HAVA (İKLİM) TÜREVLERİ VE FİYATLAMA YAKLAŞIMLARI

Year 2012, Volume: 26 Issue: 1, 1 - 21, 08.02.2012

Selçuk Balı

Abstract

Bugün itibarı ile 50 Milyar USD’yi aşan bir işlem hacmine sahip
olan hava türevlerinin kullanımına 1996’da başlanmış ve ilk kez 1997’de
ticarete konu olmuşlardır. Söz konusu ürünler, mal ve kar kaybına yol açan
iklimsel risklerden ve mevsimsel değişikliklerden bireylerin ve kurumların
korunabilmesi amacıyla oluşturulmuşlardır. Sıcaklık, don, fırtına vb. hava
değişkenlerini temel alan bu ürünler genel olarak Isıtma ve Soğutma Derece
Günleri’ni göz önünde bulundurarak değerlenmişlerdir. Ancak, bu ürünlerin
fiyatlanması konusunda günümüze kadar birçok yaklaşım öne sürülmekle
birlikte bir uzlaşı sağlanamamış ve bu bir problem olarak süregelmiştir. Bu
makalede ilk olarak önceki çalışmalarda ortaya konulan yaklaşımların bir bütün
olarak ele alınarak sunulması hedeflenmiş, akabinde yaklaşımların
değerlendirilmesi ile uygulanabilirlik bakımından en uygun iki yaklaşımın
Monte Carlo Simülasyonu ve Burn Analizi olduğu sonucuna ulaşılmıştır.

Keywords

Hava türevleri, Isıtma ve Soğutma derece günleri, Hava sigortaları, Monte Carlo simülasyonu, Burn analizi

WEATHER DERIVATIVES and PRICING APPROACHES

Abstract

The usage of weather derivatives which have a volume exceeding 50 billion USD today, began in 1996 and they were subject to trade first time in 1997. The products that are in question are created in order to protect the individuals and the institutions from climatic risks and seasonal changes which cause commodity and profit loss. These products baselined from weather variables such as heat, frost, storm and hurricane are valued generally by considering the Heating Degree Days and Cooling Degree Days. On the other hand, there has not been any compromise on the pricing of these products until today, although there are lots of approaches that were put forward and so the pricing is still . On the other hand, there has not been any compromise on the pricing of these products until today, although there are lots of approaches that were put forward and so the pricing is still a problem today. In this paper, first of all it is aimed to present the approaches that were put forward in the previous studies as a whole, and then by evaluating these approaches it is concluded that in terms of applicability the most appropriate two approaches are Monte Carlo Simulation and Burn Analysis.

Keywords

Weather derivatives, Heating and Cooling degree days, Weather insurances, Monte Carlo Simulation, Burn Analysis

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