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Horizon Value at Risk for Weather Derivatives Part 2: Portfolios

We describe two methods for the calculation of horizon value at risk for portfolios of weather derivative contracts. Both methods are based on stochastic processes for the expected indices of the contracts. The simpler of the two methods involves a linearisation, and is only appropriate for short horizons. The more complex of the two methods is appropriate for any horizon, and coincides with the expiry value at risk when the horizon coincides with expiry.