Survey Design and Survey Design and Implementation (2) Implementation (2) Geographic Regions Where Weather Events are Measured Asia Australian Continent Europe North America, West North America, Midwest North America, East North America, South Other •Source: Weather Risk Management Association Annual Survey ( 2002)
Survey Design and Implementation (2)
Jan 02, 2016
Survey Design and Implementation (2). Geographic Regions Where Weather Events are Measured Asia Australian Continent Europe North America, West North America, Midwest North America, East North America, South Other. Source: Weather Risk Management Association Annual Survey ( 2 002 ). - PowerPoint PPT Presentation
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Survey Design and Survey Design and Implementation (2)Implementation (2)Survey Design and Survey Design and Implementation (2)Implementation (2)
Geographic Regions Where Weather Events are Measured
AsiaAustralian Continent
EuropeNorth America, West
North America, MidwestNorth America, East
North America, SouthOther
•Source: Weather Risk Management Association Annual Survey (2002)
Participation by Main Line of BusinessAgriculture 1Banking 4Energy 10Insurance 5Other -
Participation by Location of RespondentAsia 5Europe 5North America 10Other -
Participation of 20 Participation of 20 playersplayers
Participation of 20 Participation of 20 playersplayers
•Source: Weather Risk Management Association Annual Survey (2002)
2002 Survey, General 2002 Survey, General ResultsResults
2002 Survey, General 2002 Survey, General ResultsResults
1. Overall, number of contracts and notional value higher
2. Results vary by seasona. Number of Winter contracts (October – April)
roseb. Number of Summer contracts (April –
October) fell
3. Increasing variation in type and location of contracts
•Source: Weather Risk Management Association Annual Survey (2002)
Survey Results, Total Survey Results, Total Number of ContractsNumber of ContractsSurvey Results, Total Survey Results, Total Number of ContractsNumber of Contracts
0
1000
2000
3000
4000
5000
1998 1999 2000 2001
Number of Contracts, 1998-2001
Winter
Summer
0
1000
2000
3000
4000
5000
1998 1999 2000 2001
Number of Contracts, 1998-2001
Winter
Summer695
3,397
2,759
1,285
•Source: Weather Risk Management Association Annual Survey (2002)
Survey Results, Total Survey Results, Total Notional ValueNotional Value
Survey Results, Total Survey Results, Total Notional ValueNotional Value
0
1000
2000
3000
4000
5000
1998 1999 2000 2001
Notional Value of Contracts (in millions), 1998-2001
Winter
Summer
0
1000
2000
3000
4000
5000
1998 1999 2000 2001
Notional Value of Contracts (in millions), 1998-2001
Winter
Summer
1,836
4,306
2,517
2,959
•Source: Weather Risk Management Association Annual Survey (2002)
Survey Results, Average Survey Results, Average Notional Value by Type Notional Value by Type
of Contractof Contract
Survey Results, Average Survey Results, Average Notional Value by Type Notional Value by Type
of Contractof Contract
Average Notional Value (in thousands), 2001
0500
1,0001,5002,0002,5003,0003,5004,0004,500
Summer
Winter
Average Notional Value (in thousands), 2001
0500
1,0001,5002,0002,5003,0003,5004,0004,500
Summer
Winter
•Source: Weather Risk Management Association Annual Survey (2002)
Survey Results, Average Survey Results, Average Notional ValueNotional Value
Survey Results, Average Survey Results, Average Notional ValueNotional Value
Average Notional Value (in thousands), 1998-2001
0
500
1,000
1,500
2,000
2,500
3,000
3,500
4,000
1998 1999 2000 2001
Summer
Winter
Average Notional Value (in thousands), 1998-2001
0
500
1,000
1,500
2,000
2,500
3,000
3,500
4,000
1998 1999 2000 2001
Summer
Winter
•Source: Weather Risk Management Association Annual Survey (2002)
Survey Results, Average Notional Value by
Region
Survey Results, Average Notional Value by
RegionAverage Notional Value (in thousands), 2001
0500
1,0001,5002,0002,500
Summer
Winter
Average Notional Value (in thousands), 2001
0500
1,0001,5002,0002,500
Summer
Winter
•Source: Weather Risk Management Association Annual Survey (2002)
Survey Results, Number Survey Results, Number of Contracts by Typeof Contracts by Type
Survey Results, Number Survey Results, Number of Contracts by Typeof Contracts by Type
Share of Total Contracts by Type
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
1998 1999 2000 2001
Other
Rain
Oth Temp
CDD
HDD
•Source: Weather Risk Management Association Annual Survey (2002)
Survey Results, Notional Survey Results, Notional Value by TypeValue by Type
Survey Results, Notional Survey Results, Notional Value by TypeValue by Type
Share of Notional Value by Type
