Qual a melhor estratégia de proteção contra o risco de preços do boi gordo para horizontes de planejamento de recria e engorda? / What is the best hedging strategy against the price risk of live cattle for growing and fattening planning horizons

Price Risk Management plays an important role in Commodity trading and corporate purchasing or Sales plan. Futures are used to hedge the price risk which is linear, while options are used for the nonlinear one. This paper proposes an evaluation method of dynamic hedging strategy for corporate hedging commodity price risk based on advanced Black–Scholes Model. By using the inverse replication method, we get the dynamic hedging strategy which uses futures to replicate options. Finally, we apply the dynamic hedging strategy for corporate purchases and sales to either lower purchase cost or maintain the sales price.

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2012 Fuel Hedging at JetBlue Airways

Darden Business Publishing Cases ◽

10.1108/case.darden.2016.000003 ◽

2017 ◽

pp. 1-23

Author(s):

Pedro Matos

Keyword(s):

Crude Oil ◽

Jet Fuel ◽

Oil Products ◽

Price Risk ◽

Hedging Strategy ◽

Fuel Price ◽

Basis Risk ◽

Oil Market ◽

Hedging Strategies

In early 2012, an equity analyst, was examining the jet fuel hedging strategy of JetBlue Airways for the coming year. Because airlines cross-hedged their jet fuel price risk using derivatives contracts on other oil products such as WTI and Brent crude oil, they were exposed to basis risk. In 2011, dislocations in the oil market led to a Brent-WTI premium wherein jet fuel started to move with Brent instead of WTI, as it traditionally did. Faced with hedging losses, several U.S. airlines started to change their hedging strategies, moving away from WTI. But others worried that the Brent-WTI premium might be a temporary phenomenon. For 2012, would JetBlue continue using WTI for its hedges, or would it switch to an alternative such as Brent?

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Transmission of futures prices to the Italian spot market: Are there opportunities to hedge corn price risk?

ECONOMIA AGRO-ALIMENTARE ◽

10.3280/ecag2018-002005 ◽

2018 ◽

pp. 193-204

Author(s):

Samuele Trestini ◽

Carlotta Penone

Keyword(s):

Spot Market ◽

Price Risk ◽

Futures Prices

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Strategi Pengelolaan Risiko dan Peningkatan Kualitas Pengelolaan Kas Negara

Indonesian Treasury Review Jurnal Perbendaharaan Keuangan Negara dan Kebijakan Publik ◽

10.33105/itrev.v2i2.26 ◽

2017 ◽

Vol 2 (2) ◽

pp. 43-54

Author(s):

Agung Mulyono

Keyword(s):

Interest Rates ◽

Financial Risk ◽

Vector Autoregression ◽

Secondary Market ◽

Key Factors ◽

Bond Price ◽

Hedging Strategy ◽

Foreign Loan ◽

Term Operation ◽

Loan Interest Rates

Cash management is one of treasury’s main functions in which has a potential financial risk. A potential financial risk emerges when State Treasurer manages cash surplus and or/ shortages in order to maintain optimum liquidity. By applying Vector Autoregression (VAR) system on empirical data provided by Bank Indonesia and the Ministry of Finance of Indonesia, we found that currency value flunctuation is a significant factor for repayment value of foreign loan. Interest rates and amount of government’s bond held by foreign investors are also variables impacted on government’s bond price movement in secondary market. Currency value flunctuation and price of government’s bond in secondary market are the key factors that have to be considered by State Treasurer (BUN) in managing state’s money. Hedging strategy by using derivatif product is possible to be utilized by State Treasurer (BUN) due to it’s flexibility for short-term operation. Abstrak Pengelolaan kas negara merupakan salah satu fungsi pokok perbendaharaan yang dalam proses pelaksanaannya menyimpan potensi berbagai risiko keuangan. Risiko keuangan, khususnya dalam investasi berpotensi muncul ketika Bendahara Umum Negara (BUN) melakukan kegiatan pengelolaan kelebihan dan/ kekurangan kas dalam rangka menjamin ketersediaan dan optimalisasi kas. Dengan menggunakan analisis Vector Autoregression (VAR) atas data empiris yang diperoleh dari Bank Indonesia dan Kementerian Keuangan Indonesia, penulis menemukan bahwa fluktuasi nilai tukar mata uang merupakan faktor yang signifikan terhadap besaran pembayaran utang luar negeri pemerintah. Tingkat suku bunga acuan dan pergerakan besaran kepemilikan SUN oleh investor asing juga merupakan variabel yang berpengaruh terhadap pergerakan harga SUN di pasar sekunder. Fluktuasi nilai tukar mata uang dan pergerakan harga SUN di pasar sekunder menjadi faktor penting dalam pelaksanaan investasi yang dilakukan BUN dalam rangka pengelolaan kelebihan dan/ kekurangan kas. Berdasarkan hasil tersebut, strategi pengelolaan risiko atau hedging dengan menggunakan produk-produk derivatif dalam pengelolaan kelebihan dan/ kekurangan kas jangka pendek – menengah sangat dimungkinkan karena sifat instrumen derivatif yang fleksibel.

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