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Category Archives: Commodities


Calculating Value at Risk Example

Calculating Value at Risk Example This Value at Risk (VaR) case study shows how to calculate VaR in Excel using two different methods (Variance Covariance and Historical Simulation) with publicly available data. What you will need The Value at Risk resource and reference page. Data set for Gold spot prices which can

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Oil and Gold Models workshop – Bangkok, 14 November 2011

The workshop focused on building models for oil and gold and also reviewed some of the associated risk limits with an emphasis on Pre-Settlement, Stop Loss, Transaction and Expectation driven limits. We reviewed price, volatility and relative value models and also took a look at fundamental drivers of pricing for Gold and Oil.

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Selling Treasury Derivative products: Estimating client exposure to crude oil price volatility

This is the transcript from the video recording for session three of selling treasury products where we use the case study of an oil refinery to show how to translate impact of crude oil price volatility into P&L and margin impact. This impact forms the basis for exposure estimation used to suggest an oil price hedging solution to a customer impacted by a change in crude oil prices.

Cross selling treasury products – Pitching commodity trading ideas to corporate clients

Price volatility in crude oil, gold, silver, cotton, sugarcane, wheat and cereals has created an unprecedented opportunity for corporate relationship managers to cross sell treasury products to their institutional, trading, manufacturing and high net worth customers. We present below a framework for empowering client facing treasury teams to go out and cross sell high value, high margin trading concepts to clients by educating customers about their exposures and some of the solutions available to reduce the risk associated with the same exposures.

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Commodity Trading Course Package

By the end of the two day workshop participants will be able to:
a)      Appreciate the linkage between commodity markets (precious metals, crude oil), currencies and rates
b)      Trace the impact of monetary policy announcements on commodity markets
c)       Explain trading strategies using futures, options and exotic products
d)      Understand trading triggers
e)      Derive risk limits for counterparty exposures


Forecasting Oil prices. Commodity Prices and Trailing Correlations

Forecasting oil prices. Trailing correlations The Crude Oil Mispricing model, presented in MS Excel worksheet format, assesses what the price of crude oil should have been if the historical relationship between crude oil and a given commodity were to have continued into the future. Vice versa,

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Relative Gold Price Model – Forecasting the price of gold

The relative gold price model, presented in MS Excel worksheet format, assesses the relative value of Gold against that of other commodities. It is used to: Highlight trends in the relationships between gold and a given commodity Identify points when relations broke-down or when a

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Understanding Crude Oil. A model for dissecting crude oil

Our summarized outlook was simple. Oil demand growth is likely to remain stunted given high prices and a number of major issues structurally which will remove any impetus for an oil price shock similar to the one that we witnessed in 2008. With additional supply coming back to the market from Iraq and Libya, Europe struggling with the fallout of the PIGS crisis and the slowdown in China the demand situation was not likely to be rosy.