Autokorrelationen bei der Messung von Marktpreisrisiken (Autocorrelations in Market Price Risk Assessment)

2013 ◽  
Author(s):  
Bernhard Kuebler ◽  
Peter Ruckdeschel
Keyword(s):  
Risk Assessment ◽  
Market Price ◽  
Price Risk

scholarly journals PROBABILISTIC APPROACH TO MEASURING PRICE RISK OF THE ENTERPRISE

2021 ◽  
Vol 138 (4) ◽  
pp. 19-35
Author(s):  
MAKARCHUK Ivan ◽  
FEDULOVA Iryna
Keyword(s):  
Risk Assessment ◽  
Distribution Function ◽  
Probability Distribution ◽  
Risk Analysis ◽  
Probabilistic Approach ◽  
Market Price ◽  
Random Variables ◽  
Risk Level ◽  
Price Risk ◽  
Key Indicators

Background. Every manager faces analyzing problem and forecasting indicators in the process of making management decisions that are random variables, and therefore they are associated with risk and uncertainty. Their realization is possible in the future, but today we need to understand the risk level that can be encountered in the activity process and prepare for it in advance. Analysis of recent research and publications has shown that probabilistic approach is the most commonly used tool for risk assessment and it is based on probability theory. The aim of the article is to consider the tools of the probabilistic approach to riska ssessment. According to this approach, risk assessment is carried out for products price that have a normal law distribution and for which we can use an integrated probability distri­bution function and the key indicators that underlie its structure. Materials and methods. The methodological basis of risk analysis by the probabilistic approach is the consideration of the initial data as expected values of some random variables with known laws of probability distribution. Results. The use of tools of probabilistic approach to risk assessment of product pricing is considered. It is based on the assumption that a normal probability distribution law, an integral probability distribution function, and the key indicators that underlie its construction can be used to analyze market price risk. Conclusion. Probabilistic approach allows with minimal effort to understand the probability of obtaining the desired result, which is related to the purpose of the enterprise, or which result can be obtained with the desired probability and determine their acceptability. Keywords: risk, risk analysis, risk assessment, probabilistic approach, integral pro­bability distribution function.

scholarly journals Evaluation of Selected Fresh Vegetable Terminal Markets: A Stochastic Dominance Approach

1990 ◽  
Vol 22 (2) ◽  
pp. 39-48 ◽  
Author(s):  
Roger Hinson ◽  
Mooyul Huh ◽  
John G. Lee
Keyword(s):  
Stochastic Dominance ◽  
Market Price ◽  
Price Risk ◽  
Vegetable Production ◽  
Vegetable Crops ◽  
Market Selection ◽  
Price Variability ◽  
Cash Crop ◽  
Row Crops ◽  
Fresh Vegetable

Abstract Vegetable production can offer a high-valued cash crop alternative. While returns may be high, vegetables are perceived to have more risk than conventional row crops. This study used stochastic dominance analysis to evaluate terminal market price risk for four vegetable crops across five market locations. Results from the analysis identify differences in efficient market selection depending on the form which price risk follows. While vegetables as a whole are considered risky, substantial differences in the type of terminal market price variability existed between the commodities.

scholarly journals The Possibilities of Futures and Option Hedge in Price Risk Management for GrainProduction

2003 ◽  
pp. 72-80
Author(s):  
László Kozár
Keyword(s):  
Risk Management ◽  
Market Price ◽  
Price Risk ◽  
Market Prices ◽  
Additional Advantage ◽  
Market Strategy ◽  
Futures Contract ◽  
Real Market ◽  
Price Risk Management

The greataest risk tograin production is fluctuation in market prices, which is over 50% over the course of a year; and year by year, as well. There are real market circumstances in the grain market, instead of state guaranteed fix prices, which was the norm under the former political system.According to the general opinion of producers, losses come from their defencelessness against buyers. The real situation is that price risk can be managed by suitable market strategy, and loss production can be avoided.Hungary has a futures market (which is organized according to the CBOT system) in the grain sector, which is an unique institute in Europe. This organisation is suitable for hedge businesses and it has convenient technical and institutional background.There are two possibilities to make hedge business. One of them is the short hedge with futures contract when the producer sells his product for long term if an acceptable profit is included in market price. In this case seller can protect himself against low market prices.This technique can be considered as professional for price risk management, but possibly has financial cost because of the weak financial situation of Hungarian producers this solution seems expensive for them.There is an other possibility in the Commodity Exchange for manage price risk, that is the option technique. This solution is suitable for insure prices as well, and has an other additional advantage, namely: there is no financial costs in this case.

