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.

本文通过对西班牙巴伦西亚自治区的实证应用，探讨了当前降雨衍生品定价和运营挑战的一些问题。对于前者，解决了两个不同的问题。首先，我们检查建议降雨合同价格的伽玛分布的正确性，这是先前作者应用指数值模拟技术选择的替代方案。这样做的目的是确定考虑和比较其他替代方案是否可以带来更准确的估值结果。具体而言，除了 Gamma 之外，还提出了两种不同的分布：指数分布和混合指数分布，其拟合度通过 Kolmogorov-Smirnov/Lilliefors 检验和图形分析进行评估。获得的结果表明，这个选择过程确实导致了降雨指数矩的精确生成。接下来，我们研究使用独特的分布来模拟附近地区的降雨风险的可行性，因为这将大大降低估值的复杂性。我们的分析表明，最方便的选择取决于所考虑的时期和地点，尽管混合指数在大多数情况下似乎是合理的选择。最后，探讨了与地理基础风险相关的相关运营挑战。具体而言，对所研究地点的此类风险进行评估。结果表明，由于邻近地点之间的相关性不够，降雨风险对冲措施可能依赖于多个邻近站点的复合衍生品。