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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2023
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| Materias: | |
| Acceso en línea: | https://arxiv.org/abs/2311.00832 |
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| _version_ | 1866909328063070208 |
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| author | Lin, Minglian SenGupta, Indranil Wilson, William |
| author_facet | Lin, Minglian SenGupta, Indranil Wilson, William |
| contents | Value at Risk (VaR) is a quantitative measure used to evaluate the risk linked to the potential loss of investment or capital. Estimation of the VaR entails the quantification of prospective losses in a portfolio of investments, using a certain likelihood, under normal market conditions within a specific time period. The objective of this paper is to construct a model and estimate the VaR for a diversified portfolio consisting of multiple cash commodity positions driven by standard Brownian motions and jump processes. Subsequently, a thorough analytical estimation of the VaR is conducted for the proposed model. The results are then applied to two distinct commodities -- corn and soybean -- enabling a comprehensive comparison of the VaR values in the presence and absence of jumps. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2311_00832 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Estimation of VaR with jump process: application in corn and soybean markets Lin, Minglian SenGupta, Indranil Wilson, William Mathematical Finance 91G10, 93E20, 60G15 Value at Risk (VaR) is a quantitative measure used to evaluate the risk linked to the potential loss of investment or capital. Estimation of the VaR entails the quantification of prospective losses in a portfolio of investments, using a certain likelihood, under normal market conditions within a specific time period. The objective of this paper is to construct a model and estimate the VaR for a diversified portfolio consisting of multiple cash commodity positions driven by standard Brownian motions and jump processes. Subsequently, a thorough analytical estimation of the VaR is conducted for the proposed model. The results are then applied to two distinct commodities -- corn and soybean -- enabling a comprehensive comparison of the VaR values in the presence and absence of jumps. |
| title | Estimation of VaR with jump process: application in corn and soybean markets |
| topic | Mathematical Finance 91G10, 93E20, 60G15 |
| url | https://arxiv.org/abs/2311.00832 |