Andrea Martínez Salgueiro - Academia.edu (original) (raw)

Papers by Andrea Martínez Salgueiro

Wine Economics and Policy, Dec 1, 2019

This article explores the hedging potential of two weather index-based insurance programmes desig... more This article explores the hedging potential of two weather index-based insurance programmes designed for the Rias Baixas Protected Designation of Origin (Spain). The first alternative insures both extreme and non-extreme weather events, while the second instrument covers exclusively extreme meteorological states. Two bioclimatic indicators computed for the period most correlated to grape yields are proposed as underlyings: the Branas, Bernon and Levadoux (BBL) and the Rib ereau-Gayon and Peynaud hydrothermal scale (RGP). Yield-weather dependence is then modelled with two different methodological approaches: copulas and linear regression. To asses the risk reducing potential, a hedging effectiveness analysis based on real and simulated data is carried out. The model uses variance and expected shortfall as risk measures. The results attained point out the high hedging ability of both insurance programmes, especially of the first of them based on RGP. This appraisal also reveals that the copula technique outperforms linear regression. Overall, the study results suggest that the implementation of policies geared to bioclimatic indices able to signal adverse weather events can significantly mitigate weather-related yield variations in viticulture.

Revistes Científiques de la University of Barcelona (University of Barcelona), Jul 4, 2018

Australian Journal of Agricultural and Resource Economics, Oct 16, 2020

Olive oil yields fluctuate strongly due to their dependence on sufficient precipitation. An inter... more Olive oil yields fluctuate strongly due to their dependence on sufficient precipitation. An interesting option to hedge the yield risk in olive cultivation could be satellite‐based weather index insurance. Therefore, we implement index insurance as a hedging alternative for non‐irrigated olive groves using MODerate‐resolution Imaging Spectroradiometer (MODIS) satellite data. For this purpose, we focus on the Spanish region of Andalusia, given its importance in olive production at the international level. We calculate three satellite indices: the Vegetation Condition Index (VCI), the Temperature Condition Index (TCI) and the Vegetation Health Index (VHI). Meteorological indices related to temperature and precipitation are used as benchmarks. Firstly, we estimate the periods that have the greatest influence on the critical vegetative phase of olives, which extends from March to September. Based on the indices, insurance contracts are designed using a copula approach, which is then employed to evaluate their hedging effectiveness. On average, the hedging effectiveness of VCI‐, VHI‐ and TCI‐based weather index insurance contracts amounts to 38 per cent, 38 per cent and 29 per cent, respectively. Moreover, VCI‐ and VHI‐based weather index insurance contracts outperform traditional weather index insurance contracts based on precipitation (by 29 per cent) and temperature (by 16 per cent) indices.

Review of Managerial Science

This paper analyses the impact of sustainability through ESG factors on the default risk. The sam... more This paper analyses the impact of sustainability through ESG factors on the default risk. The sample consists of 990 non-financial firms in the Eurozone over the period 2004–2020. The results show that ESG factors influence default risk, although this relationship could be influenced by the economic cycle. Also, the results highlight a significant interaction effect between firm size and ESG which affects default risk. Considering firm size by terciles, the evidence obtained shows that smaller and medium-sized firms have a positive net effect of a high ESG score on their default risk, while the opposite effect was found among larger firms.

INTRODUCCIÓ. El domini en disciplines amb una gran orientació pràctica, com la gestió d’empreses,... more INTRODUCCIÓ. El domini en disciplines amb una gran orientació pràctica, com la gestió d’empreses, no està determinat directament pel grau de coneixement, sinó per la capacitat d’aplicar teories econòmiques i de gestió al món real. Aquesta naturalesa pràctica posa en relleu la insuficiència de les tècniques educatives tradicionals per a l’ensenyament, consistents en lectures i classes magistrals, i condueix a l’aparició de mètodes instructius alternatius, com els fonamentats en l’aprenentatge basat en equips (ABE). MÈTODE. Concretament, hi ha dos instruments l’ús dels quals s’ha anat incrementant en educació empresarial: els estudis de casos i les simulacions. RESULTATS. En aquesta investigació, els dos instruments són analitzats detalladament amb l’objectiu de determinar si el seu ús en la fase d’aplicació de l’ABE és una alternativa apropiada, atesa la naturalesa pràctica d’aquesta fase. DISCUSSIÓ. Basada en l’avaluació d’aquestes tècniques, la nostra investigació suggereix que la ...

