Cross-commodity analysis and applications to risk management

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Show simple item record Börger, Reik Cartea, Álvaro Kiesel, Rüdiger Schindlmayr, Gero 2011-09-22T15:29:32Z 2011-09-22T15:29:32Z 2009-03
dc.identifier.bibliographicCitation The Journal of Futures Markets, 2009, v. 29, n. 3, pp. 197-217
dc.identifier.issn 0270-7314
dc.description.abstract The understanding of joint asset return distributions is an important ingredient for managing risks of portfolios. Although this is a well-discussed issue in fixed income and equity markets, it is a challenge for energy commodities. In this study we are concerned with describing the joint return distribution of energy-related commodities futures, namely power, oil, gas, coal, and carbon. The objective of the study is threefold. First, we conduct a careful analysis of empirical returns and show how the class of multivariate generalized hyperbolic distributions performs in this context. Second, we present how risk measures can be computed for commodity portfolios based on generalized hyperbolic assumptions. And finally,we discuss the implications of our findings for risk management analyzing the exposure of power plants, which represent typical energy portfolios. Our main findings are that risk estimates based on a normal distribution in the context of energy commodities can be statistically improved using generalized hyperbolic distributions. Those distributions are flexible enough to incorporate many characteristics of commodity returns and yield more accurate risk estimates. Our analysis of the market suggests that carbon allowances can be a helpful tool for controlling the risk exposure of a typical energy portfolio representing a power plant
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Wiley-Blackwell
dc.rights ©Wiley-Blackwell
dc.subject.other Commodities
dc.subject.other Risk
dc.title Cross-commodity analysis and applications to risk management
dc.type article
dc.description.status Publicado
dc.subject.eciencia Empresa
dc.identifier.doi 10.1002/fut.20359
dc.rights.accessRights openAccess
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 197
dc.identifier.publicationissue 3
dc.identifier.publicationlastpage 217
dc.identifier.publicationtitle The Journal of Futures Markets
dc.identifier.publicationvolume 29
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