Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "1308"
  #_source: array:26 [
    "id" => "1308"
    "slug" => "hedging-size-risk-theory-and-application-to-the-us-gas-market"
    "yearMonth" => "2017-05"
    "year" => "2017"
    "title" => "Hedging Size Risk: Theory and Application to the US Gas Market"
    "description" => "RONCORONI, A. et ID BRIK, R. (2017). Hedging Size Risk: Theory and Application to the US Gas Market. <i>Energy Economics</i>, 64, pp. 415-437."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "RONCORONI Andrea"
        "bid" => "B00006589"
        "slug" => "roncoroni-andrea"
      ]
      1 => array:1 [
        "name" => "ID BRIK R."
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:3 [
      0 => "Corporate Risk Management"
      1 => "Commodity Risk"
      2 => "Contract Design"
    ]
    "updatedAt" => "2021-09-24 10:33:27"
    "publicationUrl" => "https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2790350"
    "publicationInfo" => array:3 [
      "pages" => "415-437"
      "volume" => "64"
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "De nombreux engagements de sociétés présentent une exposition financière combinée à la fois aux prix du marché et aux composantes de taille idiosyncrasique (par exemple, le volume, la charge ou le chiffre d'affaires). Nous concevons un contrat personnalisé pour atténuer de manière optimale le risque de fluctuations conjointes des prix et des tailles. La couverture est recherchée parmi les créances conditionnelles inscrites sur le cours et tout indice coté qui est statistiquement dépendant de la taille de l'engagement. Les solutions fermées sont dérivées de l'optimisation des couvertures de couverture et de la répartition des actifs de deux stratégies de marché, l'une basée sur les contrats à prix fixes et l'autre sur les contrats à prix et indexés. Les haies analytiques sont obtenues en utilisant un modèle de marché lognormal stylisé. Une statique comparative détaillée fournit une analyse approfondie des fonctions optimales de couverture de couverture. L'évaluation de la performance est effectuée dans le contexte du marché américain du gaz et d'une région urbaine prototype. Les résultats suggèrent que la couverture par des créances personnalisées sur le cours et un indice additionnel surperforme de façon significative les alternatives de couverture standard basées sur les prix ainsi que sur les contrats mixtes. Notre couverture personnalisée optimale pourrait être adoptée comme point de repère pour l'évaluation relative de toute solution de gestion des risques."
      "en" => "Many corporate commitments exhibit a combined financial exposure to both market prices and idiosyncratic size components (e.g., volume, load, or business turnover). We design a customized contract to optimally mitigate the risk of joint fluctuations in price and size terms. The hedge is sought out among contingent claims written on price and any quoted index that is statistically dependent on commitment size. Closed-form solutions are derived for the optimal custom hedge pay-off and for the asset holdings of two market strategies, one based on price-linked forwards, the other based on price-linked and index-linked forwards. Analytical hedges are obtained using a stylized lognormal market model. Detailed comparative statics provide a thorough analysis of optimal hedging pay-off functions. Performance assessment is conducted in the context of the US gas market and a prototypical urban region. Results suggest that hedging through suitable custom claims written on price and an additional index significantly outperforms standard price-based as well as mixed price-index forward hedging alternatives. Our optimal custom hedge could be adopted as a benchmark for the relative assessment of any risk management solution."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-11-21T11:21:49.000Z"
    "docTitle" => "Hedging Size Risk: Theory and Application to the US Gas Market"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/roncoroni-andrea">RONCORONI Andrea</a>, ID BRIK R."
    "docDescription" => "<span class="document-property-authors">RONCORONI Andrea, ID BRIK R.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2017</span>"
    "keywordList" => "<a href="#">Corporate Risk Management</a>, <a href="#">Commodity Risk</a>, <a href="#">Contract Design</a>"
    "docPreview" => "<b>Hedging Size Risk: Theory and Application to the US Gas Market</b><br><span>2017-05 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2790350" target="_blank">Hedging Size Risk: Theory and Application to the US Gas Market</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.10617
  +"parent": null
}