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Enron was to a large extent the creator of the weather derivatives market where they. 'made-markets'3 on a large number ...... proportional difference. 40 .... Derivatives: A Case Study. Universit´e de Lausanne Ecole des Hautes Etudes ...

http://www.actuaries.asn.au/IAA/upload/public/fsf06_paper_tindall_weather derivatives.pdf

by P Alaton - Cited by 107

http://www.math.kth.se/matstat/fofu/reports/weather.pdf

by A Stoppa - Cited by 30

http://www.ecostat.unical.it/2003agtradeconf/Contributed papers/Stoppa and Hess.PDF

by P Brockett - Related articles

http://www.actuaries.org/ASTIN/Colloquia/Manchester/Presentations/Brockett.pdf

Enron took an active approach to marketing weather derivatives to end-users. ...... The impact of extreme weather events can in many cases by managed by ..... studies mention a reduction of up to 40%) of Arctic sea-ice in late summer. ...

http://www.actuaries.org.uk/__data/assets/pdf_file/0020/18722/Ross.pdf

settled weather-linked derivative contract was transacted between Enron and Koch. Industries. .... company is protected against adverse weather (e.g. in the case of temperature, too ..... 40. 50. Historical. ARMA(2,1) ...

http://www.actuaries.org.uk/__data/assets/pdf_file/0011/20072/sayers.pdf

Vol.40, Iss. 32; pg. 11. Cyr, D. and M. Kusy, 2005, “Weather Derivatives and their Potential use for Hedging. Canadian Ice Wine Production: A Case Study and ...

http://www.wine-economics.org/workingpapers/AAWE_WP05.pdf

by AF Garcia - Cited by 7

http://www.hec.unil.ch/cms_mbf/master_thesis/0004.pdf

by F AudeA leader and pioneer in weather derivatives was Enron Corporation, through .... mentioned before, we will focus in our memoire on the case of North America ..... to 30 − 40% on classical contracts par many actors on the market (like J. ...

http://www.enseignement.polytechnique.fr/economie/chaire-business-economics/RetaureauFilippirapportcomplet.pdf

by M Cao - Cited by 10

http://www.yorku.ca/mcao/cao_wei_weather_CIR.pdf

by J Pollard - 2008 - Cited by 8

http://eprints.gla.ac.uk/5226/1/5226.pdf

Cao and Wei (2004) calculate the weather derivative prices by taking three cases for the risk aversion coefficient : γ = -2 , γ = -10 and γ = -40 ...

http://hal.archives-ouvertes.fr/docs/00/17/91/88/PDF/weathderiv_utility.pdf

by H Hamisultane - 2008 - Related articles

http://hal.archives-ouvertes.fr/docs/00/35/58/56/PDF/wpaper0801.pdf

satisfactory results in the case of the weather derivatives for which the ... To manage this risk, two power companies, Enron and Koch, negotiated the first ...... to weather derivative valuation. Climate Research 21, no. 2: 127–40. ...

http://www.informaworld.com/index/911118089.pdf

demand for weather derivatives and has caused the weather risk management ... Energy, Enron and Castlebridge Weather Markets. .... In the case of a standard HDD swap, the parties agree on a given strike of HDDs ... To help nd a good model, we have a database with temperatures from the last 40 years for different ...

http://www.informaworld.com/index/8LTJNX40C1Q8DXMA.pdf

by A Cornford - Cited by 3

http://www.g24.org/cornford.pdf

by A Cornford - Cited by 3

http://www.g24.org/un-cor04.pdf

1997 when Koch Energy and Enron (now a defunct company) entered into a ..... 40 trails over 300 acres ranging from beginner to double black diamond. ... In the case of weather derivatives, this method is less applicable for most ...

http://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1016123_code16402.pdf?abstractid=1016123

40 CHRYSLER CORPORATION. Negotiating a complex cross-border merger .... And the case, “Enron's Weather. Derivatives,” gives the opportunity to evaluate an ...

http://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID346440_code021029100.pdf?abstractid=346440

Enron, Koch Industries, Southern Energy, Aquila and Castlebridge Weather Mar- ...... If we substitute (40) into (39) we obtain the resulting optimal payoff ..... In the case with only commodity derivatives, the optimal payoff function ...

http://www.springerlink.com/index/n23635t42w286575.pdf

One widely used by electric-gas utilities is weather derivatives. ... Over the last 40 years, the atmospheric sciences have undergone a major transformation .... companies such as Enron, Aquilla, and Koch Energy Trading. ... management products are either weather derivatives or weather insurance. In both cases, ...

http://www.springerlink.com/index/F9865753927LR4L5.pdf

by JE BlomAfter the general part about weather derivatives a case study will be ...... important player was Enron. Enron promoted innovation and performed constant ...... rough 40/40/20 split between North America (including Canada) / Asia ...

http://bora.nhh.no/bitstream/2330/2323/1/Blom 2009.pdf

the cost of gas and electricity to customers by as much as 40 percent to 50 percent. .... weather derivative. It goes on to trade coal, pulp, paper, plastics, .... Another dimension of the Enron case is the role that deregulation of ...

http://redalyc.uaemex.mx/redalyc/pdf/395/39521802.pdf

Case 40 (Class Discussion): Enron Corporation's Weather Derivatives. Last day to withdraw a course with an automatic W. Case 8 (Group Presentation): Padget ...

