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| Title: | LIMITATIONS OF VALUE-AT-RISK (VAR) FOR BUDGET ANALYSIS |
| Authors: | Gustafson, Cole R. |
| Authors (Email): | Gustafson, Cole R. (cole.gustafson@ndsu.nodak.edu) |
| Keywords: | Risk
Value-at-Risk
Expected Tail Loss
crop insurance
loan loss |
| Issue Date: | 2004 |
| Series/Report no.: | Agribusiness & Applied Economics Miscellaneous Report No. 194 |
| 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. |
| URI: | http://purl.umn.edu/23612 |
| Institution/Association: | North Dakota State University>Department of Agribusiness and Applied Economics>Agribusiness & Applied Economics Report |
| Total Pages: | 8 |
| Language: | English |
| Collections: | Agribusiness & Applied Economics Report
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