| Registro completo |
| Provedor de dados: |
AgEcon
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| País: |
United States
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| Título: |
LIMITATIONS OF VALUE-AT-RISK (VAR) FOR BUDGET ANALYSIS
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| Autores: |
Gustafson, Cole R.
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| Data: |
2004-04-07
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| Ano: |
2004
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| Palavras-chave: |
Risk
Value-at-Risk
Expected Tail Loss
Crop insurance
Loan loss
Agricultural Finance
Risk and Uncertainty
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| Resumo: |
Value-at-risk (VaR) is increasingly being applied to problems in agriculture, especially valuation of crop insurance and agricultural lending risk exposure. VaR conveys the probability that losses exceeding a threshold will likely occur within a specified timeframe. However, it does not provide the expected value of losses, should they happen. When determining risk exposure for budget analysis, this latter amount is of keen interest. Expected tail loss (ETL) methods are developed and compared with VaR.
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| Tipo: |
Working or Discussion Paper
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| Idioma: |
Inglês
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| Identificador: |
13627
http://purl.umn.edu/23612
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| Editor: |
AgEcon Search
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| Relação: |
North Dakota State University>Department of Agribusiness and Applied Economics>Agribusiness & Applied Economics Report
Agribusiness & Applied Economics Miscellaneous Report No. 194
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| Formato: |
8
application/pdf
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