Abstract
The companies that trade weather derivatives typically hold portfolios of between 100 and 1,000 weather derivative contracts. Different contracts have payoffs that may depend on different weather variables measured at different locations over different time periods. The payoffs between any two contracts may be highly correlated or anticorrelated (if they are based on the same or similar variables, locations or time periods), or they may be uncorrelated (if the weather variables, locations or time periods are very different). How, then, should the total financial risk in such portfolios be estimated?
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© 2007 Stephen Jewson
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Jewson, S. (2007). The Modeling of Weather Derivative Portfolio Risk. In: Gregoriou, G.N. (eds) Advances in Risk Management. Finance and Capital Markets Series. Palgrave Macmillan, London. https://doi.org/10.1057/9780230625846_8
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DOI: https://doi.org/10.1057/9780230625846_8
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