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Chapter 5
Reading Title:
Reading Author(s):
 
 
Book Title:
Book Editor:
Chapter:
5
Page Range:
113-144
Total Pages:
32
 
 
Publisher:
Publication Year:
2008
Language:
English
 
 
 
 
FRM Paid Candidate Price:         US$3.00
Reading Price:
GARP Member (Non-Affiliate):   US$3.00
 
Affiliate & Non-Member:             US$5.00
 
* Order print copy for an additional US$2.24 + shipping & handling (select at checkout)
 
 
 
 
Quantitative Level:
Basic
 
 
Keywords:
 
 
Topics Covered:
Energy risk, commodity risk, risk premium, convenience yield models
 
 
Reading Abstract:
In this chapter, the risk premium model and the convenience yield model in commodity futures valuation are highlighted, and the way they can be related. It is shown that these models are mutually consistent, and how they can be used to explain the term structure of commodity futures prices, and the return components of futures contracts. For example, the decomposition of futures returns into a ‘‘roll’’ and ‘‘spot’’ yield is common among practitioners, but the relation to economic pricing models remains often obscure. We highlight these basic relations with empirical characteristics of commodity futures returns.
 
 
 
 
Book Review:
Filled with a comprehensive collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. Created with both the professional and individual investor in mind, The Handbook of Commodity Investments covers a wide range of issues, including the risk and return of commodities, diversification benefits, risk management, macroeconomic determinants of commodity investments, and commodity trading advisors. Starting with the basics of commodity investments and moving to more complex topics, such as performance measurement, asset pricing, and value at risk, The Handbook of Commodity Investments is a reliable resource for anyone who needs to understand this dynamic market.
 



 
   
GARP Digital Library