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| Odening, Martin; Hinrichs, Jan. |
| The objective of this paper is to investigate the performance of different VaR models in the context of risk assessment in hog production. Potential pitfalls of traditional VaR models are pinpointed and proposals to solve them are analyzed. After a brief description these methods are used to calculate the VaR of the hog finishing margin under German market conditions. In particular we apply Extreme Value Theory (EVT) to our data and compare the results with historical simulation (HS) and the variance-covariance method (VCM). Hill's estimator is used to determine the tail index of the extreme distribution of the gross margin in hog finishing and farrow production. A bootstrap method proposed by Danielsson et al. (1999) is adopted to choose the optimal... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Livestock Production/Industries; Risk and Uncertainty. |
| Ano: 2002 |
URL: http://purl.umn.edu/19907 |
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| Odening, Martin; Hinrichs, Jan. |
| The objective of this paper is to investigate the performance of different Value-at-Risk (VaR) models in the context of risk assessment in hog production. The paper starts with a description of traditional VaR models, i.e. Variance-Covariance-Method (VCM) and Historical Simulation (HS). We address two well known problems, namely the fat tailedness of return distributions and the time aggregation of VaR forecasts. Afterwards, Extreme-Value-Theory (EVT) is introduced in order to overcome these problems. The previously described methods are then used to calculate the VaR of hog production under German market conditions. It turns out that EVT, VCM, and HS lead to different VaR forecasts if the return distributions are fat tailed and if the forecast horizon is... |
| Tipo: Journal Article |
Palavras-chave: Value-at-risk; Extreme-value-theory; Risk in hog production; Farm Management; Risk and Uncertainty. |
| Ano: 2003 |
URL: http://purl.umn.edu/98092 |
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| Hinrichs, Jan; Musshoff, Oliver; Odening, Martin. |
| German hog production responds only very limited to price fluctuations in the pork market. The hog production concentrates in a few regions though it does not depend on special natural conditions. Furthermore, the production volume does hardly vary over time. Relatively high market risks, sunk costs, and the flexibility of the decision maker to defer investments characterize decision problems hog production. Thus the real option approach is chosen to explain the inertia in production capacity. Using panel data of specialised hog farms from the German farm accountancy data network (FADN) an empirical investment model is estimated. Formally, the model has the structure of an ordered probit model. This approach allows to test for economic hysteresis in the... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Economic Hysteresis; Risk; Real options; Hog production; Livestock Production/Industries. |
| Ano: 2005 |
URL: http://purl.umn.edu/18813 |
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