EVT in Risk Estimation on Commodities Exchanges

• Autorzy: Alicja Ganczarek-Gamrot , Dominik Krężołek , Grażyna Trzpiot
• Języki publikacji: EN

Abstrakty

EN

Extreme value theory (EVT) is used to estimate the probability of very rare or extreme events. The aim of this research is to answer the question: is EVT useful to risk estimation during unexpected market breakdowns. Based on present work of Boessenkool [2017], Busababodhin et al. [2015], Ganczarek-Gamrot, Krężołek, and Trzpiot [2021] we applied this methodology to commodity market. In analyses we used daily rates of return of commodities quotations: gold (GC), silver (SI), copper (HG), crude oil (CL), natural gas (NG), brant crude (BZ), grains like corn (ZC), soybean meal (ZM), red wheat (KE), cotton (TT), coffee (KT) and lumber (LBS). We considered value from the beginning of quotations to 23 July 2020. Value at Risk (VaR) was used to estimate the risk. VaR was calculated based on L-moments from distributions commonly used in EVT. The paper is organized as follows. The first section concerns on methodology, the second one presents empirical distributions in the period of analysis for commodities rates of return. The last one is an application of presented methodology on these markets. (fragment of text)

Słowa kluczowe

EN

Risk estimating; Stock exchange; Extreme Values Theory (EVT); Probability estimation; Commodity exchange; Rate of return

PL

Szacowanie ryzyka; Giełda; Teoria wartości ekstremalnych; Szacowanie prawdopodobieństwa; Giełdy towarowe; Stopa zwrotu

• Czasopismo: Scientific Publications / University of Economics in Katowice
• Rocznik: 2021
• Tom: Modeling of Complex Data Sets and Risk Analysis
• Strony: 95--108

Twórcy

autor

Alicja Ganczarek-Gamrot

• University of Economics in Katowice, Poland

autor

Dominik Krężołek

• University of Economics in Katowice, Poland

autor

Grażyna Trzpiot

• University of Economics in Katowice, Poland

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