ASSESSMENT OF MARKET RISK IN HOG PRODUCTION USING VALUE-AT-RISK AND EXTREME VALUE THEORY

The objective of this paper is to investigate the performance of different VaR models in the context of risk assessment in hog production. Potential pitfalls of traditional VaR models are pinpointed and proposals to solve them are analyzed. After a brief description these methods are used to calculate the VaR of the hog finishing margin under German market conditions. In particular we apply Extreme Value Theory (EVT) to our data and compare the results with historical simulation (HS) and the variance-covariance method (VCM). Hill's estimator is used to determine the tail index of the extreme distribution of the gross margin in hog finishing and farrow production. A bootstrap method proposed by Danielsson et al. (1999) is adopted to choose the optimal sample fraction for the tail estimator. It turns out that EVT, VCM, and HS lead to different VaR forecasts if the return distributions are fat tailed and the forecast horizon is long.Livestock Production/Industries, Risk and Uncertainty,

Reference data for phase diagrams of triangular and hexagonal bosonic lattices

We investigate systems of bosonic particles at zero temperature in triangular and hexagonal optical lattice potentials in the framework of the Bose-Hubbard model. Employing the process-chain approach, we obtain accurate values for the boundaries between the Mott insulating phase and the superfluid phase. These results can serve as reference data for both other approximation schemes and upcoming experiments. Since arbitrary integer filling factors g are amenable to our technique, we are able to monitor the behavior of the critical hopping parameters with increasing filling. We also demonstrate that the g-dependence of these exact parameters is described almost perfectly by a scaling relation inferred from the mean-field approximation.Comment: 6 pages, 5 figures, accepted for publication in EP

Die Quantifizierung von Marktrisiken in der Tierproduktion mittels Value-at-Risk und Extreme-Value-Theory

Risk and Uncertainty,

Die Quantifizierung von Marktrisiken in der Tierproduktion mittels Value-at-Risk und Extreme-Value-Theory

The objective of this paper is to investigate the performance of different Value-at-Risk (VaR) models in the context of risk assessment in hog production. The paper starts with a description of traditional VaR models, i.e. Variance-Covariance-Method (VCM) and Historical Simulation (HS). We address two well known problems, namely the fat tailedness of return distributions and the time aggregation of VaR forecasts. Afterwards, Extreme-Value-Theory (EVT) is introduced in order to overcome these problems. The previously described methods are then used to calculate the VaR of hog production under German market conditions. It turns out that EVT, VCM, and HS lead to different VaR forecasts if the return distributions are fat tailed and if the forecast horizon is long. Finally, we discuss the strengths and weaknesses of these rather new risk management methods thereby trying to identify fields for potential applications in the agribusiness.Value-at-risk, extreme-value-theory, risk in hog production, Farm Management, Risk and Uncertainty,

Persistence of one-dimensional AR(1)-sequences

For a class of one-dimensional autoregressive processes $(X_n)$ we consider the tail behaviour of the stopping time $T_0=\min \lbrace n\geq 1: X_n\leq 0 \rbrace$. We discuss existing general analytical approaches to this and related problems and propose a new one, which is based on a renewal-type decomposition for the moment generating function of $T_0$ and on the analytical Fredholm alternative. Using this method, we show that $\mathbb{P}_x(T_0=n)\sim V(x)R_0^n$ for some $0<R_0<1$ and a positive $R^{-1}_0$-harmonic function $V$. Further we prove that our conditions on the tail behaviour of the innovations are sharp in the sense that fatter tails produce non-exponential decay factors.Comment: 30 page

A General Model for Estimating Lower Extremity Inertial Properties of Individuals with Transtibial Amputation

This is a PDF file of an unedited manuscript that has been accepted for publication. Journal of Biomechanics (2017), doi: 10.1016/j.jbiomech.2017.01.034. As a service to our customers we are providing this early version of the manuscript. The manuscript will undergo copyediting, typesetting, and review of the resulting proof before it is published in its final form. Please note that during the production process errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal pertain.</p

Oscillation and Reaction Board Techniques for Estimating Inertial Properties of a Below-knee Prosthesis

The purpose of this study was two-fold: 1) demonstrate a technique that can be used to directly estimate the inertial properties of a below-knee prosthesis, and 2) contrast the effects of the proposed technique and that of using intact limb inertial properties on joint kinetic estimates during walking in unilateral, transtibial amputees. An oscillation and reaction board system was validated and shown to be reliable when measuring inertial properties of known geometrical solids. When direct measurements of inertial properties of the prosthesis were used in inverse dynamics modeling of the lower extremity compared with inertial estimates based on an intact shank and foot, joint kinetics at the hip and knee were significantly lower during the swing phase of walking. Differences in joint kinetics during stance, however, were smaller than those observed during swing. Therefore, researchers focusing on the swing phase of walking should consider the impact of prosthesis inertia property estimates on study outcomes. For stance, either one of the two inertial models investigated in our study would likely lead to similar outcomes with an inverse dynamics assessment