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Commodity swap?

3 messages · Christofer Bogaso, Robert Iquiapaza

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Hi, currently I am working on commodity swap. Can anyone provide me some good
references on Risk management for commodity sawp i.e. how to calculate Value
at Risk for a portfolio having atleast one position in commodity swap,
decomposition of risk etc under various methodologies like parametric,
simulation etc? Any good book and/or online references will be highly
appreciated. Is there any implementation on R itself?

Also, if possible, information on where to get data on commodity swap over
net.

Thanks and regards,
6 days later
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Any suggestion/reference please?
Bogaso wrote:

  
    
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Maybe this book is useful

Measuring market risk with value at risk
by Pietro Penza, Vipul K. Bansal

Good luck

--------------------------------------------------
From: "Bogaso" <bogaso.christofer at gmail.com>
Sent: Thursday, March 12, 2009 11:02 AM
To: <r-sig-finance at stat.math.ethz.ch>
Subject: Re: [R-SIG-Finance] [R-sig-finance] Commodity swap?