Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/304564 
Year of Publication: 
2003
Citation: 
[Journal:] Agrarwirtschaft: Zeitschrift für Betriebswirtschaft, Marktforschung und Agrarpolitik [ISSN:] 0002-1121 [Volume:] 52 [Issue:] 2 [Year:] 2003 [Pages:] 118-128
Publisher: 
Deutscher Fachverlag, Frankfurt a. M.
Abstract (Translated): 
Quantification of Market Risk in Livestock Production Using Value-at-Risk and Extreme-Value-TheoryThe 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 long. Finally, we discuss the strengths and weaknesses of these rather new risk management methods thereby trying to identify fields for potential applications in the agribusiness.
Subjects: 
Schweinehaltung
Tierhaltung
Risikomanagement
Risikomaß
Persistent Identifier of the first edition: 
Document Type: 
Article

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