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.

Download or read book Agricultural Commodity Futures and Risk Management written by Tarun Kumar Soni and published by . This book was released on 2015 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

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

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.

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.

Download or read book Modern Agricultural and Resource Economics and Policy written by Harry de Gorter and published by Springer Nature. This book was released on 2022-06-23 with total page 519 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Three Essays on Market Microstructure and Price Formation in Agricultural Commodity Futures written by Steffen Volkenand and published by . This book was released on 2020* with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Source Measurement and Management of Agricultural Market Risk written by Ibrahima Bamba and published by . This book was released on 2004 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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:

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:

Download or read book Essays in Agricultural Finance and Risk Management written by Dmitry V. Vedenov and published by . This book was released on 2001 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Agricultural Risk Management and Agribusiness Marketing written by Brent Alan Gloy and published by . This book was released on 2001 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Markets and Supply Chains written by Jessica L. Darby and published by . This book was released on 2020 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt: Farm-level operations have lasting and amplified impacts that promulgate the entire supply chain, and the farm is increasingly in the forefront of today's headlines on topics such as social responsibility, environmental sustainability, traceability, and food safety. Despite its significance, however, the farm remains a 'black box' and has traditionally operated independently with little information-sharing, trust, or collaboration with buyers downstream. This dissertation begins to unpack this 'black box' by employing different methodologies to identify the factors influencing exchange in the farm-supply chain interface. In Essay 1, I examine why the farm continues to be a challenge for 'traditional' collaborative approaches to buyer-supplier exchange. I use an interpretive approach to identify the individual and institutional factors influencing farmers' operations decision-making. Field interviews reveal that farmers approach buyer-supplier exchange differently and tend to rely more heavily on market mechanisms to coordinate activities with buyers and inform their decision-making. In Essay 2, I build on this finding to examine the institutional factors influencing exchange in the spot market, which accounts for a majority of the total value of agricultural commodity production. I use a proprietary data set and time series econometrics to investigate how spot market exchanges between farmers and buyers are influenced by the futures market-an institution serving critical informational and risk management functions in the industry. In line with the predictions of Austrian economics, the findings indicate that farmers and buyers use the information conveyed by the futures market as they negotiate prices in the spot market. In Essay 3, I build on this finding and further explore how the futures market influences spot market exchanges by examining how information asymmetry affects the price adjustment process. I draw on economic theory to develop hypotheses that are tested using a proprietary data set and nonlinear time series econometrics. The findings suggest that buyers exploit their informational advantage by adjusting spot market prices asymmetrically. Taken together, the three essays demonstrate how institutions influence decision-making and exchange in the agricultural supply chain and offer important insights for theory, practice, and public policy.

Download or read book Food Price Volatility and Its Implications for Food Security and Policy written by Matthias Kalkuhl and published by Springer. This book was released on 2016-04-12 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.

Download or read book Commodity Risk Management written by Geoffrey Poitras and published by Routledge. This book was released on 2013 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

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.

Download or read book Risk Management Speculation and Derivative Securities written by Geoffrey Poitras and published by Academic Press. This book was released on 2002-06-10 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presenting an integrated explanation of speculative trading and risk management from the practitioner's point of view, "Risk Management, Speculation, and Derivative Securities" is a standard text on financial risk management that departs from the perspective of an agent whose main concerns are pricing and hedging derivatives.