Commodity Derivatives and Risk Management
Commodity Derivatives and Risk Management. Instructor: Prof. Prabina Rajib, Vinod Gupta School of Management, IIT Kharagpur. Commodity derivatives market has witnessed tremendous growth in India. Since the setting up of different national level demutualized commodity exchanges such as NCDEX, MCX and NMCE about a decade back, the Indian commodity derivative market has achieved considerable growth in trading volume, types of commodities contracts traded, warehouse development and also has brought in significant changes to spot trading of commodities. The course covers almost the entire spectrum of commodities traded in the Indian commodity market, including agricultural commodities, crude oil, base metal, precious metal, and electricity. This course will also cover derivative contracts on weather, carbon, freight and real estate traded in international exchanges such as CME, LME, LBMA, DGCX and The Baltic Exchange etc. Fundamental concepts such as value-at- risk based margin calculation, seasonality, minimum variance hedge ratio, basis risk, commodity index creation, pricing and valuation of derivatives contracts will be discussed in earlier part of the course. Subsequently futures, options, swaps, tapos, spread contracts like crack/crush/spark on commodities mentioned earlier can be used by companies to mitigate price risk will also be discussed in detail. (from nptel.ac.in)
| Lecture 04 - Futures Contract Specifications (cont.) |
Concepts covered in this lecture: What are the important features of commodity futures contract specifications? What is the sequence of delivery payment/receipts? How to calculate open positions/ open interests? What are different types of margins? How Value at Risk is used for calculation of initial margin?
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