LIMITATIONS OF VALUE-AT-RISK (VAR) FOR BUDGET ANALYSIS

Cole Gustafson

No 23612, Agribusiness & Applied Economics Report from North Dakota State University, Department of Agribusiness and Applied Economics

Abstract: Value-at-risk (VaR) is increasingly being applied to problems in agriculture, especially valuation of crop insurance and agricultural lending risk exposure. VaR conveys the probability that losses exceeding a threshold will likely occur within a specified timeframe. However, it does not provide the expected value of losses, should they happen. When determining risk exposure for budget analysis, this latter amount is of keen interest. Expected tail loss (ETL) methods are developed and compared with VaR.

Keywords: Agricultural Finance; Risk and Uncertainty (search for similar items in EconPapers)
Pages: 8
Date: 2004
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/23612/files/aem194.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:nddaae:23612

DOI: 10.22004/ag.econ.23612

Access Statistics for this paper

More papers in Agribusiness & Applied Economics Report from North Dakota State University, Department of Agribusiness and Applied Economics Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().