## A copula-based simulation model for supply portfolio riskSak, Halis and Haksöz, Çağrı (2011)
## AbstractA copula-based simulation model for supply portfolio risk in the presence of dependent breaches of contracts is introduced in this paper. We demonstrate our method for a supply-chain contract portfolio of commodity metals traded at the London Metal Exchange (LME). The analysis of spot price data on six LME commodity metals leads us to use a t-copula dependence structure with t-marginals and generalized hyperbolic marginals for the log returns. We also provide efficient simulation algorithms using importance sampling for the normal and t - copula dependence structure to quantify risk measures, supply-at-risk and conditional supply-at-risk. Numerical examples on a portfolio of six commodity metals demonstrate that our proposed method succeeds in decreasing the variance of the simulations. A numerical sensitivity analysis for the choice of the copula function is also provided. To the best of our knowledge, this is the first paper proposing efficient simulation algorithms on a supply-chain contract portfolio that has a copula-based dependence structure with generalized hyperbolic marginals.
## Available Versions of this Item- A copula-based simulation model for supply portfolio risk. (deposited 21 Jan 2011 09:09)
- A copula-based simulation model for supply portfolio risk. (deposited 28 Jan 2011 09:50)
- A copula-based simulation model for supply portfolio risk. (deposited 31 May 2011 10:36)
- A copula-based simulation model for supply portfolio risk. (deposited 19 Oct 2011 15:50)
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- A copula-based simulation model for supply portfolio risk. (deposited 19 Oct 2011 15:50)
- A copula-based simulation model for supply portfolio risk. (deposited 31 May 2011 10:36)
- A copula-based simulation model for supply portfolio risk. (deposited 28 Jan 2011 09:50)
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