Multiannual price risk management - INRAE - Institut national de recherche pour l’agriculture, l’alimentation et l’environnement
Chapitre De Rapport (Rapport Technique) Année : 2017

Multiannual price risk management

Résumé

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 »

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Dates et versions

hal-02788948 , version 1 (05-06-2020)

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Jean Cordier. Multiannual price risk management. 2017. ⟨hal-02788948⟩
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