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Multiannual price risk management

Author

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  • Jean Cordier

    (SMART-LERECO - Structures et Marché Agricoles, Ressources et Territoires - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement - INSTITUT AGRO Agrocampus Ouest - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement)

Abstract

The case study is explaining the principle of long term OTC swap contracts on price or margin through examples. These swaps define a bandwidth, and sometimes a two-levels bandwidth, where volatility is exchanged against fixed price or gross margin. And swap participants are also designing « market adjusters » when markets fluctuations are extreme, but weakening the economic stabilizing effect of the OTC contract. It is recommended as a public policy to support mutual funds (or equivalent instruments) for handling extreme market events as « market adjusters »

Suggested Citation

  • Jean Cordier, 2017. "Multiannual price risk management," Post-Print hal-02788948, HAL.
    • Handle: RePEc:hal:journl:hal-02788948
    DOI: 10.2762/713691
    Note: View the original document on HAL open archive server: https://hal.inrae.fr/hal-02788948v1
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    References listed on IDEAS

    as
    1. Jean Loic Begue Turon & Jean Cordier & Sandrine Hallot & Jean Baptiste Plasmans & David Weiller, 2016. "Utilisation des marchés à terme par les acteurs commerciaux exposés à la volatilité des marchés de grains et du sucre," Working Papers hal-02068381, HAL.
    2. MacDonald, James M. & Korb, Penelope J., 2011. "Agricultural Contracting Update: Contracts in 2008," Economic Information Bulletin 101279, United States Department of Agriculture, Economic Research Service.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    margin; swaps; market adjusters;
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