Hava Durumu Riskinin Yönetiminde İklim Türev Ürünleri: Avrupa Tipi Bir İklim Satım Opsiyonu Tasarımı ve Hedge Etkinliğinin Analizi

Year 2024, , 121 - 142, 30.03.2024

Bingül Satıoğlu Erdinç Altay

https://doi.org/10.17065/huniibf.1276946

Abstract

Hava durumu riski, tüm ekonomileri ve birçok sektörü etkilemekte olan önemli bir risk türüdür. Hava durumu riskinin bir alt çeşidi olan katastrofik hava risklerinden doğan zararlar, uzun süredir bu sektörde hizmet vermekte olan sigorta ve reasürans şirketleri tarafından yönetilmektedir. Ancak iklim değişikliğine bağlı etkiler tüm ekonomik sektörleri etkileyerek daha belirgin hale geldikçe, katastrofik olmayan hava durumu risklerinin yönetimi de giderek önem kazanmıştır. İklim türev ürünleri, şirketlerin katastrofik olmayan hava durumu riskine maruz kalmaları durumunda karşılaşılan kayıplara karşı bu şirketlerinin kendilerini hedge etmesi için esnek çözümler sunan finansal türev ürünlerdir. İklim türev ürünleri üzerine gerçekleştirilen birçok çalışma bu ürünlerin fiyatlandırılması sorununa değinirken, bu ürünlerin hedge etkinliği üzerine az sayıda çalışma bulunmaktadır. Bu nedenle bu çalışmanın temel amacı, bir iklim türev ürün sözleşmesi tasarlamak ve tasarlanan bu türev sözleşmenin hedge etkinliğini Türkiye tarım sektöründe analiz etmektir. Buna göre çalışmada geçmiş verilerden hareketle mısır verimi (kg/dekar) ve daha çok tarım alanında kullanılan kümülatif büyüyen günler derecesi arasındaki ilişki incelenmiş, ardından buna uygun olarak Avrupa tipi bir satım opsiyonu tasarlanarak Burn Analizi ile fiyatlandırılmış ve son olarak varyans metodu kullanılarak hedge etkinliği analiz edilmiştir. Çalışma sonucunda elde edilen bulgulara göre, iklim türev ürünü kullanılması durumunda mısır yetiştiriciliği yapan çiftçilerin gelir volatiliteleri olarak hesaplanan riskleri %14 ile %34 arasında düşüş göstermekte, mısır verimi ve dayanak varlığın arasındaki korelasyon arttıkça çiftçilerin gelir volatilitelerindeki düşüş artmaktadır.

Keywords

Hava durumu riski, İklim türev ürünleri, Hedging, Hedge etkinliği

Weather Derivatives in Climate Risk Management: Designing A European Climate Put Option and Analysing the Hedge Effectiveness

Abstract

Weather risk is a significant type of risk that affects all economies and numerous industries. Damages arising from catastrophic weather risks, which is a subtype of weather risk, have long been managed by insurance and reinsurance companies that have been serving in this sector for a long time. However, as the impacts of climate change become more pronounced, affecting all economic sectors, the management of non-catastrophic weather risks has gained increasing importance. Climate derivatives are financial derivatives products that offer flexible solutions for companies to hedge against losses in the event of exposure to non-catastrophic weather risks. While many studies on climate derivative products address the pricing problem of them, there are few studies on the hedge effectiveness of these products. Therefore, the main purpose of this study is to design a climate derivative contract and to analyze the hedge effectiveness of this designed derivative contract in the Turkish agricultural sector. Accordingly, in the study, the relationship between corn yield (kg/decare) and the degree of cumulative growing days mostly used in agriculture was examined and then a European put option was designed and priced by implementing the Burn Analysis method. Finally, hedge effectiveness was analyzed using the variance method. According to the findings, the risks calculated as the income volatility of the farmers engaged in corn cultivation decrease between 14% and 34% in the case of using climate derivative products.

