Value-at-Risk in Bakery Procurement
AbstractThis case study applies value-at-risk methods to a bread baking company to illustrate how it can be used by a commodity processor in reporting risk, evaluating risk reduction alternatives, and setting risk limits. Results indicate that value-at-risk can be a useful tool for managing the price risk exposure in this agricultural processing firm. It provides a single measure of risk exposure and accounts for the multitude of inputs that are correlated and impact the firm's risk. Value-at-risk provides an effective tool in setting risk limits, but should be complimented with management goals, competition, and conduct within the industry. Copyright 2007, Oxford University Press.
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Bibliographic InfoArticle provided by Agricultural and Applied Economics Association in its journal Review of Agricultural Economics.
Volume (Year): 29 (2007)
Issue (Month): 3 ()
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- Abdoul G. Sam, 2010. "Nonparametric estimation of market risk: an application to agricultural commodity futures," Agricultural Finance Review, Emerald Group Publishing, vol. 70(2), pages 285-297, August.
- Al Janabi, Mazin A.M., 2012. "Optimal commodity asset allocation with a coherent market risk modeling," Review of Financial Economics, Elsevier, vol. 21(3), pages 131-140.
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