Overview
This course develops an integrated framework for identifying, measuring, monitoring, and managing risk in commodity businesses. It examines price, basis, volume, liquidity, credit, counterparty, operational, geopolitical, currency, interest-rate, transportation, storage, and model risks across physical and financial commodity markets.
Students analyse forwards, futures, swaps, options, collars, spreads, cross-hedging, hedge ratios, mark-to-market valuation, margining, and collateral management. Quantitative methods include value at risk, expected shortfall, scenario analysis, stress testing, sensitivity analysis, and hedge-effectiveness measurement.
Applications address procurement, production, inventory, logistics, merchant trading, and end-user exposures, including imperfect hedges and delivery-location differences. Case studies involving copper, crude oil, gas, agricultural commodities, and power develop students' ability to design governance controls, establish limits and key risk indicators, and communicate residual risk to management.
Learning Outcomes
- Analyse physical and financial commodity market structures and identify material exposures across procurement, production, inventory, logistics, trading, and end-use activities.
- Evaluate price, basis, volume, liquidity, credit, counterparty, operational, geopolitical, currency, interest-rate, transportation, storage, and model risks.
- Calculate and interpret hedge ratios, mark-to-market values, margin requirements, value at risk, expected shortfall, and sensitivity measures.
- Select and justify forwards, futures, swaps, options, collars, spreads, and cross-hedging strategies for specific commodity exposures.
- Assess hedge effectiveness, imperfect hedges, delivery-location differences, collateral requirements, and residual risk under changing market conditions.
- Design risk limits, risk appetite statements, key risk indicators, scenario analyses, and stress-testing frameworks for commodity businesses.
- Communicate quantitative risk assessments, hedging recommendations, and governance controls clearly to senior management and relevant stakeholders.
Timetable
| Type | Length | Frequency | Period |
|---|---|---|---|
| Lecture | 2 hours | Weekly | All semester |
| Tutorial | 1 hour | Weekly | All semester |
| Workshop | 2 hours | Fortnightly | All semester |
| Seminar | 2 hours | Fortnightly | Second term |
Assessment Schedule
| Type | Description | Weighting |
|---|---|---|
| Assignment | Commodity exposure mapping and risk assessment | 20.00% |
| Test | Quantitative risk-measurement test | 20.00% |
| Assignment | Hedging strategy analysis | 20.00% |
| Deliverable | Stress-testing and governance framework | 15.00% |
| Tutorial | Tutorial participation and applied exercises | 5.00% |
| Exam | Final examination | 20.00% |
Prerequisites
- CUCM101 Copper Markets and Commodity Trading
- Requirement Prior study in introductory finance, economics, or quantitative business analysis.
Teaching Staff & Programs
This course is delivered jointly by faculty from the participating programs listed below. In line with the Douchewater Way, the University of Sexology tailors core instruction directly to each cohort's specific discipline — adapting curriculum to program needs rather than forcing students into a one-size-fits-all model. Learn more about our approach at The Douchewater Way.
