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Risk Management in the Crude Oil Market - Tjentland, Eirik Halvorsen, Sindre A.
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Tjentland, Eirik Halvorsen, Sindre A.:
Risk Management in the Crude Oil Market - Taschenbuch

2010, ISBN: 9783639309515

[ED: Softcover], [PU: Vdm Verlag Dr. Müller], This thesis aims to explore two main issues. First we study crude oil prices in view of weak-form efficiency. Thereupon we look into different hedging strategies that could be used to stabilize income in a market with high volatility. The data used are crude oil prices of West Texas Intermediate between 1987 and 2010. We conclude that the spot crude price and the 3 month future price for the same oil type are weak-form efficient. The two prices tend towards a long-run equilibrium and differences in prices are quickly adjusted. OPEC's role in the market is discussed as a weakness to price efficiency. Based on efficient prices, we find that the minimum variance hedging method gives the lowest risk, but a naive hedge ratio is easiest to implement in a business strategy for a risk averse management. On the other hand, a risk neutral oil company would get a higher added return by merely buy and sell in the spot market. By introducing a multiple risks hedging model consisting of price risk and exchange rate risk, we suggest that a Norwegian company could reduce its total risk of the portfolio by increasing its exposure in the currency market.2010. 76 S.Versandfertig in 3-5 Tagen, [SC: 0.00]

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Risk Management in the Crude Oil Market - Eirik Tjentland
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Risk Management in the Crude Oil Market - neues Buch

2010, ISBN: 9783639309515

ID: 14f4eee14e6658a807cd6b5744018c4f

This thesis aims to explore two main issues. First we study crude oil prices in view of weak-form efficiency. Thereupon we look into different hedging strategies that could be used to stabilize income in a market with high volatility. The data used are crude oil prices of West Texas Intermediate between 1987 and 2010. We conclude that the spot crude price and the 3 month future price for the same oil type are weak-form efficient. The two prices tend towards a long-run equilibrium and differences in prices are quickly adjusted. OPEC's role in the market is discussed as a weakness to price efficiency. Based on efficient prices, we find that the minimum variance hedging method gives the lowest risk, but a naive hedge ratio is easiest to implement in a business strategy for a risk averse management. On the other hand, a risk neutral oil company would get a higher added return by merely buy and sell in the spot market. By introducing a multiple risks hedging model consisting of price risk and exchange rate risk, we suggest that a Norwegian company could reduce its total risk of the portfolio by increasing its exposure in the currency market. Buch / Broschur, [PU: VDM Verlag Dr. Müller, Saarbrücken]

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Risk Management in the Crude Oil Market: Market efficiency and hedging strategies - Eirik Tjentland, Sindre A. Halvorsen
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Eirik Tjentland, Sindre A. Halvorsen:
Risk Management in the Crude Oil Market: Market efficiency and hedging strategies - Taschenbuch

ISBN: 3639309510

[SR: 3975098], Paperback, [EAN: 9783639309515], VDM Verlag, VDM Verlag, Book, [PU: VDM Verlag], VDM Verlag, 268153, Economics, 268154, Comparative, 268155, Debt & Deficits, 268156, Econometrics, 268159, Economic Conditions, 268160, Economic Policy & Development, 506824, Economic Systems, 268161, Forecasting, 268163, History, 268164, International Economics, 268170, Labour, 268173, Macroeconomics, 268176, Microeconomics, 268177, Political Economy, 268178, Theory & Philosophy, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books

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Risk Management in the Crude Oil Market: Market efficiency and hedging strategies - Eirik Tjentland, Sindre A. Halvorsen
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Eirik Tjentland, Sindre A. Halvorsen:
Risk Management in the Crude Oil Market: Market efficiency and hedging strategies - Taschenbuch

ISBN: 3639309510

[SR: 3975098], Paperback, [EAN: 9783639309515], VDM Verlag, VDM Verlag, Book, [PU: VDM Verlag], VDM Verlag, 268153, Economics, 268154, Comparative, 268155, Debt & Deficits, 268156, Econometrics, 268159, Economic Conditions, 268160, Economic Policy & Development, 506824, Economic Systems, 268161, Forecasting, 268163, History, 268164, International Economics, 268170, Labour, 268173, Macroeconomics, 268176, Microeconomics, 268177, Political Economy, 268178, Theory & Philosophy, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books

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Risk Management in the Crude Oil Market - Tjentland, Eirik / A. Halvorsen, Sindre
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Tjentland, Eirik / A. Halvorsen, Sindre:
Risk Management in the Crude Oil Market - Taschenbuch

2010, ISBN: 3639309510

Gebundene Ausgabe, ID: 9827077

Market efficiency and hedging strategies - Buch, gebundene Ausgabe, 76 S., Beilagen: Paperback, Erschienen: 2010 VDM Verlag, [PU: VDM Verlag Dr. Müller, Saarbrücken]

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Details zum Buch
Risk Management in the Crude Oil Market

This thesis aims to explore two main issues. First we study crude oil prices in view of weak-form efficiency. Thereupon we look into different hedging strategies that could be used to stabilize income in a market with high volatility. The data used are crude oil prices of West Texas Intermediate between 1987 and 2010. We conclude that the spot crude price and the 3 month future price for the same oil type are weak-form efficient. The two prices tend towards a long-run equilibrium and differences in prices are quickly adjusted. OPEC's role in the market is discussed as a weakness to price efficiency. Based on efficient prices, we find that the minimum variance hedging method gives the lowest risk, but a naive hedge ratio is easiest to implement in a business strategy for a risk averse management. On the other hand, a risk neutral oil company would get a higher added return by merely buy and sell in the spot market. By introducing a multiple risks hedging model consisting of price risk and exchange rate risk, we suggest that a Norwegian company could reduce its total risk of the portfolio by increasing its exposure in the currency market.

Detailangaben zum Buch - Risk Management in the Crude Oil Market


EAN (ISBN-13): 9783639309515
ISBN (ISBN-10): 3639309510
Gebundene Ausgabe
Taschenbuch
Erscheinungsjahr: 2010

Buch in der Datenbank seit 30.06.2007 17:46:33
Buch zuletzt gefunden am 21.08.2014 18:07:26
ISBN/EAN: 9783639309515

ISBN - alternative Schreibweisen:
3-639-30951-0, 978-3-639-30951-5


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