Proceedings of the 8th Annual Meeting of Risk Analysis Council of China Association for Disaster Prevention (RAC 2018)

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

Authors
Lei Xu, Bingbing Wang
Corresponding Author
Lei Xu
Available Online October 2018.
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/).

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Volume Title
Proceedings of the 8th Annual Meeting of Risk Analysis Council of China Association for Disaster Prevention (RAC 2018)
Series
Advances in Economics, Business and Management Research
Publication Date
October 2018
ISBN
10.2991/rac-18.2018.111
ISSN
2352-5428
DOI
10.2991/rac-18.2018.111How to use a DOI?
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/).

Cite this article

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  -