天气状况.ppt

Weather Risks, Hedging and Operations Management/Decisions天气变动风险，对冲和运作管理/决策 陈友华 香港中文大学 天气对经济活动影响重大 Weather represents an important determinant of demand for many products. 46% of U.S. GDP is affected by weather （ U.S. National Research Council） In the retail sector, Wal-Mart reported (June 2005): its inventory levels were higher than normal for the second straight quarter as below-normal temperatures crimped demand (Timberlake and Wiles 2005) 天气影响重大（续） The unfavorable weather conditions hurt demand not only in North America, but also in Europe Cadbury Schweppes beverage business was hit by cold summer weather in 2004, forcing the firm to lower its profit expectations. The company said the poor sales were ``in line with the industry as a whole where cold and wet weather in 2004 was compared with record summer temperatures in 2003“ 天气影响重大（续） Coca-Cola and Unilever also blamed the weather for low sales of soft drink and ice cream products and issued profit warnings, and Nestle attributed its missing the half-year targets to the impact of poor weather on demand for ice-cream and bottled water (Kleiderman 2004) The Hong Kong based Giordano also blamed to the unfavorable weather for its lower sales in 2001 (Lee et al.,2002). 天气的自然风险 （Weather Risks） 国民经济中许多重要部门都与天气变化密切相关： 农业、能源（电力）、零售，交通、建筑、旅游等 天气变化/变动的不确定性往往引起某些商品的生产成本和市场需求发生很大波动，从而引起企业收益的不确定性变化，这被称为天气风险。 天气衍生品 （Weather Derivatives） 金融工具，其结算是以一个或多个天气因素为交易对象，比如降水量、积雪深度、气温或风速,开泠气天数，需开暖气天数等。 最早的天气衍生品产生于20世纪90年代中期的能源行业。1996年8月，安然公司与佛罗里达西南电力公司交易了世界上第一笔天气衍生合同。天气衍生产品的出现，主要源于一些公司为解决市场萎缩而设计出来的转移天气风险的工具。 例子：期权 天气期权是一种期货期权，表示投资者在未来某一日期有权买卖某一个天气指数期货合同 天气期权是欧式期权，即买方只能在到期日行使权利，不能提前执行。在期权合约的执行日期，以官方发布天气记录，进行结算 天气期权 -- 买入期权和卖出期权 买入期权(Call option) 的买方是为了防止天气的某些因素水平过高，而卖方则认为天气因素不会过高； 卖出期权(Put option) 的买方是为了防止天气的某些因素水平过低，而买方则认为天气因素不会过低 USA天气衍生品合约交易面额（单位：百万美元） 全球天气衍生品合同数量的地区分布 回顾李乐德教授的话 Three Research Projects Managing Weather-Related Demand Uncertainty with Price Postponement and Weather Rebates (管理天气相关需求的不确定性：定价