Strategi Lindung Nilai Komoditas Menggunakan Model Ornstein-Uhlenbeck: Studi Kasus pada PT XYZ

Abstract

Global crude oil price volatility represents a major source of risk for energy companies, particularly oil refining firms that rely heavily on crude oil imports and face limitations in passing cost increases to end consumers due to price control policies. PT XYZ, as a national oil refining company, is exposed to significant crude oil price risk, where fluctuations in global oil prices directly affect import costs, refining margins, and overall financial performance. Although commodity hedging strategies have been implemented, their realization remains limited and largely reactive, relying on short-term technical signals and therefore lacking effectiveness in reducing import cost volatility. This study aims to examine the application of the Ornstein–Uhlenbeck (OU) stochastic model as a quantitative framework to support crude oil hedging decisions at PT XYZ. The research focuses on evaluating the ability of the OU model to project crude oil prices, determine risk-based hedge ratios, and assess the effectiveness of an OU-based hedging strategy compared to the company’s existing hedging approach. The study employs monthly Dated Brent price data with observation horizons of three, five, and ten years. OU model parameters are estimated using the Maximum Likelihood Estimation method, followed by Monte Carlo simulations to generate six-month forward price distributions in the form of P5, P50, and P95 quantiles. Based on validation results using Root Mean Square Error, Mean Absolute Error, and the coefficient of determination, the five-year horizon OU model is selected as the most representative due to its balance between statistical accuracy and sensitivity to current market conditions.The results indicate that crude oil prices exhibit strong mean-reverting behavior, confirming the suitability of the Ornstein–Uhlenbeck model for short- to medium-term price projection. OU-based price projections provide median price estimates converging toward the long-term equilibrium level, along with measurable uncertainty ranges. Integrating these projections with the company’s risk tolerance enables the determination of proportional and risk-based hedge ratios, ensuring that hedging decisions account not only for price direction but also for maximum potential loss control. The main contribution of this study demonstrates that an OU-based hedging strategy reduces the volatility impact of crude oil price fluctuations more effectively than the existing strategy and produces more consistent and replicable decisions. The Ornstein–Uhlenbeck model is not intended to replace the existing hedging strategy operationally, but rather to complement it by strengthening the decision- making framework with a quantitative, risk-based foundation. Practically, this approach supports the development of a more systematic, proactive, and governance-aligned risk-based hedging framework, thereby enhancing commodity risk management at PT XYZ.