Risk management in commodity markets: from shipping to agriculturals and energy
Gespeichert in:
| Weitere Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Chichester [u.a.]
Wiley
2008
|
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | Cover Inhaltsverzeichnis |
| Beschreibung: | XXII, 298 S. graph. Darst. |
| ISBN: | 9780470694251 |
Internformat
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Datensatz im Suchindex
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Contents
Preface xi
About the Editor xv
About the Contributors xvii
1 Structural Models of Commodity Prices 1
Craig Pirrong, University of Houston
1.1 Introduction 1
1.2 A Commodity Taxonomy 1
1.3 Fundamental Models for Storable Commodities 2
1.4 Non-Storable Commodities 6
1.5 Summary 7
1.6 References 7
2 Forward Curve Modelling in Commodity Markets 9
Svetlana Borovkova, Universiteit Amsterdam, and Helyette Geman,
University of London and ESSEC
2.1 Introduction 9
2.2 Forward Curve Models for Non-Seasonal Commodities 14
2.3 The Seasonal Forward Curve Model and its Extensions 17
2.4 Principal Component Analysis of a Forward Curve 24
2.5 Forward Curve Indicators 26
2.6 Conclusions 31
2.7 References 31
3 Integrating Physical and Financial Risk Management in Supply
Management 33
Paul R. Kleindorfer, University of Pennsylvania and INSEAD
3.1 Introduction 33
4.1 Introduction
4.2 Determinants of Success of New Derivative Markets
4.3 Price Discovery
4.4 Trading, Clearing, and Margining
4.5 Market Integrity
4.6 Market Recovery
4.7 Market Oversight
4.8 Case Studies
4.9 Conclusion
4.10 References
_Contents
3.2 A Primer On Previous Supply Management Contracting
Literature 35
3.3 A Modelling Framework and a Simple Illustrative Case 37
3.4 Recent Contributions to the Optimal Contracting Literature 44
3.5 Some Open Research Questions and Implications for Practice 46
3.6 References 49
The Design of New Derivative Markets 51
Giovanni Barone-Adesi, The Swiss Finance Institute
and The University of Lugano
51
52
53
54
55
56
56
57
58
58
5 Risk Premia of Electricity Futures: A Dynamic Equilibrium Model 61
Wolfgang Btihler, University of Mannheim, and Jens Miiller-Merbach,
BHF-Bank Alctiengesellschaft
5.1 Introduction 61
5.2 The Dynamic Equilibrium Model 62
5.3 Comparative Statics 64
5.4 Empirical Study 73
5.5 Conclusion 77
5.6 References 80
6 Measuring Correlation Risk for Energy Derivatives 81
Roza Galeeva, Jiri Hoogland, and Alexander Eydeland,
CMG, Morgan Stanley
6.1 Introduction 81
6.2 Correlation 81
6.3 Perturbing the Correlation Matrix 82
6.4 Correlation VaR 85
6.5 Some Examples 85
6.6 Discussion and Conclusions 88
6.7 References 89
Contents_vii
7 Precaution and a Dismal Theorem: Implications for Climate Policy
and Climate Research 91
Gary W. Yohe, Wesleyan University and Richard S. J. Tol, Economic
and Social Research Institute, Dublin
7.1 Introduction 91
7.2 A New Source of Concern: Weitzman's Dismal Theorem 93
7.3 Implications of the "Dismal Theorem" 94
7.4 Some Concluding Remarks 96
7.5 References 97
8 Incentives for Investing in Renewables 101
Falbo Paolo, University of Brescia, Felletti Daniele and Stefani Silvana,
University ofMilano Bicocca
8.1 Introduction and Background 101
8.2 Subsidies for Energy 103
8.3 The Model 104
8.4 Statistical Estimations 107
8.5 Risk Analysis 109
8.6 Conclusions 114
8.7 References 115
9 Hedging the Risk of an Energy Futures Portfolio 117
Carol Alexander, ICMA Centre, University of Reading
9.1 Mapping Portfolios to Constant Maturity Futures 117
9.2 The Portfolio and its Key Risk Factors 120
9.3 Identifying the Key Risk Factors 123
9.4 Hedging the Portfolio Risk 124
9.5 Conclusions 127
9.6 References 127
10 Spark Spread Options when Commodity Prices are Represented
as Time Changed Processes 129
Elisa Luciano, University of Turin
10.1 Spark Spread Options 130
10.2 Time Change in a Nutshell 132
10.3 Time Change and Commodity Prices 134
10.4 An Application to PJM Electricity and NYMEX Natural Gas 137
10.5 Conclusions and Further Research 144
10.6 Appendix A: Modelling Specification in the Multivariate Case 145
10.7 Appendix B: Alternative Modelling Specifications in the Univariate Case 147
10.8 References 150
viii Contents
11 Freight Derivatives and Risk Management: A Review 153
Manolis G. Kavussanos, Athens University of Economics and Business,
and Mas D. Visvikis, ALBA Graduate Business School, Athens
