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- W1595989723 abstract "We introduce a copula-based simulation model for supply portfolio risk in the presence of dependent breaches of contracts. 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 of six LME commodity metalsgives us the motive to use a t-copula dependence structure with the t and the generalized hyperbolic marginals for the log-returns. We also provide an efficient simulation algorithm using importance sampling to quantify risk measures, supply-at-risk (SaR) and conditional supply-at-risk (cSaR). Numerical examples on a portfolio of six commodity metals demonstrate that our proposedmethod succeeds in decreasing the variance of the simulations. To our knowledge, this is the first paper proposing efficient simulation algorithms on a supply chain contract portfolio having a copula-based dependence structure with the generalized hyperbolic marginals." @default.
- W1595989723 created "2016-06-24" @default.
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- W1595989723 date "2011-09-01" @default.
- W1595989723 modified "2023-10-13" @default.
- W1595989723 title "A copula-based simulation model for supply portfolio risk" @default.
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- W1595989723 doi "https://doi.org/10.21314/jop.2011.093" @default.
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