Extreme Measures of Agricultural Financial Risk

Details Extreme Measures of Agricultural Financial Risk Extreme Measures of Agricultural Financial Risk

2011-03-30

arxiv.org/abs/1103.5962v1

Economy

Quantitative Finance

Risk Management

Scientific paper

Risk is an inherent feature of agricultural production and marketing and accurate measurement of it helps inform more efficient use of resources. This paper examines three tail quantile-based risk measures applied to the estimation of extreme agricultural financial risk for corn and soybean production in the US: Value at Risk (VaR), Expected Shortfall (ES) and Spectral Risk Measures (SRMs). We use Extreme Value Theory (EVT) to model the tail returns and present results for these three different risk measures using agricultural futures market data. We compare the estimated risk measures in terms of their size and precision, and find that they are all considerably higher than normal estimates; they are also quite uncertain, and become more uncertain as the risks involved become more extreme.

Affiliated with

Also associated with

No associations

Rating

Extreme Measures of Agricultural Financial Risk does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Extreme Measures of Agricultural Financial Risk, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Extreme Measures of Agricultural Financial Risk will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-569582