scholarly journals Comparison of Management Techniques for Broccoli Production Using a Systems Approach

HortScience ◽  
1991 ◽  
Vol 26 (5) ◽  
pp. 599-602 ◽  
Author(s):  
S.B. Sterrett ◽  
C.W. Coale ◽  
C.P. Savage
Keyword(s):  
Systems Approach ◽  
Market Price ◽  
Direct Seeding ◽  
Price Risk ◽  
Economic Aspects ◽  
Plant Establishment ◽  
Target Populations ◽  
Yield Risk ◽  
Management Techniques ◽  
Early Harvest

A systems approach that included production and economic aspects was used to assess broccoli potential as an alternate enterprise for eastern Virginia. Broccoli yield and head quality were improved with 96,400 plants/ha compared to 64,500 plants/ ha. While target populations for the early harvest were achieved with either transplants or direct seeding, plant establishment was significantly reduced for direct-seeding in the main-season harvest (85% vs. 95% for transplants). Increased cost of production with transplants resulted in reduced enterprise profit (before taxes) in the early harvest, while improved plant establishment and increased yield with transplants resulted in increased enterprise profit in the main-season harvest. The systems approach assessed market price risk through estimated revenue and yield risk, providing the information needed by growers for risk management decisions associated with broccoli as an alternate enterprise.

Characteristics of real backdaters

2017 ◽  
Vol 24 (4) ◽  
pp. 541-551
Author(s):  
Kienpin Tee ◽  
Marilyn Wiley
Keyword(s):  
Stock Price ◽  
Market Price ◽  
Stock Option ◽  
Shareholder Wealth ◽  
Operating Efficiency ◽  
Price Risk ◽  
Bankruptcy Risk ◽  
Content Type ◽  
Non Profit ◽  
Sarbanes Oxley

Purpose Recent findings show that CEOs tend to backdate their stock option grants so that a past date on which the stock price was particularly low is picked to be the grant date. Using cases now settled concerning a group of firms that were caught backdating, this paper aims to examine further whether backdating firms have higher levels of operating efficiency and corporate governance, lower levels of bankruptcy risk, more ability to increase shareholder wealth, and lower levels of market price risk. This paper also compares the characteristics of backdating firms during the pre-Sarbanes-Oxley Act of 2002 (SOX) and post-SOX periods. Design/methodology/approach This sample of backdater firms comprises those caught backdating who have settled their cases, according to data provided by Risk Metrics Group, a non-profit organization that keeps track of most securities class actions. A matched sample of 28 non-backdating, comparison-group firms was constructed to perform univariate and multivariate comparisons. Findings This study found that backdating firms on average have a higher price risk than non-backdating firms, and that increasing the percentage of shares owned by the major shareholders reduces the possibility of management conducting backdating activities. Originality/value No previous studies have used a sample of real backdating culprits. Previous studies have usually used likely backdating traits to identify a group of suspected backdaters. In contrast, the current study, by using a group of firms whose deliberate backdating behavior had led to lawsuits that have been settled in court, investigated the characteristics of known backdaters.

scholarly journals Problem of Companies Financial Analyses Derivatives Evaluation

2014 ◽  
Vol 5 (2) ◽  
pp. 717-722
Author(s):  
Abdullah Ibrahim Nazal
Keyword(s):  
Monetary Policy ◽  
Credit Risk ◽  
Market Price ◽  
Product Market ◽  
Price Risk ◽  
Currency Risk ◽  
Current Time ◽  
Financial Report ◽  
New Type ◽  
Financial Analyses

This article concentrates on derivatives evaluation in financial report. As result to search, derivatives have negative affection and positive affection practically. Derivatives have cost in current time but return in future is not clear because of expecting possibility. In spite of its cost it must give value to increase assets value or reduce liabilities value or reduce cost or reduce tax or make profit at time of making financial report. Negative affection comes from transfer risk of loss which transfers loosing responsibility it added new type of risk. By comparing between derivatives and traditional choices to face risk, there is different in evaluation as result to degree of responsibility, source of its value, Liquidity, currency risk, product market price risk, credit risk and linked with other selling contract risk. Searcher recommended to reduce ignorance by explains the real looser and looser ability to buy loss which limit derivatives transfer loss in order to make financial report useful. Its difficulty comes from promising to give product and promising to buy price in future regardless of loss which needs grantee to apply promising or give suitable compensation. Some things consider as standards may not accept expecting rules for pricing as some currencies price which just apply by monetary policy.

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