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2012, vol. 49, br. 1, str. 1-5
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Vremenski svop kao instrument za upravljanje vremenskim rizicima u proizvodnji pšenice
Weather swap as an instrument for weather risk management in wheat production
aUniverzitet u Novom Sadu, Poljoprivredni fakultet bUniverzitet u Beogradu, Poljoprivredni fakultet
e-adresa: todor@polj.uns.ac.rs
Sažetak
Poseban tip vremenskih derivata predstavljaju vremenski forvardi, koji se najčešće javljaju u formi vremenskih svopova. Primenom stohastičke dominacije u radu je analiziran efekat smanjenja rizika u proizvodnji pšenice sa i bez primene vremenskog svopa. Rezultati pokazuju da je značajno smanjenje rizika primenom vremenskog svopa, ali da geografski i bazni rizik proizvodnje umnogome smanjuju korisnost vremenskih derivata.
Abstract
A special type of weather derivatives are weather forwards and they exists mostly in the form of weather swaps. Hedging effectiveness in wheat production with and without weather swap was analyzed in this paper using stochastic dominance. The results show that the effect of risk reduction is significant using weather swap, but geographical- basis risk and production-related basis risk are important factor that reduce the utility of weather derivatives.
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