menu fermer

Appel à projets

CALL FOR PAPERS Conference on Commodities, Volatility and Risk Management

Overview:

The conference focuses on commodity pricing and risk management, viewed through the prisms of market imperfections and environmental concerns. The main focus is on agricultural and energy markets, with specific themes intended to shine light on what the organizers and members of the scientific, industry, and policy advisory committees believe are prominent issues (or will be in the near future).

We are aiming for a total of 12 high-quality research papers plus 4 business panels, with an audience that will bring together academics, industry executives, and policy makers. To be held on May 14 and 15, 2019, the conference will feature a mix of invited papers (to anchor the conference and set the bar on quality) and submitted papers, plus several panels—all featuring prominent industry practitioners and policy makers. While the principal focus will be on agricultural markets, there will also be components on energy or other commodities, climate, and shipping.

The number of participants will be kept small (max 50 + up to 20 selected students), and sessions will be run in series (no parallel tracks) in order to maximize the interaction between/ exposure to participants. Priority for conference registration will be given to paper presenters, panel members, and discussants.

An optional one-day pre-conference seminar, targeted at select students and industry professionals, will take place on the day prior to the conference (Monday, May 13). The morning on that day will be devoted to the fundamentals of risk management in agricultural markets, with lectures by Professor Delphine Lautier (PSL-Paris Dauphine). The afternoon will feature an intensive practical seminar for current (European business people) and future (students from Illinois and Paris) “fans” of commodity risk management. Professors Lautier and Robe (U of Illinois) will join policy experts (Dr. Mike Adjemian from the USDA) and other academics (Prof. Bruce Sherrick from the U of Illinois, Prof. Joost Pennings from Wageningen U, Prof. Josh Woodard from Cornell U) to discuss crop insurance in the United States and in Europe.

Topics:

The specific issues, which the conference seeks to tackle, connect finance and the environment:

1. New takes on derivatives design/effectiveness: risk management in the organic agricultural sector; basis risk and the impact of nearby futures-spot convergence issues on the term structure of grains and oilseed futures prices; effectiveness of US-based derivatives in a world where trade wars and climate change are shifting the geography of agricultural production and trade; modeling catastrophic risk.

2. Political risk: links between commodity price volatility and trade restrictions; using crop insurance vs. market-based (derivatives) risk management; implications of the unfolding trade war for basis risk and trading in commodity derivatives markets.

3. Environmental risk: pricing climate risk; measuring and managing price risk in organic agricultural markets; dealing with stranded energy assets.

4. Links between technology and commodity market quality (including risks linked to machine trading and liquidity provision in derivatives markets).

5. Environmental, Social, Governance: ESG-proofing of investments; distributional effects of energy efficiency rules; poverty & energy theft/consumption in developing countries.

Paper submission procedure:

Submission Start Date: December 12, 2018
Submission Deadline: January 18, 2019
Paper submissions should be made on the conference website: https://commodity.sciencesconf.org/

The submission fee (25 euros) is waived for residents of (i) IDB borrowing member countries and/or (ii) countries listed as “LDC,” “Other Low Income”, or “Lower Middle-Income” in the OECD’s most recent “DAC List of ODA Recipients”.

Conference costs:
The conference registration fee (350 euros) covers access to the conference facilities and participation to all of the conference activities on May 14 and 15, including coffee breaks, lunches, and dinners on both days (dinners are planned at the historical Brasserie Mollard on May 14, and aboard a tour boat on the Seine river on May 15). Registrants who prefer to not attend either or both dinners, can have their registration fee reduced of the corresponding charges. There is a separate fee of 125 euros to participate in the (optional) pre-conference day, covering all lectures and panels on May 13 plus lunch and two coffee breaks that day.

Scientific committee:
Yacine Aït-Sahalia, Princeton University
Kathy Baylis, University of Illinois
Eugenio Bobenrieth, Pontificia Universidad Católica de Chile
Colin Carter, University of California at Davis
Mike Cook, University of Missouri
Ivar Ekeland, University of British Columbia
Kris Jacobs, University of Houston
Jiang Liang, JPM Center for Commodities and University of Colorado at Denver
Will Martin, IFPRI
Joëlle Miffre, Audencia Business School
Erica Myers, University of Illinois at Urbana-Champaign
Nikos Nomikos, Cass Business School
Anna Pavlova, London Business School
Bruce Sherrick, University of Illinois at Urbana-Champaign
K. Geert Rouwenhorst, Yale University
Duane Seppi, Carnegie Mellon University
Betty Simkins, Oklahoma State University
Andres Trujillo-Barrera, University of Idaho
Rick van der Ploeg, Oxford University
Kumar Venkataraman, Southern Methodist University
Josh Woodard, Cornell University

Questions should be directed to Damien Fessler: Damien.FESSLER@dauphine.fr