A Novel Risk Management Framework for Natural Gas Markets
| Autor: | Alexander A. Kryukov, Nikos C. Papapostolou, Ilias D. Visvikis, Panos K. Pouliasis |
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| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
Economics and Econometrics
050208 finance Spot contract Process (engineering) business.industry 05 social sciences Risk management framework 0211 other engineering and technologies 02 engineering and technology General Business Management and Accounting HG Portfolio risk Lead (geology) Natural gas Accounting 0502 economics and business Economics Econometrics HD28 021108 energy business Futures contract Finance Risk management |
| ISSN: | 0270-7314 |
| Popis: | This paper examines dynamic hedges in the natural gas futures markets for different horizons and explores the gains from devising risk management strategies. Despite the substantial progress made in developing hedging models, forecast combinations have not been tested. We fill this gap by proposing a framework for combining hedge-ratio predictions. Composite hedge-ratios lead to significant reduction in portfolio risk, whether spot prices are partially predictable or not. We offer insights on hedging effectiveness across seasons, backwardationcontango conditions and the asymmetric profiles of long-short hedgers. We conclude that forecast combinations better reconcile realized performance with the hedging process, mitigating model instability. |
| Databáze: | OpenAIRE |
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