Considerable research effort has focused on the forecasting of asset return volatility. Debate in this area centers around the performance of time series models, in particular GARCH, relative to implied volatility from observed option premiums. Existing literature suggests that the performance...

Value-at-Risk, known as VaR, gives a prediction of potential portfolio losses, with a certain level of confidence, 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...

Value-at-Risk (VaR) determines the probability of a portfolio of assets losing a certain amount in a given time period due to adverse market conditions with a particular level of confidence. Value-at-Risk has received considerable attention from financial economists and financial practitioners...

Several explanations for merger activity exist for publicly traded firms, but none consider the unique aspects of cooperatives. This study develops a test for the hypothesis that cooperative consolidation occurs primarily in response to capital constraints associated with a lack of access to...

Agricultural cooperatives, like all agribusinesses, operate in an inherently risky environment. Many risk management tools exist, but agricultural cooperatives have been slow to adopt sophisticated risk management practices. Using simulation methods, this paper presents insight into how both...

Value-at-Risk (VaR) determines the probability of a portfolio of assets losing a certain amount in a given time period due to adverse market conditions with a particular level of confidence. Value-at-Risk has received considerable attention from financial economists and financial practitioners...