Commodity Linked Credit: A Risk Management Instrument for the Agrarians in India
This research analyzes daily commodity spot prices and designs risk contingent structured financial instruments as a means to mitigate business and financial risk by reducing debt obligations depending on the embedded commodity options whose payoffs are linked with commodity price fluctuations. Models are developed for operating loans and farm mortgages. The results show that the distributions with the embedded option have higher probability of greater returns and the embedded option with the repayment contingent on the price fluctuation reduces the downside risk of the return from the investment.
|Date of creation:||2008|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.agfin.ifas.ufl.edu/|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Todd E. Petzel, 1989. "Financial Risk Management Needs of Developing Countries: Discussion," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(2), pages 531-533.
- Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
- Robert J. Myers & Stanley R. Thompson, 1989. "Optimal Portfolios of External Debt in Developing Countries: The Potential Role of Commodity-Linked Bonds," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(2), pages 517-522.
- Myers, Robert J, 1992. "Incomplete Markets and Commodity-Linked Finance in Developing Countries," World Bank Research Observer, World Bank Group, vol. 7(1), pages 79-94, January.
- Turvey, Calum G., 2005.
"Managing Food Industry Business and Financial Risks with Commodity-Linked Credit Instruments,"
2005 International Congress, August 23-27, 2005, Copenhagen, Denmark
24525, European Association of Agricultural Economists.
- Calum G. Turvey, 2006. "Managing food industry business and financial risks with commodity-linked credit instruments," Agribusiness, John Wiley & Sons, Ltd., vol. 22(4), pages 523-545.
- Rajan, Raghuram, 1988. "Pricing commodity bonds using binomial option pricing," Policy Research Working Paper Series 136, The World Bank.
- Beatriz Armendariz & Jonathan Morduch, 2007. "The Economics of Microfinance," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262512017, June.
- repec:ags:nc2006:133091 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:ags:nc1007:48139. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search)
If references are entirely missing, you can add them using this form.