Value-at-risk (VaR) determines the probability of a portfolio of assets losing a certain amount in a given period at a particular level of confidence. Value-at-risk is receiving considerable attention in the finance literature for its use in reporting the risks of derivatives. This article provides a state-of-the-art review of VaR estimation techniques and empirical findings. The ability of VaR estimates to represent large losses varies among procedure, confidence levels, and data used. To date no consensus exists regarding the most appropriate estimation technique. Potential applications of VaR are suggested in the context of agricultural risk management.
The purpose of the Review of Agricultural Economics (RAE) is to provide a forum for the exchange of ideas and empirical findings among those working in various areas of agricultural economics. These areas include extension education, resident instruction, applied economic and policy analysis, and decision-support analysis. Published articles are expected to be valuable to applied economists working in the public, private, and nonprofit sectors, both domestic and international. In this regard, this publication is unique among the scholarly agricultural economics journals. The editors take seriously the challenge to evaluate manuscripts for publication based on readability and broad interest to all subscribers. The Review of Agricultural Economics is published jointly by the Southern Agricultural Economics Association, the Northeastern Agricultural and Resource Economics Association, the Western Agricultural Economics Association, and the American Agricultural Economics Association. The RAE is published quarterly.
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Review of Agricultural Economics
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