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Extreme Measures of Agricultural Financial Risk

  • Cotter, John
  • Dowd, Kevin
  • Morgan, C. Wyn

This paper is from the Centre for Financial Markets (CFM) Working Paper series at University College Dublin.

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Paper provided by Agecon Search in its series Miscellaneous Papers with number 101971.

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Date of creation: 2008
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Handle: RePEc:ags:miscpa:101971
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  1. Mario J. Miranda & Joseph W. Glauber, 1997. "Systemic Risk, Reinsurance, and the Failure of Crop Insurance Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 79(1), pages 206-215.
  2. Mark R. Manfredo & Raymond M. Leuthold, 2001. "Market risk and the cattle feeding margin: An application of Value-at-Risk," Agribusiness, John Wiley & Sons, Ltd., vol. 17(3), pages 333-353.
  3. John Cotter, 2011. "Varying the VaR for Unconditional and Conditional Environments," Working Papers 200419, Geary Institute, University College Dublin.
  4. Colin A. Carter & Aaron Smith, 2007. "Estimating the Market Effect of a Food Scare: The Case of Genetically Modified StarLink Corn," The Review of Economics and Statistics, MIT Press, vol. 89(3), pages 522-533, August.
  5. Ben White & P. J. Dawson, 2005. "Measuring Price Risk on UK Arable Farms," Journal of Agricultural Economics, Wiley Blackwell, vol. 56(2), pages 239-252.
  6. Odening, M. & Mußhoff, O., 2002. "Value at Risk – ein nützliches Instrument des Risikomanagement in Agrarbetrieben?," Proceedings "Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.", German Association of Agricultural Economists (GEWISOLA), vol. 37.
  7. Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July.
  8. Fishburn, Peter C, 1977. "Mean-Risk Analysis with Risk Associated with Below-Target Returns," American Economic Review, American Economic Association, vol. 67(2), pages 116-26, March.
  9. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
  10. Carter, Colin A. & Smith, Aaron D., 2004. "The Market Effect of a Food Scare: The Case of Genetically Modified StarLink Corn," Working Papers 11997, University of California, Davis, Department of Agricultural and Resource Economics.
  11. Siaplay, Mounir & Nganje, William E. & Kaitibie, Simeon, 2005. "Value-At-Risk And Food Safety Losses In Turkey Processing," Agribusiness & Applied Economics Report 23556, North Dakota State University, Department of Agribusiness and Applied Economics.
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