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Title: Risk premia in cash-settled forward contracts Authors:  Nina Lange - Technical University of Denmark (Denmark) [presenting]
Nikos Nomikos - Cass Business School (United Kingdom)
Jonas Lager - SEB (Denmark)
Abstract: The aim is to investigate the risk premium in cash settled forward contracts on the Baltic Exchange Indices the so-called Forward Freight Agreements in the dry bulk shipping markets. We estimate multiple spot price models using Markov Chain Monte Carlo. Using a structure-preserving measure change, we then calibrate the risk premium of traded FFA contracts. Finally we link the risk premium to explanatory variables like e.g., oil prices, demand and supply for shipping and the state of the global economy and compare the risk premium behaviour with other energy risk premia.