Feasibility of Derivatives for Monkfish in France: A Dependence Analysis Using the Empirical Copula

Abstract:     
Financial derivatives have long been used to achieve price risk management in agriculture, but, up to this point, little has been done in the seafood sector. One difficulty stems from the lack of product homogeneity, so we evaluate the possibility of building representative price indices. This is an essential step due to the absence of such indices and hedging instruments in France. We conduct a statistical analysis of the daily French monkfish market between 1994 and 2006. Empirical copula is used in relation to the basis risk to handle the dependence between the different sizes.

Keywords: monkfish, price risk management, empirical copula, Kendall's τ, basis risk

JEL Classification: G00, O13, Q14, Q22

Accepted Paper Series