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In this paper we price a precipitation option based on empirical weather data from Germanyusing different pricing methods, among them the burn analysis, index value simulation anddaily simulation. For that purpose we develop a daily precipitation model. Moreover, a decorrelationanalysis is...
Persistent link: https://www.econbiz.de/10009302563
Spätestens seit Erscheinen des viel zitierten Buches „Investment under Uncertainty“ von Dixitund Pindyck (1994) erfährt die neue Investitionstheorie (synonym: Realoptionstheorie) großeAufmerksamkeit. Neben theoretischen Weiterentwicklungen und Verfeinerungen wird dieRealoptionstheorie in...
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Die vorliegende Arbeit behandelt geeignete Indikatoren zur Quantifizierung von Marktrisiken auf einem von Krisen und Deregulierung geprägten Agrarmarkt.
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German hog production responds only very limited to price fluctuations in the pork market. The hog production concentrates in a few regions though it does not depend on special natural conditions. Furthermore, the production volume does hardly vary over time. Relatively high market risks, sunk...
Persistent link: https://www.econbiz.de/10009443023
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...
Persistent link: https://www.econbiz.de/10009443706
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...
Persistent link: https://www.econbiz.de/10015078974
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