We study how to manage commodity risks (price and volume) via procurement and financial hedging for a value-at-risk … optimal order quantity and financial hedging policy, which is proved to be time-consistent and risk-coherent. Furthermore, we … (VaR) risk-averse newsvendor. Facing stochastic procurement cost from the commodity market, the firm decides on its …

This paper focuses on weather derivatives as efficient risk management instruments and proposes a more advanced … region under study and introducing Value-at-Risk (VaR) and Expected Shortfall (ES) as appropriate measures for the strike … price. The numerical results show that VaR and ES are both efficient ways for managing the so-called Tail Risk; further …