LIMITATIONS OF VALUE-AT-RISK (VAR) FOR BUDGET ANALYSIS

Value-at-risk (VaR) is increasingly being applied to problems in agriculture, especially valuation of crop insurance and agricultural lending risk exposure. VaR conveys the probability that losses exceeding a threshold will likely occur within a specified timeframe. However, it does not provide the expected value of losses, should they happen. When determining risk exposure for budget analysis, this latter amount is of keen interest. Expected tail loss (ETL) methods are developed and compared with VaR.


Issue Date:
2004
Publication Type:
Report
PURL Identifier:
http://purl.umn.edu/23612
Total Pages:
8
Series Statement:
Agribusiness & Applied Economics Miscellaneous Report No. 194




 Record created 2017-04-01, last modified 2017-08-02

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