Managing Meteorological Risk through Expected Shortfall

This paper focuses on weather derivatives as efficient risk management instruments and proposes a more advanced approach for their pricing. An “hybrid” contract is introduced, combining insurance properties, specifically tailored for the region under study and introducing Value-at-Risk (VaR) and Exp...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής

Κύριοι συγγραφείς:	Silvana Stefani, Gleda Kutrolli, Enrico Moretto, Sergei Kulakov
Μορφή:	Artigo
Γλώσσα:	Inglês
Έκδοση:	MDPI AG 2020-11-01
Σειρά:	Risks
Θέματα:	climate change temperature risk hedging Value-at-Risk Expected Shortfall portfolio diversification
Διαθέσιμο Online:	https://www.mdpi.com/2227-9091/8/4/118
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