Measurement and Research of Fluctuation Risk of
China Fruit Market Price based on VaR

WANG Chuan, ZHAO Junye, HUANG Min

Agricultural Information Institute of Chinese Academy of Agricultural Science
Key Laboratory of Digital Agricultural Early-warning
Technology Ministry of Agriculture, P.R. China

Abstract:
Price fluctuation risk of agricultural products has become one of the main risks faced by agricultural producers, the premise of carrying out market risk management is to accurately measure the size of the risk and assess the degree of the risk. In this paper, using VaR method, launched measurement and analysis of fruit market price risk with fuji apple, orange, banana, pear, grape, watermelon, strawberry etc 7 species of fruit as empirical study object. Empirical result shows that the normal distribution is not the best distribution model that fit fruit market risk, different fruit has different degree of market risk, strawberry and watermelon belong to high risk level fruit, apple, banana and pear belongs to relatively low risk level, grape and orange belong to middle risk level fruit. Research found that the fruit which belong to the same market risk level have similar features. So, when carrying out fruit market risk management, it is necessary to carry out risk monitoring with variety or type as a unit based on above research result to make market risk management work has clear target, this can save management cost and in the same time substantially improve the efficiency of risk management.

Keywords: Fruit, Market Risk, Risk Measurement, VaR