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Assessment of Price Risk on Agricultural Inventory Credit under Sparse Data Conditions

Author

Listed:
  • David Magaña Lemus

    (FIRA)

Abstract

El crédito prendario es ampliamente utilizado como un instrumento para satisfacer las necesidades de capital de trabajo. Existen metodologías para evaluar el riesgo de precio para estos esquemas crediticios, tales como modificaciones de valor en riesgo (VaR ) . La mayoría de estos métodos se basan en supuestos de distribución. Sin embargo, cuando el número de observaciones es bajo es difícil refugiarse en el teorema del límite central. La contribución de este trabajo es proponer una metodología para estimar el riesgo de precios a la baja, incluso en presencia de datos escasos. El uso de la metodología se ilustra con el análisis de precios para un producto en particular. El propósito de este modelo de simulación es proporcionar información de apoyo para la toma de decisiones en los procesos de concesión de crédito.

Suggested Citation

  • David Magaña Lemus, 2016. "Assessment of Price Risk on Agricultural Inventory Credit under Sparse Data Conditions," Economia y Sociedad., Universidad Michoacana de San Nicolas de Hidalgo, Facultad de Economia, issue 34, pages 106-118, Enero-Jun.
    • Handle: RePEc:qui:ecosoc:y:2016:i:34:p:106-118
    as

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    File URL: http://economiaysociedad.umich.mx/ojs_ecosoc/index.php/ecosoc/article/download/160/154
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    References listed on IDEAS

    as
    1. Horowitz, Joel L., 1993. "Semiparametric estimation of a work-trip mode choice model," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 49-70, July.
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    More about this item

    Keywords

    crédito prendario; evaluación de riesgo precio; métodos no paramétricos; simulación;
    All these keywords.

    JEL classification:

    • B41 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Economic Methodology
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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