Climate Risk and the Weather Market

Book description

• Introduces the non-specialist reader to the essentials of weather risk transfer including the market, instruments and insurance and derivative strategies currently employed by those in the industry regarding weather and climate forecasting, climate variability and data cleaning and enhancement
• You will discover the numerous ways in which the weather affects business and quickly learn how to apply this knowledge to protect your interests
• You will also appreciate the increasing importance of this expanding field that is fuelled by the ongoing growth in the range and diversity of available weather-indexed insurance and derivatives
• Advanced readers will benefit from the more complex issues presented including building weather derivative pricing and risk models, managing derivative portfolios, forecasting and measuring weather risk, weather note securitisation and weather risk management in developing countries

Book details

ISBN

9781899332526

Publish date

3 Jun 2002

Format

Size

A4

Editor biography

Robert S. Dischel

Dr Robert S. Dischel , is currently the president of the Weather Market Observer, a weather risk consulting venture in New York City. Bob gained his financial quantitative skills working in the capital markets for almost two decades, resulting in a position as a managing director in the Portfolio department of a multi-billion dollar US insurer.

Before his work in the Capital Markets, Bob was a university professor. Bob is a frequent speaker at weather risk, energy and financial conferences, and has published several articles on weather risk practices. He is certified by the American Meteorological Society as a Consulting Meteorologist, and is a member of the National Council of Industrial Meteorologists in the US. Bob earned a PhD in oceanography from New York University in 1975.

Table of contents

CONTENTS

List of Panels

List of Contributors

Preface

Elements of the Weather Risk Market

1. Introduction To The Weather Market: Dawn to Mid-Morning

Robert S. Dischel of Weather Market Observer, LLC

2. Financial Weather Contracts and Their Application in Risk Management

Robert S. Dischel of Weather Market Observer, LLC and Pauline Barrieu of Université de Paris VI and Doctorate HEC, France

3. Hedging Precipitation Risk

Thomas Ruck of Entergy-Koch Trading, LP

4. Weather and Climate - Measurements and Variability

Steve Smith of ACE Tempest Reinsurance Ltd

5. Weather Data: Cleaning and Enhancement

Auguste C. Boissonnade of Risk Management Solutions and Lawrence J. Heitkemper and David Whitehead of Earth Satellite Corp

Climate Forecasts, Managing Variations, and Derivative Prices

6. The Nature of Climate Uncertainty and Considerations for Weather Risk Managers

Mark Gibbas of Applied Insurance Research, Inc.

7. Weather and Climate Forecasting

Mark S. Roulston of the University of Oxford and Leonard A. Smith of the University of Oxford and London School of Economics

8. Weather Derivative Modelling and Valuation: A Statistical Perspective

Anders Brix, Stephen Jewson and Christine Ziehmann of Risk Management Solutions

9. The Accuracy and Value of Operational Seasonal Weather Forecasts in The Weather Risk Market

Jeffrey A. Shorter, Todd M. Crawford and Robert J. Boucher of WSI Energycast Trader

10. Use of Meteorological Forecasts in Weather Derivative Pricing

Stephen Jewson, Christine Ziehmann and Anders Brix of Risk Management Solutions

11. The Weather in Weather Risk

John A. Dutton of Weather Ventures

Investor Issues

12. Weather Risk Management in the Alternative Risk Transfer Market

Julian Roberts of AON Capital Markets Ltd

13. Weather Note Securitisation

Frank Caifa of Swiss Re

14. Managing a Portfolio of Weather Derivatives

Lixin Zeng of Willis Re Inc. and Kevin D. Perry of the University of Utah

Experience in Application

15. A Case Study of Heating Oil Partners’ Weather Hedging Experience

Paul J. Forrest of Heating Oil Partners

16. Weather Indexes for Developing Countries

Panos Varangis of World Bank, Jerry R. Skees of the University of Kentucky and Barry J. Barnett of the University of Georgia

17. Weather Risk Management for Agriculture and Agri-Business in Developing Countries

Ulrich Hess of IFC, Kaspar Richter of World Bank and Andrea Stoppa of Procom Agr, Rome

18. Speculations on the Weather Market

Ulrich Hess, Kaspar Richter and Andrea Stoppa

Panos Varangis, Jerry R. Skees and Barry J. Barnett, J. Scott Mathews, Robert S. Dischel, Stephen Jewson, Julian Roberts

Testimonials

“The bible on weather derivatives... a veritable mix of meteorology, insurance and financial engineering.“

Glyn Holton, Contingency Analysis