Motivation Models and Methodology Application Conclusion Risk assessment in commodity markets with semi-nonparametric specifications Esther B. Del Brio, Andr´ es Mora-Valencia, Javier Perote I Network de M´ etodos Cuantitativos en Econom´ ıa - AFADECO, November 10, 2017 Afadeco November 10,2017 Risk assessment in commodity markets
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Risk assessment in commodity markets with semi-nonparametric specifications
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MotivationModels and Methodology
ApplicationConclusion
Risk assessment in commodity markets withsemi-nonparametric specifications
Esther B. Del Brio, Andres Mora-Valencia, Javier Perote
I Network de Metodos Cuantitativos en Economıa - AFADECO, November 10,2017
Afadeco November 10,2017 Risk assessment in commodity markets
MotivationModels and Methodology
ApplicationConclusion
Outline
1 Motivation
2 Models and Methodology
3 Application
4 Conclusion
Afadeco November 10,2017 Risk assessment in commodity markets
MotivationModels and Methodology
ApplicationConclusion
Introduction
Commodity prices experienced a boom in the mid-2000s.
With the boom of commodity prices, several ExchangeTraded Funds (ETFs) were created in order to track the priceof main commodities such as gold, silver and oil.
Financial institutions and regulators - e.g. Financial StabilityBoard (FSB) and Bank for International Settlements (BIS) -expressed their concerns about the potential systemicimpact of the ETFs industry in 2011.
Commodity assets may present higher volatilities than equityassets even in “relatively” calm periods.
Recently, there has been a sharp decline in the price ofthese assets affecting developed markets based on mining andenergy industries like Canada and Australia, based metalsbusinesses in Deutsche Bank and JP Morgan, among others .
Afadeco November 10,2017 Risk assessment in commodity markets
MotivationModels and Methodology
ApplicationConclusion
Risk Measures
Value-at-risk (VaR) has been the standard market riskmeasure to assess regulatory capital requirements since 1996.
VaR has been criticized since they do not fulfill thesubadditivity property and its inability to accurately capturetail risk.