Corporate Risk Management and the Role of Value-at-Risk

Dwight R. Sanders and Mark R. Manfredo

No 285763, 1981-1999 Conference Archive from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: Value-at-Risk (VaR) estimates the downside risk of a portfolio of assets, usually derivatives, at a particular confidence level over a specified time horizon. VaR plays an important role in corporate risk management. This discussion piece highlights the role of VaR in the context of a corporate risk management system. The informational demands of such a system are presented in the context of a foodservice business that uses derivatives products to manage absolute price risk. Risks inherent in the use of derivatives products are also outlined. Through an examination of the informational demands of corporate risk managers, as well as the risks of derivative products, avenues for future research regarding the estimation of VaR measures are presented.

Keywords: Marketing (search for similar items in EconPapers)
Date: 1999-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:nc8191:285763

DOI: 10.22004/ag.econ.285763

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