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Author : Ge Zhao
Publisher :
ISBN 13 :
Total Pages : 226 pages
Book Rating : 4.:/5 (19 download)
Download or read book Essays on Commodity Risk Management written by Ge Zhao and published by . This book was released on 2007 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shi Wei
Publisher :
ISBN 13 : 9780549126591
Total Pages : 114 pages
Book Rating : 4.1/5 (265 download)
Download or read book Three Essays on Commodity Risk Management written by Shi Wei and published by . This book was released on 2007 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three papers on risk management with empirical applications for commodity markets. The first two papers analyze selective hedging, where risk managers have views on future market conditions and sometimes hedge selectively based on these views. I develop two Bayesian optimal hedging models based on the Bayesian portfolio optimization framework. The Bayesian approach is chosen because it jointly considers subjective views and parameter estimation risk. The first paper considers only subjective views and estimation risk regarding the expectation vector of asset returns, while the second paper extends the framework to the covariance matrix of asset returns. Numerical examples in these studies show that subjective views can have a substantial impact on risk managers' hedging decisions and that the impact is most evident when the hedger speculates on market price direction and/or is pessimistic about the effectiveness of hedging, i.e., a breakdown in the correlation among different markets. Overall, the Bayesian optimal hedging models not only help explain the large cross-sectional and time-series variation in hedging positions often observed in practice, but also provide risk managers with a theoretically intuitive yet quantitatively rigorous tool to blend their views on market conditions with a "market-wide" or "firm-wide" consensus in determining optimal hedging positions. The third paper estimates the cost (i.e., risk premium) of pre-harvest forward contracting for wheat in Illinois and Kansas. Given the similarities between forward and futures markets, regression models used for testing the risk premium hypothesis in futures markets are applied to forward markets. Cost is estimated for both unconditional and conditional levels. The empirical results show that the average cost of forward contracting is higher than that of futures hedging in both states and cost varies systematically in relation to the level and volatility of forward prices.
Author : Mathias Gerner
Publisher :
ISBN 13 :
Total Pages : 115 pages
Book Rating : 4.:/5 (796 download)
Download or read book Essays on Commodity Markets and Energy Risk Management & Derivatives written by Mathias Gerner and published by . This book was released on 2011 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Geoffrey Poitras
Publisher : Routledge
ISBN 13 : 1136262601
Total Pages : 426 pages
Book Rating : 4.1/5 (362 download)
Download or read book Commodity Risk Management written by Geoffrey Poitras and published by Routledge. This book was released on 2013-03-05 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity Risk Management goes beyond just an introductory treatment of derivative securities, dealing with more advanced topics and approaching the subject matter from a unique perspective. At its core lies the concept that commodity risk management decisions require an in-depth understanding of speculative strategies, and vice versa. The book offers readers a unified treatment of important concepts and techniques that are useful in applying derivative securities in the management of risk in commodity markets. While some of these techniques are well known and fairly common, Poitras offers applications to specific situations and links to speculative trading strategies - extensions of the material that not only are hard to come by, but helpful to both the academic and the practitioner. The book is divided into three parts. The first part deals with the general framework for commodity risk management, the second part focuses on the use of derivative security contracts in commodity risk management, and the third part deals with applications to three specific situations. As a textbook, this book is designed to appeal to classes at a senior undergraduate/MBA/MA levelof training in Finance, financial economics, actuarial science, management science, agriculturaleconomics and accounting. There will also be interest for the book as: a monograph for research libraries, a handbook for individuals working in the commodity risk management industry, and a guidebook for those in the general public interested in topics like farm risk management or the assessment of hedging practices of publicly-traded commodity producers.
Author : Ying Wang
Publisher :
ISBN 13 :
Total Pages : 118 pages
Book Rating : 4.:/5 (957 download)
Download or read book Essays on Risk Management for Agricultural Commodity Futures Market written by Ying Wang and published by . This book was released on 2016 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: Funding risk, which caused the $1.3 billion derivatives-related loss at MG Refining & Marketing, Inc. in 1993, has long been overlooked in the risk management literature. The key to understanding funding risk is that, as futures hedging practice requires substantial infusions of cash to meet variation margin calls, the maximum margin required may occur well before the expiration of the futures contract, but must be met in order to maintain the futures positions. This paper approaches the question of how to properly measure the "funding risk" of commodity futures positions by estimating a CD-Vine copula model for the dependence of corn, soybean and wheat futures at multiple forecast intervals, using Harrison’s method and the Extreme Value Theory to calibrate the distribution of the maximum. This is the first attempt in the literature to model the extreme prices of futures contracts over a given time period in an agricultural commodity portfolio context. The adoption of the recently-developed CD-Vine copula model allows one to model the dependence structure in a more flexible manner than the previous standard multivariate models based on Gaussian or Student’s t distributions.
