Absicherung langfristiger Lieferverpflichtungen mit kurzfristigen Futures: Möglich oder unmöglich?

Wolfgang Bühler and Olaf Korn
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Wolfgang Bühler: Universität Mannheim
Olaf Korn: Universität Mannheim

Schmalenbach Journal of Business Research, 2000, vol. 52, issue 4, 315-347

Abstract: Summary Since the crisis of the Metallgesellschaft AG in 1993, their roll over hedging strategy with short-term oil futures has been a subject of controversal debate. The main issues of this controversy are whether a roll over hedge is at all appropriate and what hedge-ratios should be used. In this paper we derive minimum risk hedging strategies based on theoretical pricing models. These models contain either the spot price of oil or both the spot price and the convenience yield as stochastic factors. In the empirical part of the paper we develop a data based simulation model, which is used to generate realistic paths of spot and futures prices. Based on these prices we compare the different strategies in respect to their ability to reduce risk. It turns out that only one of the hedging strategies achieves a risk reduction compared to an unhedged position.

Date: 2000
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DOI: 10.1007/BF03372620

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