葡萄酒行业的降雨衍生品和风险管理

Jacopo Volpi
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引用次数: 0

摘要

自1996年首次推出以来,天气衍生品一直是人们讨论的话题。事实上,持续的气候变化增加了自然暴露于气象变量的公司的风险,提出了这些公司应该如何管理这些日益重大的风险的问题。葡萄酒行业是最容易受到这些风险的行业之一,其中包括降雨风险。这项工作的目的是评估降雨衍生品的使用,以创建管理降雨风险的策略。为此,我们实现了看跌期权和看涨期权。定价是通过蒙特卡罗模拟进行的,基于一个能够模拟日常降雨的模型。然后,将降雨衍生品应用于意大利的特伦托省和弗朗西亚科尔塔省的葡萄酒产区,并对购买此类衍生品的公司的盈利能力进行评估,以了解其在降低降雨风险方面的有效性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Rainfall Derivatives and Risk Management in the Wine Sector
Since their first introduction in 1996, weather derivatives have been a topic of discussion. The ongoing climate change has, in fact, increased the risks for companies that are naturally exposed to meteorological variables, raising questions on how such companies should manage these increasingly significant risks. The wine sector is one of the most exposed to these risks, including rainfall risk. The purpose of this work is to evaluate the use of rainfall derivatives to create a strategy for managing rainfall risk. For this purpose, both put and call options are implemented. The pricing is carried out by Monte Carlo simulations, based on a model capable of simulating daily rain. Then, rainfall derivatives are applied to the Italian wine regions of the province of Trento and of Franciacorta, and an assessment of the profitability of companies purchasing such derivatives is made to understand their effectiveness in reducing rainfall risk.
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