Hedging of Brent
| Autoři | |
|---|---|
| Rok publikování | 2017 |
| Druh | Článek ve sborníku |
| Konference | PROCEEDINGS OF THE 9TH INTERNATIONAL CONFERENCE ON CURRENCY, BANKING AND INTERNATIONAL FINANCE |
| Fakulta / Pracoviště MU | |
| Citace | |
| Obor | Ekonomie |
| Klíčová slova | Brent; spot; futures; risk; hedging; OLS; Copula; Gini; correlation |
| Popis | 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. |
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