11.1 Introduction 153
11.2 Forward Freight Agreements 154
11.3 Freight Futures 157
11.4 "Hybrid" (Cleared) FFAs 161
11.5 Freight Options 162
11.6 Empirical Research on Freight Derivatives 164
11.7 Conclusion 178
11.8 References 179
12 Mean-Reversion and Structural Breaks in Crude Oil, Copper, and Shipping 183
Helyette Geman, University of London and ESSEC Business School, and Steve
Ohana, University of London
12.1 Introduction 183
12.2 Fundamentals of Copper, Crude Oil, and Shipping 186
12.3 Defining Mean-Reversion 191
12.4 Dataset and Unit Root Tests 193
12.5 Conclusion 203
12.6 References 204
13 Managing Agricultural Price Risk in Developing Countries 207
Julie Dana, The World Bank, and Christopher L. Gilbert, University of Trento
and University of London
13.1 The Liberalization Context 207
13.2 Incidence of Risk Exposure 209
13.3 Instruments and Problems 215
13.4 Price Risk Management in the Developing Country Supply Chain 221
13.5 Concluding Comments 234
13.6 References 236
14 Gaining Exposure to Emerging Markets in Institutional Portfolios: The Role
of Commodities 239
George A. Martin, Alternative Investment Analytics LLC and University of Mas-
sachusetts at Amherst, and Richard Spurgin, Clark University and Alternative
Investment Analytics LLC
14.1 Introduction 239
14.2 Asset Markets and Economic Growth 239
14.3 Are Emerging Markets Equity Markets and Commodity Markets Inte-
grated? 244
14.4 Implications for the Investment Policy of Institutional Investors 247
14.5 Conclusion 254
14.6 References 254
Contents_ix
15 Case Studies and Risk Management in Commodity Derivatives Trading 255
Hilary Till, Premia Capital Management LLC
15.1 Introduction 255
15.2 Institutional Risk Management 258
15.3 Proprietary-Trading Risk Management 265
15.4 Hedge Fund Risk Management 266
15.5 Fund-of-Hedge-Funds Diversification 266
15.6 Market Risk Management 267
15.7 Conclusion 288
15.8 References 288
Index 293 |
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| spelling | Risk management in commodity markets from shipping to agriculturals and energy ed. by Hélyette Geman Chichester [u.a.] Wiley 2008 XXII, 298 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance series Commodity exchanges Commodity futures Risk management Investment analysis Rohstoffpreis (DE-588)4050428-1 gnd rswk-swf Rohstoffmarkt (DE-588)4050426-8 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Risikomanagement (DE-588)4121590-4 s Rohstoffmarkt (DE-588)4050426-8 s DE-604 Rohstoffpreis (DE-588)4050428-1 s Geman, Hélyette (DE-588)171177940 edt DE-576;wiley image/jpeg http://swbplus.bsz-bw.de/bsz302229337cov.htm 20090320130604 Cover HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018622757&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Risk management in commodity markets from shipping to agriculturals and energy Commodity exchanges Commodity futures Risk management Investment analysis Rohstoffpreis (DE-588)4050428-1 gnd Rohstoffmarkt (DE-588)4050426-8 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4050428-1 (DE-588)4050426-8 (DE-588)4121590-4 (DE-588)4143413-4 |
| title | Risk management in commodity markets from shipping to agriculturals and energy |
| title_auth | Risk management in commodity markets from shipping to agriculturals and energy |
| title_exact_search | Risk management in commodity markets from shipping to agriculturals and energy |
| title_full | Risk management in commodity markets from shipping to agriculturals and energy ed. by Hélyette Geman |
| title_fullStr | Risk management in commodity markets from shipping to agriculturals and energy ed. by Hélyette Geman |
| title_full_unstemmed | Risk management in commodity markets from shipping to agriculturals and energy ed. by Hélyette Geman |
| title_short | Risk management in commodity markets |
| title_sort | risk management in commodity markets from shipping to agriculturals and energy |
| title_sub | from shipping to agriculturals and energy |
| topic | Commodity exchanges Commodity futures Risk management Investment analysis Rohstoffpreis (DE-588)4050428-1 gnd Rohstoffmarkt (DE-588)4050426-8 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Commodity exchanges Commodity futures Risk management Investment analysis Rohstoffpreis Rohstoffmarkt Risikomanagement Aufsatzsammlung |
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