Commodity Risk Management

Theory and Application

Geoffrey Poitras (Simon Fraser University, USA)

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English

Routledge
25 January 2013

Economics; Finance & accounting; Commodities

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.

By: Geoffrey Poitras (Simon Fraser University USA)
Imprint: Routledge
Country of Publication: United Kingdom
Dimensions: Height: 254mm, Width: 178mm, Spine: 23mm
Weight: 748g
ISBN: 9780415879309
ISBN 10: 0415879302
Pages: 424
Publication Date: 25 January 2013
Audience: College/higher education , General/trade , Primary , ELT Advanced
Format: Paperback
Publisher's Status: Active

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

Geoffrey Poitras is a Professor at Simon Frasier University. For four years stint he worked as a securities analyst with the Bank of Canada in Ottawa, where he served as Government of Canada Treasury bill and bond auction manager. These experiences make him well-suited for teaching courses in security analysis and risk management to undergraduate business students. His research interests focus on applied financial econometrics, security analysis, the use of derivative securities in financial risk management, and the history of financial economics.