Commodity Derivatives & Risk Management

By Prof. Prabina Rajib | IIT Kharagpur

Learners enrolled: 2566 | Exam registration: 229

ABOUT THE COURSE:
Commodity derivatives market has witnessed tremendous growth in India. Since the setting up of different national level demutualized commodity exchanges such as NCDEX, MCX and NMCE about a decade back, the Indian commodity derivative market has achieved considerable growth in trading volume, types of commodities contracts traded, warehouse development and also has brought in significant changes to spot trading of commodities. The course covers almost the entire spectrum of commodities traded in the Indian commodity market, including agricultural commodities, crude oil, base metal, precious metal, and electricity. This course will also cover derivative contracts on weather, carbon, freight and real estate traded in international exchanges such as CME, LME, LBMA, DGCX and The Baltic Exchange etc. Fundamental concepts such as value-at- risk based margin calculation, seasonality, minimum variance hedge ratio, basis risk, commodity index creation, pricing and valuation of derivatives contracts will be discussed in earlier part of the course. Subsequently futures, options, swaps, tapos, spread contracts like crack/crush/spark on commodities mentioned earlier can be used by companies to mitigate price risk will also be discussed in detail.

PREREQUISITES: Corporate Finance, Micro Economics,

INDUSTRY SUPPORT: Companies belonging to Metal, Mining Agri processing, Carbon Credit trading etc. ( ITC, Balrampurchini, KCP sugar, Dabur, HPCL, BPCL, IOCL, NALCO, HINDLACO, Coal India, Hind Copper, Importers of Crude Palm Oil. Mustard Oil, etc.)

Summary

Course Status :	Completed
Course Type :	Elective
Language for course content :	English
Duration :	12 weeks
Category :	Management Studies
Credit Points :	3
Level :	Postgraduate
Start Date :	24 Jul 2023
End Date :	13 Oct 2023
Enrollment Ends :	07 Aug 2023
Exam Registration Ends :	18 Aug 2023
Exam Date :	29 Oct 2023 IST

Note: This exam date is subject to change based on seat availability. You can check final exam date on your hall ticket.

Page Visits

Course layout

Week 1: Commodity Derivatives Trading & Commodity Exchanges, Commodity Contracts, Trading platform for Major Commodity Exchanges: Open Outcry vs. Electronics. Kerb Trading

Week 2: Commodity Indices creation, Collateralized vs. uncollateralized index, commodity index based on contract side.

Week 3: Introduction to Futures & Forwards, Pricing & valuation, Futures Pricing Valuation for Storable/non Storable Commodity

Week 4: Contango/Backwardation, Hedge Ratio, Pricing & Valuation of Commodity Options

Week 5: Introduction to Options, Swaps, Exchange of Futures for Physicals, Pricing & Valuation.

Week 6: Commodity Price risk for Agricultural committee, Seasonality in prices, Contango, backwardation

Week 7: Commodity Price risk in Crude Oil & Natural Gas, LOOP Storage contracts

Week 8: Gold & Silver, Base Metal Commodity Derivatives.

Week 9: Electricity Derivatives Pricing and Trading

Week 10: Carbon Credit Derivatives, Pricing & Trading

Week 11: Weather Derivatives ,

Week 12: Miscellaneous Derivatives: Freight, Water, Property and Non-Farm Payroll Index, Salmon, Bitcoin Derivatives.

Books and references

1: Commodity Derivatives & Risk Management, Prabina Rajib, PHI Publication.
2. Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy (The Wiley Finance Series) Hardcover, by Helyette Geman, Wiley Publication
3. Indian Commodity Market: Derivatives and Risk Management by P. S. Velmurugan, Serial Publication

Instructor bio

Prof. Prabina Rajib

IIT Kharagpur

Prof. Prabina Rajib, PhD (Finance, IIT Kharagpur) is Professor, Vinod Gupta School of Management, Indian Institute of Technology Kharagpur, West Bengal. She has more than two decade of academic experience and has presented and published many papers in national and international journals and conferences. She was also a Fulbright scholar at Purdue University, USA. Dr. Prabina Rajib's areas of interests include Indian Capital and Derivative Markets, FDI entry strategy and Mergers and Acquisitions by Indian Companies. She has also been a guide to many PhD scholars and has authored a book on Stock Exchanges, Investments and Derivatives.

Course certificate

The course is free to enroll and learn from. But if you want a certificate, you have to register and write the proctored exam conducted by us in person at any of the designated exam centres.

The exam is optional for a fee of Rs 1000/- (Rupees one thousand only).

Date and Time of Exams: 29 October, 2023 Morning session 9am to 12 noon; Afternoon Session 2pm to 5pm.

Registration url: Announcements will be made when the registration form is open for registrations.

The online registration form has to be filled and the certification exam fee needs to be paid. More details will be made available when the exam registration form is published. If there are any changes, it will be mentioned then.

Please check the form for more details on the cities where the exams will be held, the conditions you agree to when you fill the form etc.

CRITERIA TO GET A CERTIFICATE

Average assignment score = 25% of average of best 8 assignments out of the total 12 assignments given in the course.
Exam score = 75% of the proctored certification exam score out of 100

Final score = Average assignment score + Exam score

YOU WILL BE ELIGIBLE FOR A CERTIFICATE ONLY IF AVERAGE ASSIGNMENT SCORE >=10/25 AND EXAM SCORE >= 30/75. If one of the 2 criteria is not met, you will not get the certificate even if the Final score >= 40/100.

Certificate will have your name, photograph and the score in the final exam with the breakup.It will have the logos of NPTEL and IIT Kharagpur .It will be e-verifiable at nptel.ac.in/noc.

Only the e-certificate will be made available. Hard copies will not be dispatched.

Once again, thanks for your interest in our online courses and certification. Happy learning.

- NPTEL team

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