کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5053423 1476518 2015 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Stress-testing for portfolios of commodity futures
ترجمه فارسی عنوان
استرس تست برای اوراق بهادار آینده کالا
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


- We performed stress-testing for a portfolio of commodity futures.
- We identified extreme events that impacted commodity prices and correlations.
- Methodologically extreme value theory and copula functions have been employed.
- We show the need for forward-looking stress testing techniques.
- We confirm requirements on stress-testing from Basel III.

In this paper, we perform stress-testing for a portfolio of commodity futures which mimics the dynamics of the DJ-UBS index. We identify extreme events that impacted commodity prices over time and look at correlation structures in a dynamic way, with copula functions. In line with Basel III financial regulations, we derive baseline, historical, and hybrid scenarios and discussed their advantages and shortfalls. We find that the financialization of commodity markets led to an increase in correlations and in the probability for joint extremes. However, we identify structural breaks in commodity markets that temporarily led to a breakdown of expected statistical patterns and of traditional dependence structures among commodities. This fact shows the need for forward-looking stress testing techniques, like hybrid and hypothetical scenarios, as encouraged by financial regulators.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 50, November 2015, Pages 9-18
نویسندگان
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