http://www.uttyler.edu/cbt/documents/FINA4390.001-Spring2009Syllabi.pdf

by R Bassett - Related articles

http://www.cato.org/pubs/pas/pa469.pdf

by J West - 2002 - Cited by 2

http://www.qfrc.uts.edu.au/conferences/qmf2002/West_J.pdf

by B Mizrach - Cited by 1

http://snde.rutgers.edu/pubs/[28]-2006_RQFA.pdf

Enron is an energy and communications company primarily engaged in: – the marketing of gas, electricity, pulp and paper, bandwidth and weather derivatives ...

http://ec.europa.eu/competition/mergers/cases/decisions/m2196_en.pdf

by J Svec - Related articles

http://forecasters.org/submissions09/SvecJiriISF2009.pdf

by GM Cunningham - Cited by 4

http://gpae.bryant.edu/~gpae/Vol3/Enron and Aurhur Andersen.pdf

and editor of four editions of Case Studies in Finance: Managing for Corporate Value. Creation (1990, 1994, 1999, and 2002, ... 40. "Merit Marine Inc." (UVA-F-678) ..... “Enron Corporation's Weather Derivatives (A)” (UVA-F-1299) ...

http://faculty.darden.virginia.edu/brunerb/Bruner_PDF/Case Studies by RFB Sept 2004.pdf

Association 40(April, 1984). 3. “Stakeholder Welfare, Managerial Ethics and ... “The Leveraged Restructuring as a Takeover Defense: The Case of American Standard,” ..... “Enron Corporation's Weather Derivatives (A)” (UVA-F-1299) ...

http://faculty.darden.virginia.edu/brunerb/Bruner_PDF/RFBVITA_v99_January9_2009.pdf

staff in more than 40 countries. 17. How had Enron managed to become such a large ... including weather derivatives. 20. Enron Online, created in late 1999, .... excessive salaries as was the case at Enron without impacting the income ...

http://www2.resbank.co.za/internet/Publication.nsf/LADV/5E46BFE74777BDE742256D24004D1523/$File/Annexure_D1.pdf

gas commodities in the USA, with 21000 employees in 40 countries. ... space advertising, credit risk and derivative instruments on weather. ...

http://www.management.ase.ro/reveconomia/2009-2s/10.pdf

by Y Yamamoto - Cited by 1

http://www.na.cse.nagoya-u.ac.jp/~yamamoto/work/IPDPS2006.PDF

1 This case was prepared by Scott Harrington and Greg Niehaus of the Moore ..... These contracts were sold in the over-the-counter (OTC) market by firms such as Enron. A ..... Illustration of a Weather Derivative. Unhedged Profits. -40 ...

http://www.casact.org/education/oncourses/erm-lecture10-UGG-early.pdf

by S Harrington - Cited by 4

http://www.casact.org/education/oncourses/erm-lecture10.pdf

Though weather derivatives are new financial products developed by Enron Corp. in 1997, its market size in ..... this case [71 because each xi and Yk belong to only one .... strike value:S-20 and 40(C) for derivatives with ...

http://ieeexplore.ieee.org/iel5/10917/34366/01639615.pdf?tp=&isnumber=&arnumber=1639615

that the outages of power plants depend in some cases on the weather, especially on the temperature so that a weather derivative on temperature can be used ...

http://ieeexplore.ieee.org/iel5/4488177/4524335/04524617.pdf?arnumber=4524617

Weather contingent (weather derivatives, double triggers, triple triggers) .... Using Financial. Engineering for Plastic. Surgery: The case of. Enron ...

http://www.fea.com/resources/pdf/a_modelling_energy_derivatives3.pdf

by P Descriptions - Related articles

http://www.rotman.utoronto.ca/~wei/research/CIR_2004.pdf

by HR Hertzfeld - 2003 - Cited by 4

http://www.gwu.edu/~spi/assets/docs/Weather.pdf

Enron operates in more than 40 countries .... Enron is able early in Enron's bankruptcy case to obtain court approval of the sale. • Natural Gas Pipelines: Enron ..... In addition, the claims of holders of Enron's credit derivatives are in .... wholesale electricity market but a renewable energy, coal and weather ...

http://www.orrick.com/fileupload/136.PDF

by J Falzon - Related articles

http://www.bov.com/filebank/documents/BR29 theeffectsofweather.pdf

by DG Baird - Cited by 40

http://www.thecorporatescandalreader.com/forms/03d baird.pdf

Even after Enron failed, the market for swaps and other derivatives worked as ... is endangered by inadequate regulation of swaps, the market seems to weather the ..... this was the case. Despite failing to meet the requirements, Enron excluded ..... The shares received a haircut of approximately 40% as a result ...

http://www.isda.org/whatsnew/pdf/EnronFinal4121.pdf

Nottingham, telephone: (52) 55-56-28-40-88, fax: (52) 55-56-28-40-86 (tapen@itam.mx, ... Reconstruction after Katrina struck New Orleans is a case in point. .... The first weather derivative contract was closed during 1997 between. Aquila Energy and Enron Corp. This contract was made over temperature variation. ...

http://www.soa.org/library/research/actuarial-research-clearing-house/2006/january/arch06v40n1-VIII.pdf

by AE Clements - 2008 - Related articles

http://www.ncer.edu.au/papers/documents/NCER_WpNo33Aug08.pdf

During the second half of the 1990s, US energy trading companies such as Enron, Aquila and. Koch developed weather derivatives. These energy traders were ...

http://www.agroinsurance.com/files//roth.pdf

simulation and pricing issues related to weather derivatives. We provide an application ..... the case of HDD and CDD indices for the temperature). ...

http://virgo.unive.it/cide/conf/2009/iceee2009_submission_6.pdf