Risk Management in Long-Term Contracts PDF Download
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Author: Victor P. Goldberg
Publisher:
ISBN:
Category :
Languages : en
Pages : 10
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Book Description
Long-term contracts are designed to manage risk. After a brief discussion of why it is unhelpful to invoke risk aversion for analyzing serious commercial transactions between sophisticated entities, this paper focuses on adaptation to changed circumstances. In particular, it considers the options to abandon and the discretion to change quantity. It then analyzes a poorly designed contract between Alcoa and Essex showing how the parties misframed their problem and designed a long-term contract that was doomed to fail.
Author: Victor P. Goldberg
Publisher:
ISBN:
Category :
Languages : en
Pages : 10
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Book Description
Long-term contracts are designed to manage risk. After a brief discussion of why it is unhelpful to invoke risk aversion for analyzing serious commercial transactions between sophisticated entities, this paper focuses on adaptation to changed circumstances. In particular, it considers the options to abandon and the discretion to change quantity. It then analyzes a poorly designed contract between Alcoa and Essex showing how the parties misframed their problem and designed a long-term contract that was doomed to fail.
Author: Mansoor Dailami
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
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Book Description
Risk shifting and incompl ...
Author: Mansoor Dailami
Publisher: World Bank Publications
ISBN:
Category : Bonds
Languages : en
Pages : 34
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Book Description
Risk shifting and incomplete contracting lie at the heart of the agency relationship inherent in the procurement and financing of large-scale projects such as power plants, oil and gas pipelines, and liquefied natural gas facilities. An investigation of Ras Gas bonds provides empirical evidence of the risk-shifting consequences of contractual incompleteness.
Author: Li Shi
Publisher: Open Dissertation Press
ISBN: 9781361310014
Category :
Languages : en
Pages :
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Book Description
This dissertation, "Long-term Commodity Procurement Risk Management Using Futures Contracts: a Dynamic Stack-and-roll Approach" by Li, Shi, 时莉, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: The procurement of commodity materials for production is an important issue in supply chain management. Effective procurement should consider both uncertain customer demand and fluctuating commodity price which, when act together, give rise to the procurement risk. To protect the bottom line, a manufacturer has to plan its procurement activities with special attention given to such procurement risk. Existing research has studied the use of exchange market-traded commodities in mitigating procurement risk. This study addresses the case of a manufacturer with long-term procurement commitments who wishes to hedge against the risk exposure by using long-dated futures contracts. In the commodities markets, however, long-dated futures are often illiquid or even unavailable, thus making the hedge ineffective. Alternatively, in a stack-and-roll hedge, the hedging positions are rolled forward in actively traded short-dated futures contracts of equal maturity until the procurement is executed. This in effect replicates the long-term futures contract in performing a hedge. This study therefore aims at developing a dynamic stack-and-roll approach that can effectively manage the long maturity procurement risk. The proposed dynamic stack-and-roll approach is inherently a discrete-time hedging strategy that divides the procurement planning horizon into multiple decision stages. The nearby futures are adopted as the short-dated futures as they are typically liquid. The hedging positions are adjusted periodically in response to the commodity price behaviour and updated information about the forward customer demand. For a manufacturer who wishes to mitigate the procurement risk as well as maximise the terminal revenue after the procurement, the mean-variance objective function is employed to model the manufacturer's risk aversion behaviour. Then, a dynamic program formulation of the approach is presented for determining a closed-form expression of the optimal hedging positions. Notice that the hedging policy is a time-consistent mean-variance policy in discrete-time, in contrast to the existing discrete hedging approaches that employ minimum-variance policies. In this study, the commodity prices are modelled by a fractal nonlinear regression process that employs a recurrent wavelet neural network as the nonlinear function. The purpose of this arrangement is to incorporate the fractal properties discovered in commodity prices series. In the wavelet transform domain, fractal self-similarity and self-affinity information of the price series over a certain time scale can be extracted. The Extended Kalman Filter (EKF) algorithm is applied to train the neural network for its lower training error comparing with classical gradient descent algorithms. Monthly returns and volatility of commodity prices are estimated by daily returns data in order to increase the estimation accuracy and facilitate effective hedging. The demand information is updated stage by stage using Bayesian inference. The updating process are defined and adapted to a filtration, which can be regarded as the information received at the beginning of each decision stage. Numerical experiments are carried out to evaluate the performance of the proposed stack-and-roll approach. The results show that the proposed approach robustly outperforms other hedging strategies that employ minimum-variance or nai
Author: Stijn Claessens
Publisher: World Bank Publications
ISBN: 9780821326688
Category : Business & Economics
Languages : en
Pages : 90
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Book Description
Modern risk management techniques can help countries avoid the financial risks that affect future cash flows and long-term plans. They provide a hedge against profit fluctuations caused by changes in interest rates, exchange rates, and commodity prices. This easy-to-use guide examines the risk management tools developing countries have used successfully, including futures, options, forward contracts, commodity swaps, commodity bonds, commodity linked loans, currency rate swaps, and interest rate swaps. An action plan explains how to use the techniques wisely to avoid costly mistakes. It also describes the economic management and financial regulations countries must have in place before adopting any risk management techniques.
