A Short Note on Sovereign Commodity Risk Management

6 Pages Posted: 19 Jan 2015

See all articles by Frank Lehrbass

Frank Lehrbass

L*PARC (Lehrbass Predicitive Analytics and Risk Consulting); FOM University of Applied Sciences for Economics and Management; University of the Bundesbank

Date Written: January 18, 2015

Abstract

I investigate sovereign risk management using expected utility theory. A proposition is derived under which conditions which degree of hedging is optimal. An application to the case of Russia shows that a risk-acceptant attitude can serve as an explanation of the decisions to bail out Rosneft and to leave some oil exposure unhedged.

Keywords: Sovereign risk management, rationalist explanations, expected utility maximization, commodity risk management, hedging

JEL Classification: C00, D07, F05, H03, H07, N04

Suggested Citation

Lehrbass, Frank, A Short Note on Sovereign Commodity Risk Management (January 18, 2015). USAEE Working Paper No. 14-198. Available at SSRN: https://ssrn.com/abstract=2551480 or http://dx.doi.org/10.2139/ssrn.2551480

Frank Lehrbass (Contact Author)

L*PARC (Lehrbass Predicitive Analytics and Risk Consulting) ( email )

Dusseldorf
Germany

HOME PAGE: http://lehrbass.de

FOM University of Applied Sciences for Economics and Management ( email )

Toulouser Allee 53
Dusseldorf, 40476
Germany

University of the Bundesbank ( email )

Schloss
Hachenburg, 57627
Germany

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