These files contain the commands used for the design and valuation of the insurance progammes sug... more These files contain the commands used for the design and valuation of the insurance progammes suggested in this article as well as an analysis of their hedging effectiveness.

Australian Journal of Agricultural and Resource Economics, 2020

Wine Economics and Policy, 2019

REIRE. Revista d'Innovaci� i Recerca en Educaci�, 2018

Supplemental Material, Appendix for Weather derivatives to mitigate meteorological risks in touri... more Supplemental Material, Appendix for Weather derivatives to mitigate meteorological risks in tourism management: An empirical application to celebrations of Comunidad Valenciana (Spain) by Andrea Martínez Salgueiro and Maria-Antonia Tarrazon-Rodon in Tourism Economics

This study assesses how effective spatial diversification is in reducing the systemic risk implie... more This study assesses how effective spatial diversification is in reducing the systemic risk implied by a market for weather index-based insurance in Spain and compares rainfall- and temperature-based policies in terms of systemic risk. Based on historical weather data, daily models which rely on the multivariate normal distribution are applied to derive greater samples. The results show that the Buffer Load, as measured by the Expected Shortfall, decreases up to 67% as the level of aggregation increases. This suggests that the trading area should not be focused on a specific county, but on Spain as a whole. Considering the highest aggregation degree, it is also shown that the diversification effect is significant, of up to 0.35. Finally, it is noted that rainfall insurance is a less-risky alternative as compared to temperature-geared contracts, as it implies lower losses and prices and stronger risk pooling effectiveness. Therefore, we recommend the inclusion of this type of policies...

Tourism Economics, 2019

This article explores the possibility of implementing weather derivatives in cultural events thro... more This article explores the possibility of implementing weather derivatives in cultural events through an empirical application to celebrations of Comunidad Valenciana (Spain). Temperature- and rainfall-based options geared to the three counties of this Autonomous Community are proposed to mitigate the risk exposure of this event. First, the contracts are priced through the Index Value Simulation and Daily Simulation techniques, which rely on Monte Carlo simulations. Next, they are used to design realistic hedging strategies, which are evaluated under different meteorological scenarios. The degree of geographical basis risk affecting this region, as measured by the root mean square error, is also assessed since it is a common issue refraining the application of weather derivatives. The outcomes attained emphasize the high hedging potential of the suggested tools and indicate the appropriateness of considering, on a case-by-case basis, the possibility of using a combination of derivati...

Review of Derivatives Research, 2019

This article approaches some of the current rainfall derivatives pricing and operational challeng... more This article approaches some of the current rainfall derivatives pricing and operational challenges through an empirical application to Comunidad Valenciana, Spain. Regarding the former, two different issues are addressed. First, we examine the rightness of suggesting the Gamma distribution to price rainfall contracts, which is the alternative chosen by previous authors applying the Index Value Simulation technique. This is done for the purpose of determining whether the consideration and comparison of other alternatives may lead to more accurate valuation results. Concretely, two different distributions, in addition to the Gamma, are proposed: the exponential and the mixed exponential, whose fits are assessed through the Kolmogorov-Smirnov/Lilliefors test and graphical analyses. The outcomes attained indicate that this selection process leads indeed to a precise generation of the rainfall index's moments. Next, we examine the viability of using a unique distribution to model the rainfall risk of regions located nearby, since this would considerably decrease valuation complexity. Our analysis shows that the most convenient choice depends on the period and location considered, although the mixed exponential appears as a reasonable option in most cases. Finally, a relevant operational challenge related to geographical basis risk is approached. Concretely, an evaluation of this type of risk among the locations studied is conducted. The results attained indicate that, given the insufficient degree of correlation between nearby locations, rainfall risk hedging measures may rely on compound derivatives referred to several neighbor stations.

The increasing weather volatility derived from the climate change phenomenon emphasises that mete... more The increasing weather volatility derived from the climate change phenomenon emphasises that meteorological risk should not be left to chance anymore by the practitioners of nature-based activities. This fact, jointly to the recent appearance of weather index-based policies, has implied a relevant change in the previous risk management panorama, where loss-based insurance was the only available alternative to mitigate weather risk exposure. By insuring the cause or event instead of the effect, this instrument reduces management costs and avoids the important drawbacks of moral hazard and adverse selection. Given these benefits, the present work approaches different issues related to the valuation and application of this insurance modality, whose assessment may be insightful from both the supply- and demand-side point of view. Chapter 2 starts by reviewing the most relevant literature on weather modelling and pricing, as several techniques, such as Historical Burn Analysis, Index Val...