Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy

Index

A

ad hoc convenience yield theory 3

‘adaptation costs’ 40

Agence Française de Developpement (AFD) 233

Agricultural Price Risk in Developing Countries 207–35

incidence of risk exposure 209–15

access problems 217

basis risk problems 217–19

coffee basis risk in Tanzania 218–19

consumers 214

credit 217

developing country exchanges 219–21

farmers 209–11

instruments 215–16

intermediaries, exporters, stockholders and banks 211–12

overall supply chain 214–15

producing country governments 212–14

regulation 217

size 217

liberalization context 207–9

price risk management 217, 221–33, 235

Brazilian Cedula Produto Rural 227

call options for contingent food security imports 231–2

cotton price stabilization and smoothing in West Africa 232–3

developing country intermediaries 221–3

governments 230–3

insurance vs 226–9

intermediation via banks 225–6

intermediation via cooperatives 223–4

intermediation via exporters 224–5

risk management intermediation by a Tanzanian Agricultural Bank 226

risk-coping strategies 229–30

versus price stabilization 223

weather insurance in Malawi 229

Amaranth 56, 268, 270–81, 282

Asian freight option contract 163

Asian options 35

Atlantic thermohaline circulation (THC), collapse of 96

atomistic markets 51

Augmented-Dickey-Fuller (ADF) tests 183, 185–6, 193, 195, 196

autocorrelations 31

Autoregressive Integrated Moving Average (ARIMA) 171, 172

B

Bache Commodity Index (BCI)

Bachelier approach 131

backtesting 55

backwardation 3, 4, 11, 12, 15, 23, 27, 28, 29, 30 ...