The Mekong—applications of value at risk (VaR) and conditional value at risk (CVaR) simulation to the benefits, costs and consequences of water resources development in a large river basin

R.B. Webby, P.T. Adamson, J. Boland, P.G. Howlett, A.V. Metcalfe and J. Piantadosi

Ecological Modelling, 2007, vol. 201, issue 1, 89-96

Abstract: Conditional value at risk (CVaR) was developed as a coherent measure of expected loss given that actual loss exceeds some value at risk (VaR) threshold. To date the concept has been primarily used to support quantitative risk assessment for investment decisions and portfolio management, using stochastic financial models to minimise the risk of unacceptable monetary loss. Intriguingly, the models and concepts are potentially adaptable to water resources planning and operational problems. This paper explores the application of CVaR within the context of identifying the risk of macro-economic damage to the fishery resources of Tonle Sap given reduced volumes of flow on the mainstream Mekong during the flood season. Emphasis is placed on simulating the linkages between the seasonally available flows in the Mekong mainstream, Tonle Sap water levels, annual fish catch and its economic value.

Keywords: Conditional value at risk; Financial loss models; Inland fishery; Mekong (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecomod:v:201:y:2007:i:1:p:89-96

DOI: 10.1016/j.ecolmodel.2006.07.033

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