### Abstract

Value-at-Risk, known as VaR, gives a prediction with a certain level of confidence of potential portfolio losses that may be encountered over a specified time period due to adverse price movements in the portfolio’s assets. For example, a VaR of 1 million dollars at the 95% level of confidence implies that overall portfolio losses should not exceed 1 million dollars more than 5% of the time over a given holding period. This research examines the effectiveness of VaR measures, developed using alternative estimation techniques, in predicting large losses in the cattle-feeding margin. Results show that several estimation techniques, both parametric and nonparametric, provide well-calibrated estimates of VaR such that violations (losses exceeding the VaR estimate) are commensurate with the desired level of confidence. In particular, estimates developed using the RiskMetrics™ method appear robust for instruments that have linear payoff structures such as cash commodity prices.

Original language | English (US) |
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Pages (from-to) | 333-353 |

Number of pages | 21 |

Journal | Agribusiness |

Volume | 17 |

Issue number | 3 |

DOIs | |

State | Published - Jun 2001 |

### ASJC Scopus subject areas

- Food Science
- Geography, Planning and Development
- Animal Science and Zoology
- Agronomy and Crop Science
- Economics and Econometrics

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## Cite this

*Agribusiness*,

*17*(3), 333-353. https://doi.org/10.1002/agr.1020