Downside Risk in Tomato Markets in Karnataka: A Tail-Risk Analysis: 26225
Price: ₹ 1000
https://doi.org/10.35716/IJED-26225
Author: Suman, L., M. N. Venkataramana, G.M. Gaddi, M. N. Thimmegowda and G. Basavaraj
Author Address: University of Agricultural Sciences, GKVK, Bengaluru-560 065 (Karnataka)
Abstract
exposure to adverse
market conditions. This study estimated downside risk for weekly tomato prices
and arrivals across major markets in Karnataka using value-at-risk methodologies,
at a 95 per cent confidence level. Actual returns distribution parameters were plugged
into risk estimation to improve model accuracy. Kupiec's Proportion-of-Failure
test for model evaluation indicated that Monte Carlo VaR performed best across
all markets, with actual breach rates of 5.43 and 6.09 per cent in Kolar and
Chintamani, both close to the theoretical 5 per cent threshold. CVaR breach
rates ranged from 2.66 (Kolar) to 3.96 per cent (Bagepalli), well below the expected
rate, confirming its reliability in capturing extreme tail risk. By applying
financial risk measurement tools to agricultural markets, this study provided
empirical evidence to inform the design of price stabilisation measures, early
warning systems, and risk-informed governance frameworks for Karnataka's tomato
sector.
Keywords
Downside price risk, expected shortfall,
Monte Carlo, tomato price, value-at-risk.
JEL Codes
C53, C58, Q13, Q14.