1. Estimation of VaR with jump process: Application in corn and soybean markets.
- Author
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Lin, Minglian, SenGupta, Indranil, and Wilson, William
- Abstract
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 article 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. [ABSTRACT FROM AUTHOR]
- Published
- 2024
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