Hedging of Brent

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F17%3A00098446" target="_blank" >RIV/00216224:14560/17:00098446 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Hedging of Brent

Popis výsledku v původním jazyce

The paper examines a possibility for hedging against price risk on the oil Brent index. Crude oil is one of the most traded commodity in the world. The importance of crude oil is for a modern life essential. However, the trading with the commodity is associated with a considerable price risk. The aim of the paper is to estimate distinct hedge ratios using three distinct methodologies and afterwards measure the reduction of price risk. The classical OLS, Copula and Mean extended Gini were used to find an appropriate weights of. The investigated data was spot prices of Brent and futures prices of Brent. The results confirmed a strong dependence between hedging effectiveness and correlation. Acceding to each methodology various hedge ratios were provided. Hence, the ability to reduce risk was different in each applied methodology, where for the high correlation the copula and the extended mean Gini coefficient were more appropriate. A lower correlation speaks in favor to the classical OLS.

Název v anglickém jazyce

Hedging of Brent

Popis výsledku anglicky

The paper examines a possibility for hedging against price risk on the oil Brent index. Crude oil is one of the most traded commodity in the world. The importance of crude oil is for a modern life essential. However, the trading with the commodity is associated with a considerable price risk. The aim of the paper is to estimate distinct hedge ratios using three distinct methodologies and afterwards measure the reduction of price risk. The classical OLS, Copula and Mean extended Gini were used to find an appropriate weights of. The investigated data was spot prices of Brent and futures prices of Brent. The results confirmed a strong dependence between hedging effectiveness and correlation. Acceding to each methodology various hedge ratios were provided. Hence, the ability to reduce risk was different in each applied methodology, where for the high correlation the copula and the extended mean Gini coefficient were more appropriate. A lower correlation speaks in favor to the classical OLS.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50200 - Economics and Business

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

PROCEEDINGS OF THE 9TH INTERNATIONAL CONFERENCE ON CURRENCY, BANKING AND INTERNATIONAL FINANCE

ISBN

9788022543620

ISSN

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e-ISSN

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Počet stran výsledku

7

Strana od-do

24-30

Název nakladatele

EKONOM

Místo vydání

BRATISLAVA

Místo konání akce

Natl Bank Slovakia, Bratislava, SLOVAKIA

Datum konání akce

20. 9. 2016

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000411851600004