Author : Satya Ranjan Sahoo
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (111 download)
Download or read book Essays on Derivatives and Risk Management on Freight and Commodity written by Satya Ranjan Sahoo and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Satya R. Sahoo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book Essays on Derivatives and Risk Management on Freight and Commodity written by Satya R. Sahoo and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rui Zhu
Publisher :
ISBN 13 :
Total Pages : 236 pages
Book Rating : 4.:/5 (758 download)
Download or read book Essays on Corporate Risk Management written by Rui Zhu and published by . This book was released on 2011 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation addresses issues in corporate risk management. Part I examines the determinants for corporate decisions to commodity hedge and to the extent of hedging. Chapter 1 discusses prior literature, including theory and empirical evidence on corporate risk management. It provides the background to support the empirical analyses of Chapters 2, 3 and 4. Chapter 2 examines corporate decisions to commodity hedge. I find that firms are more likely to hedge when they are big, have risk management department set up and have more of their competitors hedge. Chapter 3 investigates what determines the extent of hedging conditional on hedging decisions and the cross-sectional and time series deviation of the hedge ratio. I find that firms tend to hedge less when they have younger CEOs and have more options in their compensation plan. I also find that when determining the hedge ratio, firms with young CEOs and higher option compensation tend to respond to past commodity price growth and to deviate from industry average. Part II investigates the relationship between corporate risk management and product market competition. Chapter 4 examines the different product market performance for firms with different hedging polices after commodity price shocks. I find that unhedged firms which are ex ante financially constrained lose market share and experience a decreased profitability during and after commodity price shocks. Chapter 5 examines whether the loss of unhedged constrained firms in product market is driven by the competitors. I find that firms with financial advantages--unconstrained hedged firms--tend to increase advertising expenditures and decrease price-cost-margins during negative commodity shocks, indicating that the market share loss of constrained unhedged firms is due to increased competition in the product market. Chapter 6 examines whether corporate risk management affects the likelihood of firms exiting the market. I find that constrained unhedged firms are 6% more likely to exit the market than their unconstrained hedged rivals and the effects are stronger in concentrated industries and industries with higher leverage dispersion.
Author : Helyette Geman
Publisher : John Wiley & Sons
ISBN 13 : 0470740817
Total Pages : 320 pages
Book Rating : 4.4/5 (77 download)
Download or read book Risk Management in Commodity Markets written by Helyette Geman and published by John Wiley & Sons. This book was released on 2009-01-22 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities represent today the fastest growing markets worldwide. Historically misunderstood, generally under- studied and under- valued, certainly under- represented in the literature, commodities are suddenly receiving the attention they deserve. Bringing together some of the best authors in the field, this book focuses on the risk management issues associated with both soft and hard commodities: energy, weather, agriculturals, metals and shipping. Taking the reader through every part of the commodities markets, the authors discuss the intricacies of modelling spot and forward prices, as well as the design of new Futures markets. The book also looks at the use of options and other derivative contract forms for hedging purposes, as well as supply management in commodity markets. It looks at the implications for climate policy and climate research and analyzes the various freight derivatives markets and products used to manage shipping and freight risk in a global commodity world. It is required reading for energy and mining companies, utilities’ practitioners, commodity and cash derivatives traders in investment banks, CTA’s and hedge funds
Author : Michael Bierbrauer
Publisher :
ISBN 13 :
Total Pages : 151 pages
Book Rating : 4.:/5 (26 download)
Download or read book Essays on Commodity Price Risk written by Michael Bierbrauer and published by . This book was released on 2008 with total page 151 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James Ian Vickery
Publisher :
ISBN 13 :
Total Pages : 158 pages
Book Rating : 4.:/5 (63 download)
Download or read book Essays in Banking and Risk Management written by James Ian Vickery and published by . This book was released on 2004 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: (Cont.) Risk Management have begun implementing strategies to provide commodity price and weather insurance in the developing world. In Chapter 3 (joint with Professor Rob Townsend from the University of Chicago), we examine how shocks to the price of rubber, an important but volatile Thai export commodity, affect the income, consumption and intra-household remittances of rural Thai households. In contrast to related work on rainfall shocks, we find rubber price innovations are not well insured or smoothed--remittances, borrowing and saving play only small roles in ameliorating the effect of these shocks on the consumption of affected households. We argue that differences in the relative persistence of the two types of shocks provide a plausible reason for these divergent findings, drawing on the literature on buffer stock models of consumption behavior and risk sharing with limited commitment.
