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Absicherung langfristiger Lieferverpflichtungen mit kurzfristigen Futures: Möglich oder unmöglich?

Author

Listed:
  • Wolfgang Bühler

    (Universität Mannheim)

  • Olaf Korn

    (Universität Mannheim)

Abstract

Summary Since the crisis of the Metallgesellschaft AG in 1993, their roll over hedging strategy with short-term oil futures has been a subject of controversal debate. The main issues of this controversy are whether a roll over hedge is at all appropriate and what hedge-ratios should be used. In this paper we derive minimum risk hedging strategies based on theoretical pricing models. These models contain either the spot price of oil or both the spot price and the convenience yield as stochastic factors. In the empirical part of the paper we develop a data based simulation model, which is used to generate realistic paths of spot and futures prices. Based on these prices we compare the different strategies in respect to their ability to reduce risk. It turns out that only one of the hedging strategies achieves a risk reduction compared to an unhedged position.

Suggested Citation

  • Wolfgang Bühler & Olaf Korn, 2000. "Absicherung langfristiger Lieferverpflichtungen mit kurzfristigen Futures: Möglich oder unmöglich?," Schmalenbach Journal of Business Research, Springer, vol. 52(4), pages 315-347, June.
    • Handle: RePEc:spr:sjobre:v:52:y:2000:i:4:d:10.1007_bf03372620
    DOI: 10.1007/BF03372620
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    References listed on IDEAS

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