In this paper, I examine how financialization affects the term structure of risk premia by using an equilibrium model … commodity risk, into a commodity market. Qualitatively, the model shows that the financialization decreases the segmentation … liquidity and that the investment pressure from investors creates new risk premia. Further the model shows that financialization …

The aim of this study is to investigate the possible contagion risk coming from energy, food and metals commodity … markets and to assess risk spillovers from biofuel to food commodity markets and from crude oil to food markets. To this … purpose, we use the delta Conditional Value-at-Risk ΔCoVaR) approach recently proposed by Adrian and Brunnermeier (2016) based …

This article investigates the pricing of volatility risk in agricultural commodity markets. We show theoretically that … the cost of bearing volatility risk can be measured using returns to delta-neutral straddles. Using a sample of options … investors are willing to pay a cost to avoid volatility risk. Second, volatility risk is priced mainly at short maturities …