Keywords

Weather Risk, Weather Derivatives, Hedging, Hedge Effectiveness

References

• Alaton, P., Djehiche, B., & Stillberger, D. (2002). On modelling and pricing weather derivatives. Applied Mathematical Finance, 9(1), 1-20. https://doi.org/10.1080/13504860210132897
• Alexandridis, A., & Zapranis, A. D. (2012). Weather derivatives: Modelling and pricing weather-related risk. Springer Science & Business Media.
• Alzarrad, M. A., Moynihan, G., & Vereen, S. C. (2017). Weather derivatives as a risk management tool for construction projects. In Proceedings of the 6th CSCE/CRC International Constructions Specialty Conference (1-9). Banks, E. (2004). Alternative risk transfer: Integrated risk management through insurance, reinsurance and the capital markets. John Wiley & Sons Ltd.
• Bank, M., & Wiesner, R. (2011). Determinants of weather derivatives usage in the Austrian winter tourism industry. Tourism Management, 32(1), 62-68. https://doi.org/ 10.1016/j.tourman, 2009.11.005
• Berg, E., Schmitz, B., Starp, M., & Trenkel, H. (2006). Weather derivatives as a risk management tool in agriculture. Income Stabilization in Agriculture. The Role of Public Policies, Edizione Scientifiche Italiane, Neapel, Rom: 379-396.
• Biber, Ç., & Kara, T. (2006). Mısır bitkisinin su tüketimi ve kısıtlı sulama uygulamaları. OMÜ Ziraat Fakültesi Dergisi, 21(1), 140-146.
• Blom, J. E. (2009). Hedging revenues with weather derivatives: A literature review of weather derivatives & a case study of rigness AS (Master’s thesis).
• Boyle, C. F. H., Haas, J., & Kern, J. D. (2021). Development of an irradiance-based weather derivative to hedge cloud risk for solar energy systems. Renewable Energy, 164, 1230-1243. https://doi.org/10.1016/j.renene.2020.10.091
• Campbell, S. D., & Diebold, F.X. (2005). Weather forecasting for weather derivatives. American Statistical Association, 100(469), 6-16. https://doi.org/10.1198/016214504000001051
• Cao, M., Li, A., & Wei, J.Z. (2003). Weather derivatives: A new class of financial instruments. Available at SSRN 1016123.
• Cao, M., & Wei, J. (2004). Weather derivatives valuation and market price of weather risk. The Journal of Financial Futures, 24(11), 1065-1089. https://doi.org/10.1002/fut.20122
• Chen, C. C., & Chang, C.C. (2005). The impact of weather on crop yield distribution in Taiwan: Some new evidence from panel data models and implications for crop insurance. Agricultural Economics, 33, 503-511. https://doi.org/10.1111/j.1574-0864.2005.00097.x
• CME Group (2009). Weather Products. 03.04.2022 tarihinde https://www.cmegroup.com /trading/weather/files/WT-124_WeatherBrochure_r11.pdf adresinden alınmıştır.
• Clemmons, L. (2002). Introduction to weather risk management. Banks, E. (ed.). Weather risk management: Markets, products and applications, New York: Palgrave.
• Connors, R. B. (2003). Weather derivatives allow construction to hedge weather risk. Cost Engineering, 45(3), 21.
• Cry, D., Kusy, M., & Shaw, A.B. (2010). Climate change and the potential use of weather derivatives to hedge vineyard harvest rainfall risk in the niagara region. Journal of Wine Research, 21(2-3), 207-227. https://doi.org/10.1080/09571264.2010.530112
• Dischel, J. (2002). Weather risk management in the alternative risk transfer market. Climate risk and the weather market, London: Risk Books.
• Ederington, L. H. (1979). The Hedging performance of the new futures markets. The Journal of Finance, 34(1), 157-170. https://doi.org/10.2307/2327150
• Egi, M., Takahashi, S., Ieshima, T. & Hijikata, K. (2006). Methods of analyzing weather derivatives based on long-range weather forecasts. In Practical Fruits of Econophysics: Proceedings of the Third Nikkei
