Can the use of weather derivatives be a solution to hedge damages caused by natural events in metropolitan France? / Charles CAPELLE / 2021

Titre : Can the use of weather derivatives be a solution to hedge damages caused by natural events in metropolitan France? Type de document : Mémoire Auteurs : Charles CAPELLE, Auteur Année de publication : 2021 Importance : 22 p. Note générale : Pour accéder aux fichiers PDF, merci de vous identifier sur le catalogue avec votre compte Office 365 via le bouton CONNEXION en haut de page. Langues : Anglais (eng) Mots-clés : Management CLIMAT ; FINANCE DE MARCHE Résumé : Natural disasters are getting more and more frequent worldwide, France is not exempt from this phenomenon and in fact is suffering from a lot of floods provoked by rains caused by increasing water evaporation. Since 1666 insurances have emerged to mutualize the risk caused by weather, these insurances are very effective, but generally cover against exceptional catastrophic events. Weather derivatives, which are financial products made to hedge against weather events are generally used to hedge against high frequency low impact events such as a colder summer. Knowing this, the goal of this paper is to understand if it is possible to hedge against the increasing in frequency of natural disasters using weather derivatives. For that matter, I have used historical weather data, an option pricing model and historical natural disaster data to run an empirical analysis, simulating hedging a portfolio of costs produced by floods with weather call options. Running this simulation, I have concluded that considering the data at my disposal, I could not advise using weather derivatives to hedge flood risk. Programme : MSc Financial Markets & Technologies Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=538625