Author : Lei Yan
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (18 download)
Download or read book Essays on Commodity Investing and Volatility Risk written by Lei Yan and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrea Roncoroni
Publisher : John Wiley & Sons
ISBN 13 : 0470662506
Total Pages : 1067 pages
Book Rating : 4.4/5 (76 download)
Download or read book Handbook of Multi-Commodity Markets and Products written by Andrea Roncoroni and published by John Wiley & Sons. This book was released on 2015-02-17 with total page 1067 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Multi-Commodity Markets and ProductsOver recent decades, the marketplace has seen an increasing integration, not only among different types of commodity markets such as energy, agricultural, and metals, but also with financial markets. This trend raises important questions about how to identify and analyse opportunities in and manage risks of commodity products. The Handbook of Multi-Commodity Markets and Products offers traders, commodity brokers, and other professionals a practical and comprehensive manual that covers market structure and functioning, as well as the practice of trading across a wide range of commodity markets and products. Written in non-technical language, this important resource includes the information needed to begin to master the complexities of and to operate successfully in today’s challenging and fluctuating commodity marketplace. Designed as a practical practitioner-orientated resource, the book includes a detailed overview of key markets – oil, coal, electricity, emissions, weather, industrial metals, freight, agricultural and foreign exchange – and contains a set of tools for analysing, pricing and managing risk for the individual markets. Market features and the main functioning rules of the markets in question are presented, along with the structure of basic financial products and standardised deals. A range of vital topics such as stochastic and econometric modelling, market structure analysis, contract engineering, as well as risk assessment and management are presented and discussed in detail with illustrative examples to commodity markets. The authors showcase how to structure and manage both simple and more complex multi-commodity deals. Addressing the issues of profit-making and risk management, the book reveals how to exploit pay-off profiles and trading strategies on a diversified set of commodity prices. In addition, the book explores how to price energy products and other commodities belonging to markets segmented across specific structural features. The Handbook of Multi-Commodity Markets and Products includes a wealth of proven methods and useful models that can be selected and developed in order to make appropriate estimations of the future evolution of prices and appropriate valuations of products. The authors additionally explore market risk issues and what measures of risk should be adopted for the purpose of accurately assessing exposure from multi-commodity portfolios. This vital resource offers the models, tools, strategies and general information commodity brokers and other professionals need to succeed in today’s highly competitive marketplace.
Author : Qiang Zhang
Publisher :
ISBN 13 :
Total Pages : 308 pages
Book Rating : 4.:/5 (265 download)
Download or read book Three Essays on Risk and U.S. Commodity Exports written by Qiang Zhang and published by . This book was released on 2008 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John J. Stephens
Publisher : Wiley
ISBN 13 : 9780471866251
Total Pages : 0 pages
Book Rating : 4.8/5 (662 download)
Download or read book Managing Commodity Risk written by John J. Stephens and published by Wiley. This book was released on 2000-12-19 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Managing Commodity Risk is a clear and practical guide to managing commodity risk and explains how the commodity futures markets can be used to the manager's advantage. Beginning with a general overview of the definitions, processes and procedures, the book then explains in detail each of the individual approaches and looks at topics such as the commodity markets and their instruments, hedging with commodity futures and options and commodity futures exchanges. There is a checklist with key issues and approaches raised at the end of each chapter. This book is a practical primer for business managers who wish to manage and minimise the risk within their own industry.
Author : Panayotis N. Varangis
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (318 download)
Download or read book Dealing with Commodity Price Uncertainty written by Panayotis N. Varangis and published by . This book was released on 1996 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : George A. Zsidisin
Publisher : Business Expert Press
ISBN 13 : 1606492632
Total Pages : 120 pages
Book Rating : 4.6/5 (64 download)
Download or read book Managing Commodity Price Risk written by George A. Zsidisin and published by Business Expert Press. This book was released on 2012-01-11 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: Every business is exposed to financial risk stemming from commodity price volatility. Risk exposure may be direct from the prices paid for raw materials needed for operations or indirect from higher energy and transportation costs. The purpose of this book is to provide an approach that organizations can implement to manage commodity price volatility and reduce their exposure to financial risk. This topic is important for current and future supply chain professionals due to the significant direct financial effects that price volatility has on profitability, organizational cash flow, the ability to competitively price products, new product design, buyer-supplier relationships, and effective negotiating.
