Tail Risk in Weather Derivatives

Tail Risk in Weather Derivatives

Weather derivative markets, particularly Chicago Mercantile Exchange (CME) Heating Degree Day (HDD) and Cooling Degree Day (CDD) futures, face challenges from complex temperature dynamics and spatially heterogeneous co-extremes that standard Gaussian models overlook. Using daily data from 13 major U...

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Bibliographic Details
Main Authors:	Tuoyuan Cheng, Saikiran Reddy Poreddy, Kan Chen
Format:	Article
Language:	English
Published:	MDPI AG 2025-06-01
Series:	Commodities
Subjects:	heating degree day cooling degree day extreme value theory vine copula value-at-risk expected shortfall
Online Access:	https://www.mdpi.com/2813-2432/4/2/11
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