CME-Carvill飓风指数期货与期权.pdfVIP

CME-Carvill 飓风指数期货与期权 谢世清 （北京大学经济学院，北京 100871 ） 摘要：美国芝加哥商品交易所（CME ）于2007 年3 月成功推出了CME-Carvill 飓风指数期货和 期权。该期货和期权所基于的CHI 指数由私人再保险公司Carvill 进行计算。与传统的只考虑飓 风最高风力的萨菲尔 辛普森飓风衡量标度相比，CHI 指数具有连续性，无右端汇聚性，更能 准确地反映飓风的潜在破 力。所推出的飓风期货包括飓风事件期货、飓风季节期货和飓风季节 高峰期货；飓风期权只有飓风季节二元期权和飓风季节高峰二元期权。目前我国已对西方发达国 家的天气衍生品有了研究介绍，但对CME-Carvill 飓风期货和期权却鲜有报道。本文旨在对 CME-Carvill 飓风期货和期权进行系统梳理介绍，以填补国内这一学术空白。本文首先在分析传 统SSHS 指数弊端的基础上阐明了引入Carvill 飓风指数的必要性；其次分别介绍了该指数各种 期货和期权；最后与天气衍生品和巨灾期货与期权进行比较分析。 关键词：Carvill 飓风指数期货、Carvill 飓风指数二元期权；金融衍生品；天气衍生品 作者简介：谢世清，美国马里兰大学博士，北京大学经济学院风险管理与保险学系副教授，研究 方向：保险风险证券化。 中图分类号：F830.9 文献标识码：A CME-Carvill Hurricane Index Futures and Options Shiqing Xie Abstract：Chicago Mercantile Exchange (CME) successfully launched the CME-Carvill Hurricane Index futures and options in March 2007. The futures and options are based on the CHI index provided by private Carvill Re. Compared with the traditional Safire-Simpson hurricane scale which only calculates the maximum sustained wind speed, CHI index has advantages of continuity, no right convergence and more accurate reflection of the destructive potential of hurricane. The launched hurricane futures include Hurricane Futures Events, Hurricane Seasonal Futures and Hurricane Seasonal Maximum Futures; the hurricane options only have Hurricane Seasonal Binary Options and Hurricane Seasonal Maximum Binary Options .At present, weather derivatives in the West countries have been introduced in China, but CME-Carvill Hurricane futures and options are rarely reported. This paper aims to systematically investigate the CME-Carvill Hurricane derivatives so as to fill out this academic gap in China. It first analyzes the necessity of introducing the CME-Carvill Hurricane Index; then introduces a variety of CME-Carvill Hurricane Index futures