RMS launches new daily model for Climetrix

The tool offers an alternative to the index modelling capabilities also available within the Climetrix system. While index models rely on an aggregate-level analysis of historical index values, RMS said the new daily simulation model analyses weather risk by simulating the day-by-day progression of temperatures over thousands of years of simulated weather.

The simulated time series should make it easier to value weather contracts that can prove difficult to analyse accurately with an index model. These include contracts based on short time periods, such as a week, or contracts based on event indexes that measure the number of times a specific temperature threshold is reached. The daily model also provides an alternative perspective for the analysis of contracts based on standard degree-day or average temperature indexes.

Bob Henderson, head of research at Element Re Capital Products, the Bermuda-based weather risk firm, said: "We believe daily modelling capabilities provide important insights into weather risk beyond what is possible with the index models that have traditionally been used in the market. As daily models evolve over time, we expect many market participants to move towards using such models as the primary basis for both trading and portfolio risk management.”

Since the initial release of Climetrix in July 2000, RMS claimed that more than 70% of active weather market participants have licensed the system or the underlying weather data.

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Next-generation technologies and the future of trading

At a Risk.net webinar in association with capital markets technology provider Numerix, panellists discuss the potential for increased adoption of the public cloud to boost investment performance, its impact on risk management and overcoming barriers to…

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here