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,

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,

An annotated bibliography of C. C. Uhlenbeck's writings on Basque (1888-1981)

This bibliography aims at presenting all of C. C. Uhlenbeck's publications on all aspects of the Basque language and the Basques in chronological order, including translations. The bibliography lists close to 100 items. Not all publications deal exclusively with Basque. We have also listed publications in which Basque is discussed in a wider context

Lecanosticta acicola (Ascomycota) causing brown spot needle blight on Atlas cedar (Cedrus atlantica) in Germany

Der Pilz Lecanosticta acicola (Thüm.) Sydow verursacht die Nadelbräune an Bäumen aus der Gattung Pinus und Cedrus. An Kiefern ist er in Deutschland bereits seit 1994 bekannt. Hier wird über seinen ersten Nachweis an Atlas-Zeder in Deutschland berichtet.The fungus Lecanosticta acicola (Thüm.) Sydow causes needle blight on trees of the genera Pinus and Cedrus. On pines, it has been known in Germany since 1994. Here, its first detection on Atlas cedar in Germany is reported

Verbannte Muse

Die vorliegenden Essays wollen einen Beitrag leisten zur Erschließung der russischen Emigrantenlyrik, eines noch immer wenig untersuchten Teilbereichs der russischen Literatur. Sie enthalten biographische Porträts sowie Darstellungen der poetischen Entwicklung von zehn Dichtern, wobei die wichtigsten Momente in der Rezeptionsgeschichte, Memoirenliteratur und aktuelle Forschungsbeiträge berücksichtigt worden sind