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

Yıl 2024, Cilt: 42 Sayı: 1, 121 - 142, 30.03.2024

Bingül Satıoğlu Erdinç Altay

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

Öz

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.

Anahtar Kelimeler

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

Öz

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.

Anahtar Kelimeler

Weather Risk, Weather Derivatives, Hedging, Hedge Effectiveness

Kaynakça

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