統計学輪講（第２４回）

日時      2003年 9月16日(火)    15時〜16時40分
場所      経済学部新棟３階第３教室
講演者    刈屋 武昭(京都大学金融工学センター)
演題      Weather Risk Swap

概要
   In June of 2001, Tokyo Electric Power Company (TEPCO) and 
Tokyo Gas Supply Company (TGSC) made a zero-cost risk swap 
contract on the average temperature of August and September 
of 2001 in Tokyo for their adverse situations. This is an 
exchange of two options on the average temperature, by which
TEPCO and TGSC can respectively hedge against a cold summer 
and a hot summer. In this paper we develop a theoretical 
framework to evaluate the fairness or reasonability of 
such a zero-cost weather risk swap and empirically evaluate 
the fairness of the temperature risk swap between the two 
companies. Since the situation with derivatives defined 
on such a weather index as the average temperature is 
essentially incomplete in any sense, we can not simply 
value the options on a weather index by the no-arbitrage 
argument and compare the risk-neutral expected values.  
In other words, we have to explicitly take a risk factor 
into account in the evaluation. 
 
 　First we define the concepts of full equivalence and 
moment equivalence of two options on a weather index and 
then derive some conditions for full and moment equivalences. 
Thirdly using the stochastic volatility model in Kariya, 
Endo and Ushiyama (2003), it is shown that the options 
in the TEPCO-TGSC risk swap are neither fully equivalent 
nor moment-equivalent as they stand. 

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Tokyo University