Challenges in Commodities Risk Management

12 Pages Posted: 28 May 2015

See all articles by Hilary Till

Hilary Till

Premia Research LLC; Commodity Insights Digest (a publication of Bayes Business School)

Date Written: August 12, 2005

Abstract

While the commodity markets provide a manager with ample opportunities for creating portfolios of diverse strategies, there are a number of challenges in doing so. In this paper, we provide two examples of those challenges: (1) the correlations amongst commodities vary seasonally due to meaningful weather events, and (2) the entrée of China as a dominant force in the commodity markets has created new correlation footprints. The main implication of these observations is that risk management in the commodity markets is a very dynamic process.

Keywords: risk management, commodities, correlations, risk premia, China

JEL Classification: G1, G11

Suggested Citation

Till, Hilary, Challenges in Commodities Risk Management (August 12, 2005). Available at SSRN: https://ssrn.com/abstract=2611505 or http://dx.doi.org/10.2139/ssrn.2611505

Hilary Till (Contact Author)

Premia Research LLC ( email )

Chicago, IL
United States
312-583-1137 (Phone)
312-873-3914 (Fax)

HOME PAGE: http://www.spglobal.com/spdji/en/custom-index-calculations/premia/all/

Commodity Insights Digest (a publication of Bayes Business School) ( email )

London
United Kingdom

HOME PAGE: http://www.bayes-cid.com

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