketo-3-($\beta$-naphthyl)-6-phenyl-pyrrolo-(3,4c)-pyrrole (11), and UV-Vis absorption spectrum of the above compounds. Results from calculation of their absorption maxima using PISYSTEM are also described.