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Pricing weather derivatives for the chardonnay cultivar in Wellington using a credit default SWAP methodology

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dc.contributor.author Holemans, Nadine
dc.contributor.author Styger, Paul
dc.contributor.author Van Vuuren, Gary Wayne
dc.date.accessioned 2012-08-30T13:47:19Z
dc.date.available 2012-08-30T13:47:19Z
dc.date.issued 2011
dc.identifier.citation Holemans, N. et al. 2011. Pricing weather derivatives for the chardonnay cultivar in Wellington using a credit default SWAP methodology. Agrekon, 50(4):25-44. [http://www.tandfonline.com/doi/pdf/10.1080/03031853.2011.617903] en_US
dc.identifier.issn 0303-1853
dc.identifier.issn 2078-0400 (Online)
dc.identifier.uri http://hdl.handle.net/10394/7163
dc.description Official publication of the Agricultural Economics Association of South Africa (ARASA) en_US
dc.description.abstract Most South African farmers employ standard insurance to protect crops from natural disasters such as hail or strong winds, but no insurance contracts exist to compensate for rain damage (although floods are covered), or for temperature damage to relevant crops. Weather derivatives do exist, but are mostly available in foreign markets and used chiefly by energy companies. Some South African over-the-counter weather derivatives are available, but trading is rare. This paper establishes a pricing equation for weather derivatives specifically for use in the South African market. The methodology employed borrows heavily from the techniques used to price credit default swaps. en_US
dc.language.iso en en_US
dc.publisher Unisa/Taylor & Francis en_US
dc.subject Weather derivatives en_US
dc.subject South Africa en_US
dc.subject CDS en_US
dc.subject probability of events en_US
dc.subject loss given event JEL classification: C15, C39, C53, C68 en_US
dc.title Pricing weather derivatives for the chardonnay cultivar in Wellington using a credit default SWAP methodology en_US
dc.type Article en_US


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