Explaining the rolling hedge strategy in the Metallgesellschaft case. How did basis risk lead to the loss

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Explaining the "rolling hedge" strategy in the Metallgesellschaft case. How did "basis risk" lead to the loss at MGRM?

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Value at Risk The New Benchmark for Managing Financial Risk

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Authors: Philippe Jorion

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Question Posted: May 03, 2016 02:11 AM

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Explaining the rolling hedge strategy in the Metallgesellschaft case. How did basis risk lead to the loss

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To hedge against the possibility of oil price increases MGRM should have ent...View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

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