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| Hawes, Cullen R.; Wilson, William W.; Dahl, Bruce L.. |
| Agricultural firms that use Value at Risk (VaR) tend to be the large diversified corporations. The benefits of VaR in the agricultural industry are not limited to large conglomerates; however, and this study provides empirical examples of how mid to large sized commodity end-users can use VaR to quantify price risk exposure. By reporting price risk in terms of dollars as a single summary statistic, VaR provides a more intuitive measure of risk for decision makers, especially when the distribution of portfolio value changes is non-normal. VaR also separates downside from upside potential by focusing on the left-hand tail of a portfolio's distribution of returns. The purpose of this study is to demonstrate how VaR can be applied to the portfolio of a... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Value at Risk; Hedging; Processor Futures; Options; Marketing; Risk and Uncertainty. |
| Ano: 2005 |
URL: http://purl.umn.edu/23608 |