• Econophysics Symposium (241-245). Springer Tokyo.
• Gerste, R. D. (2017). Hava nasıl tarih yazar antikçağdan günümüze iklim değişikleri ve felaketler. Kollektif Kitap.
• Ghiulnara, A., & Viegas, C. (2010). Introduction of weather‐derivative concepts: Perspectives for Portugal. Journal of Risk Finance, 11(1), 9-19.
• Jewson, S., & Brix, A. (2005). Weather derivatives valuation: The meteorological, statistical, financial and mathematical foundations. Cambridge University Press.
• Kadıoğlu, M., Şen, Z., & Gültekin, L. (1999). Spatial heating monthly degree-day features and climatologic patterns in Turkey. Theoretical and Applied Climatology, 64, 263-269. https://doi.org/10.1007/s007040050128
• Kosmala, M. (2020). Weather risk management in energy sector: The polish case. Energies, 13(4), 945.
• Marković, T., & M. Jovanovic (2011). Risk management in plant production with weather derivatives. Contemporary Agriculture, 60(1-2), 1-6.
• Martin, S.W., Barnett, B.J., & Coble, K.H. (2001). Developing and pricing precipitation insurance. Journal of Agricultural and Resource Economics, 26(1), 261-274.
• Mitu, N.E. (2008). Weather derivatives – A new concept in the weather insurance. Annals of the University of Craiova Economic Science Series, 36(4), 1958-1966.
• Möllmann, J., Buchholz, M., & Musshoff, M. (2019). Comparing the hedging effectiveness of weather derivatives based on remotely sensed vegetation health indices and meteorological indices. Weather, climate and Society, 11(1), 33-48. https://doi.org/10.1175/WCAS-D-17-0127.1
• Mraoua, M., & Bari, D. (2007). Temperature stochastic modeling and weather derivatives pricing: Empirical study with Moroccan data. Afrika Statistika, 2(1), 22-43. https://doi.org/10.4314/afst.v2i1.46865
• Musshoff, O., Odening, M., & Xu, W. (2011). Management of climate risks in agriculture- will weather derivatives permeate?. Applied Economics, 43(9), 1067-1077. https://doi.org/10.1080/00036840802600210
• Murray, K. B., Muro, F.Di., Finn, A., & Leszczyc, P.P. (2010). The effect of weather on consumer spending. Journal of Retailing and Consumer Services, 17(6), 512-520. https://doi.org/10.1016/j.jretconser.2010.08.006
• Pardo, A., Meneu, V., & Valor, E. (2002). Temperature and seasonality influences on Spanish electricity load. Energy Economics, 24(1), 55-70. https://doi.org/10.1016/S0140-9883(01)00082-2
• Pelka, N., & Musshoff, O. (2013). Hedging effectiveness of weather derivatives in arable farming- is there a need for mixed indices?. Agricultural Finance Review, 73(2), 358-372. https://doi.org/10.1108/AFR-10-2012-0055
• Prabakaran, S., & Singh, J. P. (2017). Modeling and pricing of weather derivative market. Global Journal of Pure and Applied Mathematics, 13(12), 8103-8126. Pres, J. (2009). Measuring non-catastrophic weather risk for businesses. The Geneva Paper on Risk and Insurance- Issues and Practice, 34(3), 425-439.
• Pryke, M. (2007). Geomoney: An option to frost, going long clouds. Geoforum, 38(3), 576-588. https://doi.org/10.1016/j.geoforum.2006.10.011
• Randalls, S. C. (2006). Firms, finance and the weather: The UK weather derivatives market (Unpublished Doctoral Dissertation). University of Birmingham.
• Raucci, G. L., Lanna, R., da Silveira, F., & Capitani, D. H. D. (2019). Development of weather derivatives: Evidence from the Brazilian soybean market. Italian Review of Agricultural Economics, 74(2), 17-28. https://doi.org/10.13128/rea-10850
