Stefani, Silvana; Kutrolli, Gleda; Moretto, Enrico; … - In: Risks : open access journal 8 (2020) 4/118, pp. 1-23
This paper focuses on weather derivatives as efficient risk management instruments and proposes a more advanced … region under study and introducing Value-at-Risk (VaR) and Expected Shortfall (ES) as appropriate measures for the strike … price. The numerical results show that VaR and ES are both efficient ways for managing the so-called Tail Risk; further …