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Value at Risk

In: The Baltic Dry Index

Author

Listed:
  • José Ramón San Cristóbal

    (University of Cantabria, Nautical School)

Abstract

In the specific case of the shipping freight market, a possible method of measuring risk is the evaluation of losses likely to be incurred when the Baltic Dry Index falls. To measure how much we could lose in the shipping industry over a given period, we incorporate two concepts in our analysis, the Value at Risk and the Expected Shortfall. These two concepts give us a sense of the tail risk in the probability distribution function of the Baltic Dry Index returns. In this chapter, we first introduce different methods to calculate the Value at Risk and the Expected Shortfall. Subsequently, some of these methods are applied to the Baltic Dry Index using the functions that the RStudio program offers.

Suggested Citation

  • José Ramón San Cristóbal, 2026. "Value at Risk," Contributions to Economics, in: The Baltic Dry Index, chapter 6, pages 81-94, Springer.
    • Handle: RePEc:spr:conchp:978-3-032-21073-9_6
    DOI: 10.1007/978-3-032-21073-9_6
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