Author: Stephen Richard James Batstone
Publisher:
ISBN:
Category : Contracts
Languages : en
Pages : 332
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Book Description
Author: American Society for Healthcare Risk Management (ASHRM)
Publisher: John Wiley & Sons
ISBN: 0470443715
Category : Medical
Languages : en
Pages : 672
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Book Description
Risk Management Handbook for Health Care Organizations, Student Edition This comprehensive textbook provides a complete introduction to risk management in health care. Risk Management Handbook, Student Edition, covers general risk management techniques; standards of health care risk management administration; federal, state and local laws; and methods for integrating patient safety and enterprise risk management into a comprehensive risk management program. The Student Edition is applicable to all health care settings including acute care hospital to hospice, and long term care. Written for students and those new to the topic, each chapter highlights key points and learning objectives, lists key terms, and offers questions for discussion. An instructor's supplement with cases and other material is also available. American Society for Healthcare Risk Management (ASHRM) is a personal membership group of the American Hospital Association with more than 5,000 members representing health care, insurance, law, and other related professions. ASHRM promotes effective and innovative risk management strategies and professional leadership through education, recognition, advocacy, publications, networking, and interactions with leading health care organizations and government agencies. ASHRM initiatives focus on developing and implementing safe and effective patient care practices, preserving financial resources, and maintaining safe working environments.
Author: Michael Frenkel
Publisher: Springer Science & Business Media
ISBN: 3662040085
Category : Business & Economics
Languages : en
Pages : 427
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Book Description
Dealing with all aspects of risk management that have undergone significant innovation in recent years, this book has been written for academics as well as practitioners, in particular finance specialists. It is unique in bringing together such a wide array of experts and correspondingly offers a complete coverage of recent developments. The emphasis is placed on highlighting the link between the academic literature and practical issues related to the organization of the risk management function.
Author: Stephen Figlewski
Publisher: Springer Science & Business Media
ISBN: 146150791X
Category : Business & Economics
Languages : en
Pages : 228
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Book Description
Very often, we associate the dawn of modern financial theory with Harry Markowitz who in the 1950s introduced the formal mathematics of probability theory to the problem of managing risk in an asset portfolio. The 1970s saw the advent of formal models for pricing options and other derivative contracts, whose primary purpose was also financial risk management and hedging. But events in the 1990s made it clear that effective risk management is a critical element for success, and indeed, for long term survival, not only for financial institutions, but also for industrial firms, and even for nonprofit organizations and governmental bodies. These recent events vividly show that the world is filled with all manner of risks, and so risk management must extend far beyond the use of standard derivative instruments in routine hedging applications. The articles in this volume cover two broad themes. One theme emphasizes methods for identifying, modeling, and hedging specific types of financial and business risks. Articles in this category consider the technology of risk measurement, such as Value at Risk and extreme value theory; new classes of risk, such as liquidity risk; new financial instruments and markets for risk management, such as derivative contracts based on weather and on catastrophic insurance risks; and finally, credit risk, which has become one of the most important areas of practical interest for risk management. The second theme stresses risk management from the perspective of the firm and the financial system as a whole. Articles in this category analyze risk management in the international arena, including payment and settlement risks and sovereign risk pricing, risk management from the regulator's viewpoint, and risk management for financial institutions. The articles in this volume examine the "State of the Art" in risk management from the standpoint of academic researchers, market analysts and practitioners, and government observers.
Author: 时莉
Publisher:
ISBN:
Category : Industrial procurement
Languages : en
Pages : 0
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Book Description
