Market Risk Measurement and the Cattle Feeding Margin: An Application of Value-at-Risk

  • Mark R. Manfredo, Raymond M. Leuthold
  • Published 1999

Abstract

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 implies that overall portfolio losses should not exceed 1… (More)

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Cite this paper

@inproceedings{Manfredo1999MarketRM, title={Market Risk Measurement and the Cattle Feeding Margin: An Application of Value-at-Risk}, author={Mark R. Manfredo and Raymond M. Leuthold}, year={1999} }