scholarly journals On Approximate Pricing of Spread Options via Conditional Value-at-Risk

2021 ◽  
Vol 9 (3) ◽  
pp. 27-51
Author(s):  
C. Maksimov ◽  
A. Melnikov
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
Spread Options ◽  
Basel Accords ◽  
Risk Pricing ◽  
Exact Calculations ◽  
Risk Methodology ◽  
Price Spread

It is widely accepted to use conditional value-at-risk for risk management needs and option pricing. As a rule, there are difficulties in exact calculations of conditional value-at-risk. In the paper, we use the conditional value-at-risk methodology to price spread options, extending some approximation approaches for these needs. Our results we illustrate by numerical calculations which demonstrate their effectiveness. We also show how conditional value-at-risk pricing can help with regulatory needs inspired by the Basel Accords.

The Value-at-Risk Methodology of Basel II and Basel III

2014 ◽  
pp. 100-114 ◽  
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Value At Risk ◽  
Basel Ii ◽  
Risk Measurement ◽  
Capital Adequacy ◽  
Basel Iii ◽  
Regulatory Capital ◽  
Advantages And Disadvantages ◽  
Risk Methodology

This chapter examines the advantages and disadvantages of the risk estimate approach—Value-at-Risk (VaR) which has been extensively embraced by regulators and practitioners in financial markets under the Basel II & III framework as the basis of risk measurement, both for the purpose of ensuring regulatory capital adequacy, and risk management and strategic planning at industry level.

scholarly journals Risk assessment for ancillary services

2019 ◽  
Vol 9 (3) ◽  
pp. 1561
Author(s):  
Omer Hadzic ◽  
Smajo Bisanovic
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Power System ◽  
Value At Risk ◽  
Financial Risk ◽  
Risk Measures ◽  
Ancillary Services ◽  
Conditional Value At Risk ◽  
Risk Optimization ◽  
System Risk

The power trading and ancillary services provision comprise technical and financial risks and therefore require a structured risk management. Focus in this paper is on financial risk management that is important for the system operator faces when providing and using ancillary services for balancing of power system. Risk on ancillary services portfolio is modeled through value at risk and conditional value at risk measures. The application of these risk measures in power system is given in detail to show how to using the risk concept in practice. Conditional value at risk optimization is analysed in the context of portfolio selection and how to apply this optimization for hedging a portfolio consisting of different types of ancillary services.

scholarly journals Investigating the agricultural losses due to climate variability: An application of conditional value-at-risk approach

2021 ◽  
pp. 71-78
Author(s):  
Sukono Sukono ◽  
Riaman Riaman ◽  
Sudradjat Supian ◽  
Yuyun Hidayat ◽  
Jumadil Saputra ◽  
...  
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Climate Variability ◽  
Value At Risk ◽  
Agricultural Sector ◽  
Risk Measure ◽  
Planting Date ◽  
Conditional Value At Risk ◽  
Climate Index ◽  
Agricultural Insurance

The agricultural sector is directly affected by climate variables. The presence of climate variability causes a considerable risk to agricultural productivities. Thus, risk management is an alternative to reduce risks, including optimizing the allocation of farmland and choosing crop insurance for a specific planting date. The purpose of this study is to investigate the agricultural risk management through risk measure of climate variability using the Conditional Value-at-Risk (CVaR) in rice production. This paper investigated several possible considerations of agricultural insurance premiums based on losses climate index. We concluded that the climate index insurance policy is the best choice that farmers can choose for each planting date, the higher the significance value considered, the more the value of Value-at-Risk and Conditional Value-at-Risk.

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