• Salgueiro, A.M., & Tarrazon-Rodon, M.-A. (2020). Approaching rainfall-based weather derivatives pricing and operational challenges. Review of Derivatives Research, 23, 163-190. https://doi.org/10.1007/s11147-019-09161-0
• Sarıoğuz, S. (2007). Sigorta sektöründe risk yönetimi, alternatif risk transfer yöntemleri, şirketleri için bir öneri: Hava durumu opsiyonları. İstanbul Üniversitesi. (Yayınlanmamış Yüksek Lisans Tezi). İstanbul Üniversitesi SBE.
• Shi, H., & Jiang, Z. (2016). The efficiency of composite weather index insurance in hedging rice yield risk: Evidence from China. Agricultural Economics, 47(3), 319-328. https://doi.org/10.1111/agec.12232
• Spaulding, A., Kanakasabai, M., Hao, J., & Skees, J. (2010). Can weather derivative contracts help mitigating agricultural risk? Microeconomic policy implications for Romania. EcoMod2003, 330700139, EcoMod.
• Stoppa, A., & Hess, U. (2003). Design and use of weather derivatives in agricultural policies: The case of rainfall index insurance in Morocco. In International Conference Agricultural Policy Reform and the WTO: Where are we heading, Capri (Italy).
• Štulec, I. (2017). Effectiveness of weather derivatives as a risk management tool in food retail: The case of Croatia. International Journal of Financial Studies, 5(1), 2. https://doi.org/10.3390/ijfs5010002
• Tarım ve Orman Bakanlığı. (2021). Cari fiyatlarla GSYH ve tarımın payı. 04.03.2022 tarihinde https://www.tarimorman.gov.tr/SGB/Belgeler/Veriler/GSYH.pdf adresinden alınmıştır.
• Tindall, J. (2006). Weather derivatives: Pricing and risk management applications. Institute of Actuaries of Australia.
• TMMOB Ziraat Mühendisleri Odası. (2020). Mısır Raporu 2020. 04.03.2022 tarihinde https://www.zmo.org.tr/genel/bizden_detay.php?kod=32780&tipi=42&sube=0 internet sitesinden alınmıştır.
• Torriani, D.S., Calanca, P., Beninson, M. & Fuhrer,J. (2008). Hedging with weather derivatives to cope with climate variability and change in grain maize production. Agricultural Finance Review, 68, 67-71. https://doi.org/10.1108/00214660880001219
• Turvey, C. G. (2001). Weather derivatives for specific event risks in agriculture. Review of Agricultural Economics, 23(2), 333-351.
• Uçak, A. B., Ertek, A., Güllü, M., Aykanat, S., vd., (2010). Bazı iklim parametrelerinin Çukurova’da yetistirilen mısır bitkisi verim ve kalitesine etkileri. Journal of Agricultural Faculty of Gaziosmanpaşa University (JAFAG), 2010(1), 9-19.
• UNWTO. (2008). Climate change and tourism- Responding to global challenges. World Tourism Organization, Madrid, 230, 1-38.
• Woodard, J. D., & Garcia, P. (2008). Basis risk and weather hedging effectiveness. Agricultural Finance Review, 68(1), 99-117. van Asseldonk, M. (2003). Insurance against weather risk: Use of heating degree-days from non-local stations for weather derivatives. Theoretical and Applied Climatology, 74, 137-144. https://doi.org/10.1007/s00704-002-0701-9
• Vedenov, D. V., & Barnett, B. J. (2004). Efficiency of weather derivatives as primary crop insurance instruments. Journal of Agricultural and Resource Economics, 29(3), 387-403.
• Yang, C., Li, L., & Wen, M. M. (2011). Weather risk hedging in the european markets and international investment diversification. The Geneva Risk and Insurance Review, 36, 74-94. https://doi.org/10.1057/grir.2010.4
• Zara, C. (2010). Weather derivatives in the wine industry. International Journal of Wine Business Research, 22(3), 222-237. https://doi.org/10.1108/17511061011075365
• Zong, L. (2015). Temperature-based weather derivatives modeling and contract design in mainland China. (Unpublished doctoral dissertation). University of Liverpool.