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Die Quantifizierung von Marktrisiken in der Tierproduktion mittels Value-at-Risk und Extreme-Value-Theory AgEcon
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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Volatilidade dos retornos econômicos associados à integração lavoura-pecuária no estado do Paraná AgEcon
Lazzarotto, Joelsio Jose; Santos, Maurinho Luiz dos; Lima, Joao Eustaquio de; Moraes, Anibal de.
In the Brazilian agriculture, there is a great diversity and heterogeneity of production systems that are subject to wide number of factors of risks. Although these risks cannot be completely eliminated, they can be minimized by adopting some strategies, as the diversification with agricultural and cattle activities. Based on the research historical results of the Paraná’s agriculture e with the measurement of the value-at-risk, this work aimed to analyze the volatility of the economic returns of integrated crop-beef cattle systems compared to systems characterized by grain cultivation or beef cattle specialization. As results, we observed that, in the short-term, the integrated crop-livestock system is the alternative that trends to generate better...
Tipo: Journal Article Palavras-chave: Farm systems; Risk; Value-at-risk; Risk and Uncertainty.
Ano: 2009 URL: http://purl.umn.edu/56860
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