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
1998 1999 2000 2001
Other
Rain
Oth Temp
CDD
HDD
•Source: Weather Risk Management Association Annual Survey (2002)
Survey Results, Number of Contracts by Region
Survey Results, Number of Contracts by Region
Number of Contracts, 1998-2001
0
500
1,000
1,500
2,000
2,500
3,000
3,500
4,000
4,500
1998 1999 2000 2001
Other
Europe
Asia
North AmericaSouthNorth AmericaEastNorth AmericaMidwestNorth AmericaWest
Number of Contracts, 1998-2001
0
500
1,000
1,500
2,000
2,500
3,000
3,500
4,000
4,500
1998 1999 2000 2001
Other
Europe
Asia
North AmericaSouthNorth AmericaEastNorth AmericaMidwestNorth AmericaWest
•Source: Weather Risk Management Association Annual Survey (2002)
Survey Results, Notional Value by Region
Survey Results, Notional Value by Region
Notional Value (in millions), 1998-2001
0500
1,0001,5002,0002,5003,0003,5004,0004,5005,000
1998 1999 2000 2001
Other
Europe
Asia
North AmericaSouthNorth AmericaEastNorth AmericaMidwestNorth AmericaWest
Notional Value (in millions), 1998-2001
0500
1,0001,5002,0002,5003,0003,5004,0004,5005,000
1998 1999 2000 2001
Other
Europe
Asia
North AmericaSouthNorth AmericaEastNorth AmericaMidwestNorth AmericaWest
•Source: Weather Risk Management Association Annual Survey (2002)
Survey Results, Share of Counterparties Not
Participating in Survey
Survey Results, Share of Counterparties Not
Participating in SurveyShare of Contracts with Counterparties Not
Participating in Survey
54565860626466687072
1998 1999 2000 2001
Perc
ent
•Source: Weather Risk Management Association Annual Survey (2002)
Survey Results, Share of Counterparties Not
Participating in Survey
Survey Results, Share of Counterparties Not
Participating in SurveyShare of Notional Value with Counterparties Not
Participating in Survey
0
10
20
3040
50
60
70
80
1998 1999 2000 2001
Perc
ent
•Source: Weather Risk Management Association Annual Survey (2002)
Diversification of the weather marketDiversification of the weather marketDiversification of the weather marketDiversification of the weather market
• Another significant development is the diversification of the types of contracts that were transacted.
• Temperature-related protection (for heat and cold) continues to be the most prevalent, making up over 82 percent of all contracts (92% last year)
• Rain-related contracts account for 6.9% (1.6% last year), snow for 2.2% (0.6% last year) and wind for 0.4% (0.3% last year).
Source: Weather Risk Management Association Annual Survey (2002)
• Another significant development is the diversification of the types of contracts that were transacted.
• Temperature-related protection (for heat and cold) continues to be the most prevalent, making up over 82 percent of all contracts (92% last year)
• Rain-related contracts account for 6.9% (1.6% last year), snow for 2.2% (0.6% last year) and wind for 0.4% (0.3% last year).
Source: Weather Risk Management Association Annual Survey (2002)
Concluding RemarksConcluding RemarksConcluding RemarksConcluding Remarks
• An empirical approach to the pricing of weather derivatives has been presented.
• The approach utilises a range of data types to price weather derivatives, including forecast accuracy data.
• Overview of the Weather Risk Management Survey 2002 statistics have been presented.
• An empirical approach to the pricing of weather derivatives has been presented.
• The approach utilises a range of data types to price weather derivatives, including forecast accuracy data.
• Overview of the Weather Risk Management Survey 2002 statistics have been presented.
The Noah RuleThe Noah RuleThe Noah RuleThe Noah Rule
“Predicting rain doesn’t count;
Building arks does”.
Warren Buffett,Australian Financial Review,11 March 2002.
“Predicting rain doesn’t count;
Building arks does”.
Warren Buffett,Australian Financial Review,11 March 2002.
Dr Harvey Stern,Dr Harvey Stern,
Climate Manager, VictoriaClimate Manager, Victoria Homepage: www.weather-climate.comHomepage: www.weather-climate.com
and and
Dr Harvey Stern,Dr Harvey Stern,
Climate Manager, VictoriaClimate Manager, Victoria Homepage: www.weather-climate.comHomepage: www.weather-climate.com
and and Griffith UniversityGriffith UniversityGriffith UniversityGriffith University
Mr Glen Dixon, Mr Glen Dixon,
Associate Lecturer (Finance),BrisbaneAssociate Lecturer (Finance),Brisbane Mr Glen Dixon, Mr Glen Dixon,
Associate Lecturer (Finance),BrisbaneAssociate Lecturer (Finance),Brisbane
Thankyou fromThankyou fromThankyou fromThankyou from
Homepage:www.acmc.uq.edu.au/~gwd/EnergyExchange.htmlHomepage:www.acmc.uq.edu.au/~gwd/EnergyExchange.html
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