Commodity Risk Management: Theory and Application

ISBN-13: 9780415879293 / Angielski / Twarda / 2013 / 424 str.

Geoffrey Poitras

Opis

The central theme is to demonstrate commodity risk management decisions require an in depth understanding of speculative strategies. To this end, this book aims to provide an unified treatment of important concepts and techniques that are useful in applying derivative securities in the management of risk arising in commodity markets. Some of the techniques examined are well known, such as the replication strategies associated with put-call parity arbitrage. However, extensions to specific situations and the connection to speculative trading strategies are not. In actual situations, commodity risk management often involves dealing with uncertainty associated with both price and quantity, an aspect that is either ignored or given too brief a treatment in conventional texts that typically emphasize the pricing aspects of derivative security contracts. This book is not intended to provide a comprehensive introduction to derivative securities. There are many excellent US sources that contain the relevant background material. This book aims to proceed beyond an introductory treatment of derivative securities, in order to have additional space and time to deal with more advanced topics. By design, this involves approaching the subject matter from a somewhat different perspective. A central theme of the book revolves around the complementarity of the risk management decision problem and the speculative trader's decision problem. More precisely, it is demonstrated that optimal risk management decisions involve a speculative component; optimal risk management involves making speculative decisions.

Spis treści

I. Commodity Risk Basics  1.1. The Commodity Risk Landscape  1.2 History of Commodity Risk Management  1.3  Recent Commodity Derivative Debacles  II. Commodity Risk Management Concepts  2.1 Measuring Risk and Exposure  2.2 Optimal Risk Management Decisions  2.3 Strategic Risk management  III. Risk Management Applications  3.1 Base Metal Mining  3.2 Oil and Gas Exploration and Development  3.3 Airlines and Jet Fuel Hedging

O autorze

Geoffrey Poitras is a Professor of Finance at Simon Fraser University, Vancouver, Canada. In addition to working as a securities analyst with the Bank of Canada in Ottawa, where he served as Government of Canada Treasury bill and bond auction manager, Professor Poitras has authored seven books and numerous peer reviewed journal articles. His research interests focus on: applied financial econometrics; security analysis; the use of derivative securities in risk management and speculation; business ethics; and the history of financial economics.