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  • 學位論文

原油交易策略及避險策略

Crude Oils Trading Strategy and Hedging Strategy

指導教授 : 石百達
共同指導教授 : 張森林
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摘要


德國金屬精煉和營銷公司( Metallgesellschaft Refining and Marketing,以下簡稱MGRM)是德國金屬工業集團(Metallgesellschaft AG)在美國的子公司,在1993年期間與客戶簽訂以固定的價格持續長達十年的遠期供油合約,合約最終總量約為1.6億桶。而MGRM為規避合約風險,大量買進原油期貨和原油交換合約,但該公司於1993年末因為無法負擔部位的追繳保證金宣布破產。 本篇論文中將分成兩部分,第一部分將數值模擬MGRM的原油交易和期貨避險,觀察整個策略的現金流,確認虧損發生的時點和最終報酬,以及利用最小變異數法調整避險部位是否能改善保證金的負擔。第二部分將考慮此石油交易策略在其他時間點執行,一樣觀測其期貨部位變化和最終報酬,確認MGRM是否只是特例和交易策略的可行性,同時尋找影響此一原油交易策略的因子,例如油價或價差。 本篇論文發現MGRM的交易策略最終可以獲利,但要需更多的保證金準備,對避險部位的調整可以改善保證金的負擔,但不一定能改善最終報酬,部份其他時間點開始的策略也有相同結果,最後確認油價和價差對於此原油交易有顯著影響。

並列摘要


Metallgesellschaft Refining and Marketing (hereinafter MGRM) was the subsidiary of the Metallgesellschaft AG in the United States. In 1993, MGRM signed a long-term oil contracts with customers. The contract gave customers crude oil in a fixed price for up to ten years. In late 1993, the total contract contained about 160 million barrels. In order to avoid the risk of contract, MGRM also signed a large number of crude oil futures and crude oil exchange contracts, however MGRM could not afford the margin call and declared bankruptcy in late 1993. In the first part of this paper, we will use numerical simulation on the MGRM trading strategy, then we will check the cash flow, the final payoff and the time point of bankruptcy. Finally, we will use the minimum variance method to adjust the hedging position and try to reduce the burden of the margin. In the second part, we will try the strategy on other times and also check the result. Then we will test what will affect the strategy, such as crude oil price or oil price spread. This paper discovers that MGRM's trading strategy can be profitable, but need more prepared on margin. The adjustment of the hedge position can reduce the burden of the margin, but it may not be able to improve the final payoff. Other time points have the similar result. Finally, we can find that the oil price and price spread have an impact on the strategy.

參考文獻


[1] Culp, C.L., and Miller, M.H. (1995) Metallgesellschaft and the Economics of Synthetic Storage, J.A.C.F, 62-76.
[2] Pirrong, S.C. (1997) Metallgesellschaft: A Prudent Hedger Ruined, or a Wildcatter on NYMEX? J.F.M.
[3] Bühler, W., Korn O., and Schöbel R. (2005) Hedging Long-term Forwards with Short-term Futures: A Two-Regime Approach, R.D.R, 185-212.
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[6] Edwards, F.R., and Canter M.S. (1995) The collapse of Metallgesellschaft: Unhedgeable risks, poor hedging strategy, or just bad luck? J.F. M., 211–264

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