文章基本信息

标题：Análise de risco para o café em Minas Gerais
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作者：Rugani, Felipe do Lago ; Silveira, Suely de Fatima Ramos
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2006
卷号：37
期号：SUPPL
出版社：Food Distribution Research Society
摘要：The coffee is one of the most important products in the economy of Minas Gerais. In some specific places it has a great importance in the local production, but in any place the economic players involved in that market have the same trouble: the share of risk taken by them. Therefore, would be really important, and useful, to calculate the risk share of each player. Than, this article showed the risk amount absorbed by the players in the coffee market of Minas Gerais, based in the prices paid in the south of that state, the greatest region producer, trough two models of Value at Risk (VaR), the Normal Model and the Historic Simulation Model. The results shows a risk absorbed about 17,28%, with 95% of sure, and 24,60% with 99% of sure, both of them in a thirty days exposure, calculated by the Historic Simulation VaR Model, which was the most trustable, with less exceptions. Besides, the compare between the risks of coffee, Ibovespa and dollar, all of them calculated by VaR Historic Simulation, evidence the coffee as the most risk full of them, with the greatest amount of risk value.
关键词：Risk Management;VaR;Coffee