リアルオプション研究
Online ISSN : 1884-1635
Print ISSN : 1881-5774
ISSN-L : 1881-5774
応用研究
天候デリバティブによるリスクマネジメントの効率性の検証: Jリーグにおけるケーススタディ
伊藤 晴祥小澤 昭彦
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ジャーナル フリー

2012 年 5 巻 1 号 p. 19-46

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We analyzed the efficiency of the so-called ‘day-counting weather derivatives’ provided by the insurance firms in Japan for J Clubs, professional soccer teams in Japan. These weather derivatives in Japan are not traded in the market but provided by insurance firms. First of all we showed how J clubs are exposed to adverse weather conditions using regression analysis. Second, we evaluate the premium of two types of proposed weather derivatives by Wang transforms since we need to consider the incompleteness of the market. Finally, we performed valuation analysis showing how soccer teams improve their corporate value using weather derivatives given insurance premium and preference of the mangers. The OLS regression showed that the number of attendance on the rain day is significantly less than the sunny day for many teams. Also valuation analysis implies that premium offered by insurance firms is too high to improve firm value. If the risk loading of weather derivatives had been as low as 25%, the weather derivatives would have been used by fairly risk adverse managers extensively.

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© 2012 日本リアルオプション学会
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