In this paper we propose the GHADA risk management model that is based on the gener- alized hyperbolic (GH) distribution and on a nonparametric adaptive methodology. Com- pared to the normal distribution, the GH distribution possesses semi-heavy tails and repre- sents the financial risk factors...

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence as univariate function estimation. For the...

Over recent years, study on risk management has been prompted by the Basel committee for regular banking supervisory. There are however limitations of some widely-used risk management methods that either calculate risk measures under the Gaussian distributional assumption or involve numerical...

The aim of this work is to use a new modelling technique for CO2 emission prices, in order to estimate the risk associated with a related, structured product. After a short discussion of the specificities of this market, we investigate several modelling methods for CO2 emission prices. We use...

Water use efficiency data was used to estimate the impact of reducing sales water allocations on a range of irrigated dairy farms categorised according to intensity of water right. The expected deficiency in available water was estimated for each farm category on the basis of historical demand...

Under the National Drought Policy launched in 1992, drought was to be regarded as a normal feature of the operating environment for Australian farmers with an increased emphasis on improved drought preparation and self-reliance. Assistance provisions in the case of 'exceptional' droughts were to...

In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several families of copulas are fitted and...

Business risk management (BRM) continues to be the central objective of agricultural policy in many countries, including Canada and the US. The unprecedented volatility that has characterized the farming sector in recent years is only expected to rise. Thus, governments continue to implement...

Brazilian coffee farmers use future markets in a very restricted way, which does not follow the high optimal hedge ratio observed in minimum variance models. Reasons for the low use are associated to producers and their business characteristics, their preferences about risk management tool and...

In this paper, we develop the idea that firm sizes evolve as log Brownian motions dSt = St(σdWt + μdt) where the constants μ, σ are characteristics of the firm, chosen from some distribution, and that the firms are wound up at some random time. At any given time, we see a firm of a given...