Value at Risk

José Ramón San Cristóbal ()
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José Ramón San Cristóbal: University of Cantabria, Nautical School

Chapter 6 in The Baltic Dry Index, 2026, pp 81-94 from Springer

Abstract: Abstract In the specific case of the shipping freight market, a possible method of measuring risk is the evaluation of losses likely to be incurred when the Baltic Dry Index falls. To measure how much we could lose in the shipping industry over a given period, we incorporate two concepts in our analysis, the Value at Risk and the Expected Shortfall. These two concepts give us a sense of the tail risk in the probability distribution function of the Baltic Dry Index returns. In this chapter, we first introduce different methods to calculate the Value at Risk and the Expected Shortfall. Subsequently, some of these methods are applied to the Baltic Dry Index using the functions that the RStudio program offers.

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:conchp:978-3-032-21073-9_6

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DOI: 10.1007/978-3-032-21073-9_6

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