The Impact of Delivery Risk on Optimal Production and Futures Hedging PDF Download
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Author: Axel F. A. Adam-Müller
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Axel F. A. Adam-Müller
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Axel F. A. Adam-Müller
Publisher:
ISBN:
Category :
Languages : en
Pages : 19
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Author: Geoffrey Poitras
Publisher: Routledge
ISBN: 1136262601
Category : Business & Economics
Languages : en
Pages : 426
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Book Description
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: Janet S. Netz
Publisher:
ISBN:
Category :
Languages : en
Pages : 304
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Author: Liao Wang
Publisher:
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Category :
Languages : en
Pages : 0
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A central problem in planning production capacity is how to effectively manage demand risk. We develop a model that integrates capacity planning and risk hedging decisions under a popular risk measure, conditional value at risk (CVaR). The CVaR objective generalizes the usual risk-neutral objective (such as the expected payoff), and allows for explicit modeling of the degree of aversion to downside risk (associated with low demand). The starting point of our model is to incorporate the impact on demand from a financial asset (including, for instance, a tradable market index as a proxy for the general economy) via a demand rate function. This way, in addition to the capacity decision at the beginning of the planning horizon, there is also a dynamic hedging strategy throughout the horizon, the latter plays the role of both mitigating demand risk and supplementing the payoff. The hedging strategy is restricted to partial information along with a cap on loss (pathwise). To find the optimal hedging strategy, we construct and solve a dual problem to derive the optimal terminal wealth from hedging; the real-time hedging strategy is then mapped out via the martingale representation theorem. With the hedging strategy optimized, we show that optimizing the production quantity is a concave maximization problem. With both production and hedging (jointly) optimized, we provide a complete characterization of the efficient frontier, and quantify the improvement over the production-only approach. Furthermore, via sensitivity and asymptotic analyses, we spell out the impacts of the hedging budget and the risk aversion level, along with other qualitative insights.
Author: Panos Kouvelis
Publisher: John Wiley & Sons
ISBN: 1118115791
Category : Business & Economics
Languages : en
Pages : 497
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Book Description
A comprehensive, one-stop reference for cutting-edge research in integrated risk management, modern applications, and best practices In the field of business, the ever-growing dependency on global supply chains has created new challenges that traditional risk management must be equipped to handle. Handbook of Integrated Risk Management in Global Supply Chains uses a multi-disciplinary approach to present an effective way to manage complex, diverse, and interconnected global supply chain risks. Contributions from leading academics and researchers provide an action-based framework that captures real issues, implementation challenges, and concepts emerging from industry studies.The handbook is divided into five parts: Foundations and Overview introduces risk management and discusses the impact of supply chain disruptions on corporate performance Integrated Risk Management: Operations and Finance Interface explores the joint use of operational and financial hedging of commodity price uncertainties Supply Chain Finance discusses financing alternatives and the role of financial services in procurement contracts; inventory management and capital structure; and bank financing of inventories Operational Risk Management Strategies outlines supply risks and challenges in decentralized supply chains, such as competition and misalignment of incentives between buyers and suppliers Industrial Applications presents examples and case studies that showcase the discussed methodologies Each topic's presentation includes an introduction, key theories, formulas, and applications. Discussions conclude with a summary of the main concepts, a real-world example, and professional insights into common challenges and best practices. Handbook of Integrated Risk Management in Global Supply Chains is an essential reference for academics and practitioners in the areas of supply chain management, global logistics, management science, and industrial engineering who gather, analyze, and draw results from data. The handbook is also a suitable supplement for operations research, risk management, and financial engineering courses at the upper-undergraduate and graduate levels.
Author: Andreas Röthig
Publisher: Springer Science & Business Media
ISBN: 3642015654
Category : Business & Economics
Languages : en
Pages : 150
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“The essence of a hedging contract is a coincident purchase and sale in two markets which are expected to behave in such a way that any loss realized in one will be offset by an equivalent gain in the other. If such behavior follows a perfect hedge has been effected. ” Hardy and Lyon (1923, p. 276). 1. 1 LiteratureReviewandMotivation In the traditional hedging literature, the two markets in which hedgers trade are spot and futures markets. The trader’s position in the spot market is generally considered as given. According to Johnson (1960), hedging can be meaningfully de?ned only if the spot market is regarded as the trader’s primary market. The futures market is used solely to counterbalance an existing position in the spot market. Speculators, in contrast, do not have a commitment in the spot market. They take on risk in futures markets in order to pro?t from expected price changes. The hedger synchronizes his trading activities in spot and futures markets in order to reduce spot risk. In the lit- ature this approach to hedging is labeled risk reduction concept. Risk reduction will be achieved if spot and futures prices move more or less in parallel. If prices are p- fectly correlated, risk is abolished, since losses in one market are perfectly offset by pro?ts in the other market. However, as Hardy and Lyon (1923) point out, any div- gence from perfect correlation results in an imperfect hedge.
Author: Andrew H. Chen
Publisher: Emerald Group Publishing
ISBN: 184855446X
Category : Business & Economics
Languages : en
Pages : 380
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Contains topics that include the design of a country's financial safety nets, the effective policies of acquiring failed banks in reducing moral hazard problems, the voluntary disclosure of real options by corporate managers, and the interrelationship between the housing and general economic activities.
Author: Liao Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Demand for many products may depend on the price of a tradable asset or on the economy in general. For instance, demand for equipment that plants or harvests corns correlates with the fluctuations of the corn price on the commodity market; and discount stores experienced increased sales revenue during the last recession. Thus, we model demand as a stochastic process with two components: in addition to the usual Gaussian component due to forecast errors, there is a drift component taking the form of a function of a tradable asset price. (In the case of dependence on the general economy, the asset price can be a broad market index, such as the S&P500 index.) With this demand model, we study the one-time production quantity decision along with a real-time risk-hedging strategy over a given planning horizon (the production cycle). Pursuing a mean-variance formulation, we derive the optimal solution to both production and hedging decisions. In addition, we give a complete characterization of the efficient frontier, and quantify the improvement in risk-return tradeoff achieved by the hedging strategy.
Author:
Publisher:
ISBN:
Category : Agriculture
Languages : en
Pages : 408
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