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dc.contributor.advisorVan Vuuren, G.
dc.contributor.advisorStyger, P.
dc.contributor.authorHolemans, Amelia Nadineen_US
dc.date.accessioned2011-08-22T15:55:30Z
dc.date.available2011-08-22T15:55:30Z
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10394/4456
dc.descriptionThesis (M.Com. (Risk management))--North-West University, Potchefstroom Campus, 2011.
dc.description.abstractMost farmers in South Africa use standard insurance to protect their crops against natural disasters such as hail or strong winds. However, no South African insurance contracts exist to compensate for too much or too little rain (although floods are covered), or which will pay out if temperatures were too high or too low for a certain period of time for the relevant crop. Weather derivatives - which farmers may employ to ensure crops against adverse temperatures - do exist, but these are mostly available in foreign markets in the form of Heating Degree Days contracts and Cooling Degree Day contracts and are used chiefly by energy companies. Some South African over-the-counter weather derivatives are available, but trading in these is rare and seldom used. The goal of this dissertation is to establish a pricing equation for weather derivatives specifically for use in the South African market. This equation will be derived using a similar methodology to that employed for credit default swaps. The premium derived will be designed to compensate grape farmers from losses arising from two different climatic outcomes - in this case temperature and precipitation. These derivatives will be region and crop specific and the formulation will be sufficiently flexible as to allow for further climatic possibilities (which may be added at a later stage). These weather derivative premiums will then be compared to standard crop insurance to establish economic viability of the products and recommendations will be made regarding their usage. The possibility of the simultaneous use of these derivatives and standard crop insurance for optimal crop coverage will also be explored and discussed.en_US
dc.publisherNorth-West University
dc.subjectCredit default swap pricing methodology (CDS)en_US
dc.subjectCredit derivativesen_US
dc.subjectCredit eventsen_US
dc.subjectRisk managementen_US
dc.subjectWeather derivativesen_US
dc.subjectWeather evolusion modelsen_US
dc.subjectWeather risksen_US
dc.titleApplying a credit default swap valuation approach to price South African weather derivativesen
dc.typeThesisen_US
dc.description.thesistypeMastersen_US
dc.contributor.researchID10061231 - Styger, Paul (Supervisor)


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