Modeling crops returns to secure the food supply chain
Published in Ecole polytechnique third year research project report, 2019
Recommended citation: Cheritel, C., Guichaoua, T., Lafrogne-Joussier, R., and Rollet, V.: Modeling crops returns to secure the food supply chain, Ecole polytechnique third year research project report, 2019.
You can find here the report produced following my research project done during my 3rd year at the Ecole Polytechnique with with Théo Guichaoua, Raphaël Lafrogne-Joussier and Vincent Rollet under the supervision of Pierre Picard and Alexis Louaas.
Large retail firms face risks due to unexpected variation of commodity prices. Pierre Picard and Alexis Louaas argue in one of their working paper that the financial hedging strategy used by some retail firms (mainly consisting of using futures contracts) can be dominated by another hedging strategy: hedging by the use of catastrophe bonds and commodity bundling. The aim of our project is to provide empirical results to complement the theoretical results of Picard and Louaas. We use time series data on commodities traded in the London stock market between 1988 and 2018, and ARMA, VAR, and GARCH methods to forecast the prices of five crops. We then use these forecasts to test different insurance strategies, using cat-bonds.
Download the paper here.
Recommended citation: Cheritel, C., Guichaoua, T., Lafrogne-Joussier, R., and Rollet, V.: Modeling crops returns to secure the food supply chain, Ecole polytechnique third year research project report, 2019.