Study on Extreme Risk Evaluation of Pork Price Fluctuation in Beijing City

DOI

10.2991/rac-18.2018.111How to use a DOI?

Keywords

Pork price, Extreme risk, Peaks over threshold model, VaR, Beijing city

Abstract

In this paper, the tail distribution of pork market price fluctuation is fitted effectively based on the peaks over threshold (POT) model, and the Generalized Pareto Distribution (GPD) of extreme risk is obtained, and VaR (value at risk) method is introduced to measure the extreme risk of price fluctuation.Results show that using the POT model fromextreme value theory (EVT) to evaluate the extreme risk of pork market price is appropriate.When extreme risk in a one-hundred-year occurrence exposed to the market, the risk of surging pork price in Beijing city is higher than the downside risk, and the maximum monthly upside price reaches 35.8%, corresponding to the drop of maximum amplitude to 32.05%.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

TY  - CONF
AU  - Lei Xu
AU  - Bingbing Wang
PY  - 2018/10
DA  - 2018/10
TI  - Study on Extreme Risk Evaluation of Pork Price Fluctuation in Beijing City
BT  - Proceedings of the 8th Annual Meeting of Risk Analysis Council of China Association for Disaster Prevention (RAC 2018)
PB  - Atlantis Press
SP  - 701
EP  - 706
SN  - 2352-5428
UR  - https://doi.org/10.2991/rac-18.2018.111
DO  - 10.2991/rac-18.2018.111
ID  - Xu2018/10
ER  -