Measuring market risk for an agricultural exporter firm: a Copula approach

作者：Fernandez Julian

来源：Academia-Revista Latinoamericana de Administracion, 2017, 30(1): 72-86.

DOI：10.1108/ARLA-09-2015-0254

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<jats:title content-type="abstract-subheading">Purpose</jats:title>
<jats:p>The purpose of this paper is to analyse the effect of market risk on the revenues perceived by an agricultural producer, namely, a coffee exporter firm.</jats:p>
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<jats:title content-type="abstract-subheading">Design/methodology/approach</jats:title>
<jats:p>To model this risk, copula models and extreme value theory are used to perform more robust estimations, which take into account the multivariate dependence between the risk factors. As a final point, different quantitative measures of risk, such as the value at risk and the expected shortfall, are estimated as an indicator of the maximum expected loss.</jats:p>
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<jats:title content-type="abstract-subheading">Findings</jats:title>
<jats:p>One of the principal findings is that for an agricultural exporter firm, there is an optimal decision between exporting to another country and selling the commodity in the national market. The choice regarding the levels exported will determine the firm’s amount of risk and expected return.</jats:p>
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<jats:title content-type="abstract-subheading">Research limitations/implications</jats:title>
<jats:p>One of the limitations found in modelling the risk/return of the firm is the data. Not much data on the structure of the firm can be found, and many of the firms are averse to providing such information.</jats:p>
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<jats:title content-type="abstract-subheading">Practical implications</jats:title>
<jats:p>The purpose of the paper is to create a measure of risk to analyse the future of the firm, generating a measure of expected risk and return that takes into account the uncertainty of the future. The applications can be applied to measure the risk of a potential investment and real option valuation.</jats:p>
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<jats:title content-type="abstract-subheading">Originality/value</jats:title>
<jats:p>This paper applied multiple coherent measures of financial risk to an agricultural commodity exporter firm. This can be novel, especially in the context of a non-financial firm.</jats:p>
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• 出版日期2017