Commodity derivatives
Asian thermal coal swaps trade picks up steam
The China-based API8 index has provided a risk management solution to the coal contract defaults that befell the industry last year and is gaining traction as one of the latest Asia-based commodity derivatives...
Fourth-quarter results show low risk appetite continues to prevail at banks, reflecting tougher capital requirements and a continuing lack of trading opportunities, writes Jay Maroo
In this article, Carlos Blanco and Michael Pierce provide an overview of swap instruments and discuss the pricing, valuation, hedging and risk management of over-the-counter commodity swaps. They also...
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More Commodity derivatives articles
Banks retreat from commodity derivatives
Increasing capital requirements and other regulatory constraints are cutting the headcount and risk-taking ability of banks in commodity and energy derivatives. Might this diminished role pave the way for less regulated participants to take their place?...
Energy Risk Europe: Indexes won’t be included in MAD, say panellists
Energy indexes may not be included in EU market abuse rules, but remain likely to be hit by further scrutiny
Ice’s decision to buy gas exchange bodes well for TTF: analysts
The Title Transfer Facility natural gas hub is expected to see increased market interest, after Ice's decision to acquire a majority share in APX-Endex's gas exchange
Exodus from Cargill’s Singapore operation
Entire palm and vegetable oil trading team exits trading house
Initiatives promote commodity derivatives in Brazil
Recent initiatives may encourage more players to the Brazilian commodity derivatives market, but there are still many obstacles to its growth, writes Alex Davis
Fears over China slowdown hit commodities hedging
After some painful experiences in recent years, mining companies remain largely unhedged – despite a jump in metals volatility and the threat of a Chinese downturn. Could they end up regretting it?
Valuation of commodity structures in co-integrated futures markets
In this paper, Dan Mahoney and Krzysztof Wolyniec show that in co-integrated (mean-reverting) futures markets, active dynamic hedging is required to realise the quadratic variation of the underlying spread process. Using static hedges/portfolios yields...
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