2017
Hedging of Brent
BENADA, LuděkZákladní údaje
Originální název
Hedging of Brent
Autoři
BENADA, Luděk (203 Česká republika, garant, domácí)
Vydání
BRATISLAVA, PROCEEDINGS OF THE 9TH INTERNATIONAL CONFERENCE ON CURRENCY, BANKING AND INTERNATIONAL FINANCE, od s. 24-30, 7 s. 2017
Nakladatel
EKONOM
Další údaje
Jazyk
angličtina
Typ výsledku
Stať ve sborníku
Obor
50206 Finance
Stát vydavatele
Slovensko
Utajení
není předmětem státního či obchodního tajemství
Forma vydání
elektronická verze "online"
Kód RIV
RIV/00216224:14560/17:00098446
Organizační jednotka
Ekonomicko-správní fakulta
ISBN
978-80-225-4362-0
UT WoS
000411851600004
Klíčová slova anglicky
Brent; spot; futures; risk; hedging; OLS; Copula; Gini; correlation
Změněno: 23. 4. 2019 10:35, Mgr. Daniela Marcollová
Anotace
V originále
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.
Návaznosti
| MUNI/A/1025/2015, interní kód MU |
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