Multiannual price risk management

Jean Cordier

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Abstract: The case study is explaining the principle of long term OTC swap contracts on price or margin through examples. These swaps define a bandwidth, and sometimes a two-levels bandwidth, where volatility is exchanged against fixed price or gross margin. And swap participants are also designing « market adjusters » when markets fluctuations are extreme, but weakening the economic stabilizing effect of the OTC contract. It is recommended as a public policy to support mutual funds (or equivalent instruments) for handling extreme market events as « market adjusters »

Keywords: margin; swaps; market adjusters (search for similar items in EconPapers)
Date: 2017
Note: View the original document on HAL open archive server: https://hal.inrae.fr/hal-02788948
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Published in 2017

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02788948

DOI: 10.2762/713691

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