Historical Simulation for Commodities

Course Overview

In recent months, commodities have experienced considerable price gains and as a result have also led to series of risk management considerations. The Webinar focuses on the calculation of VaR and economic capital, where the statistical properties of commodities prices motivate the use of historical simulation. The Webinar will also cover implementation problems analysts may encounter when modeling commodities, such as the effect of the roll and the basis, and the methodological problems when modeling physical commodity prices using futures.