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AgEcon Search >
Revista de Economia e Agronegócio / Brazilian Review of Economics and Agribusiness >
Volume 04, Number 3, 2006 >
Please use this identifier to cite or link to this item:
http://purl.umn.edu/55185
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| Title: | Análise de risco para o café em Minas Gerais |
| Other Titles: | Risk analysis for coffee in Minas Gerais |
| Authors: | Rugani, Felipe do Lago
Silveira, Suely de Fatima Ramos |
| Authors (Email): | Rugani, Felipe do Lago (lagorugani@yahoo.com.br)
Silveira, Suely de F. Ramos (sramos@ufv.br) |
| Keywords: | Risk Management
VaR
Coffee |
| Issue Date: | 2006 |
| Abstract: | The coffee is one of the most important products in the economy of Minas
Gerais. In some specific places it has a great importance in the local production, but in
any place the economic players involved in that market have the same trouble: the share
of risk taken by them. Therefore, would be really important, and useful, to calculate the
risk share of each player. Than, this article showed the risk amount absorbed by the
players in the coffee market of Minas Gerais, based in the prices paid in the south of
that state, the greatest region producer, trough two models of Value at Risk (VaR), the
Normal Model and the Historic Simulation Model. The results shows a risk absorbed
about 17,28%, with 95% of sure, and 24,60% with 99% of sure, both of them in a thirty
days exposure, calculated by the Historic Simulation VaR Model, which was the most
trustable, with less exceptions. Besides, the compare between the risks of coffee,
Ibovespa and dollar, all of them calculated by VaR Historic Simulation, evidence the
coffee as the most risk full of them, with the greatest amount of risk value. |
| URI: | http://purl.umn.edu/55185 |
| Institution/Association: | Revista de Economia e Agronegócio/Brazilian Review of Economics and Agribusiness>Volume 4, Number 3, 2006 |
| Total Pages: | 21 |
| From Page: | 343 |
| To Page: | 364 |
| Collections: | Volume 04, Number 3, 2006
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Files in This Item:
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| 04_artigo.pdf | | 64Kb | PDF | View/Open |
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