Essays on Risk Management for Agricultural Commodity Futures Market PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Essays on Risk Management for Agricultural Commodity Futures Market PDF full book. Access full book title Essays on Risk Management for Agricultural Commodity Futures Market by Ying Wang. Download full books in PDF and EPUB format.
Author: Ying Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 118
Get Book Here
Book Description
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: Ying Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 118
Get Book Here
Book Description
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: Tarun Kumar Soni
Publisher:
ISBN:
Category :
Languages : en
Pages : 18
Get Book Here
Book Description
The paper aims to study the market efficiency, unbiasedness among seventeen agricultural commodities futures contracts traded at National Multi-Commodity Exchange of India ltd. (NMCE). The paper uses a two step approach by first testing long run relationship using Johansen's cointegration approach and subsequently, the dynamic OLS approach proposed by Stock and Watson (1993) was used to estimate the coefficients in the cointegration equation, followed by Wald test to test the statistical significance of each coefficient. The Wald chi-square test statistics indicate that futures markets are not efficient in predicting the future ready prices. The results also testify the fact that the futures contracts are not perfect hedge against the variations in ready prices. The results have important implications on the previous research done on the same issue which have simply tested the efficiency on the basis of cointegration results, ignoring the restrictions on cointegrating vectors may result in incorrect assessment of price discovery and risk management functions of commodity exchanges. Further, the results also urge for further reforms in the agricultural commodity futures through increasing awareness, wider participation, better infrastructure etc. so as to make futures market more efficient in the long run and perform their role of price discovery and risk management more efficiently and effectively.
Author: Helyette Geman
Publisher: John Wiley & Sons
ISBN: 0470740817
Category : Business & Economics
Languages : en
Pages : 320
Get Book Here
Book Description
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: Geoffrey Poitras
Publisher: Routledge
ISBN: 0415879299
Category : Business & Economics
Languages : en
Pages : 426
Get Book Here
Book Description
This book aims to cover the following general topics: development and assessment of theories for evaluating commodity risk; the role of derivative securities in managing commodity risk; and, an assessment of the actual management of commodity risk in specific situations. The primary contribution of the book is the explicit development of the often overlooked connection between risk management and speculation. The central theme is to demonstrate that commodity risk management decisions require an in depth understanding of speculative strategies. To this end, this book aims to provide a unified treatment of important concepts and techniques that are useful in applying derivative securities in the management of risk arising in commodity markets.
Author: Shi Wei
Publisher:
ISBN: 9780549126591
Category :
Languages : en
Pages : 114
Get Book Here
Book Description
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: Harry de Gorter
Publisher: Springer Nature
ISBN: 303077760X
Category : Business & Economics
Languages : en
Pages : 519
Get Book Here
Book Description
This volume celebrates the life and career of Gordon Rausser, pioneer and leader in natural resource economics, while critically overviewing the emerging literature in the field. As the chair of the Agriculture and Resource Economics department at UC Berkeley, Rausser led the transformation of the department from a traditional agricultural economics department to a diverse resource economics department addressing issues of agriculture, food, natural resources, environmental economics, energy, and development. This book builds on this theme, showcasing not only the scope of Rausser's work but also key developments in the field. The volume is organized into two parts. The first part speaks about the lessons of Gordon Rausser's career, in particular, his role as a leader in different spheres, his capacity to integrate teaching and entrepreneurship, and his impact on the world food system. The second part will address some of the significant developments in the field he contributed to and how it relates to his work. The chapters include contributions from modern leaders in the economics field and cover diverse topics from many subfields including public policy, public finance, law, econometrics, macroeconomics, and water resources. Providing an excellent reference, as well as a celebration of a pivotal figure in the field, this volume will be useful for practitioners and scholars in agricultural and resource economics, especially the many individuals familiar with Gordon Rausser and his career.
Author: Steffen Volkenand
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Ibrahima Bamba
Publisher:
ISBN:
Category : Markets
Languages : en
Pages : 342
Get Book Here
Book Description
Author: Mathias Gerner
Publisher:
ISBN:
Category :
Languages : en
Pages : 115
Get Book Here
Book Description
Author:
Publisher:
ISBN:
Category : Farm produce
Languages : en
Pages : 254
Get Book Here
Book Description
