{"id":"https://openalex.org/W1977408451","doi":"https://doi.org/10.1142/s0219024908004889","title":"MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH","display_name":"MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH","publication_year":2008,"publication_date":"2008-08-01","ids":{"openalex":"https://openalex.org/W1977408451","doi":"https://doi.org/10.1142/s0219024908004889","mag":"1977408451"},"language":"en","primary_location":{"id":"doi:10.1142/s0219024908004889","doi":"https://doi.org/10.1142/s0219024908004889","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0219024908004889","pdf_url":null,"source":{"id":"https://openalex.org/S173574685","display_name":"International Journal of Theoretical and Applied Finance","issn_l":"0219-0249","issn":["0219-0249","1793-6322"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Theoretical and Applied Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1079296_code83248.pdf?abstractid=988739&mirid=1&type=2","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5083427713","display_name":"Timotheos Angelidis","orcid":"https://orcid.org/0000-0002-7453-2574","observed_orcids":["https://orcid.org/0000-0002-7453-2574"]},"institutions":[{"id":"https://openalex.org/I158716096","display_name":"University of Peloponnese","ror":"https://ror.org/04d4d3c02","country_code":"GR","type":"education","lineage":["https://openalex.org/I158716096"]}],"countries":["GR"],"is_corresponding":false,"raw_author_name":"TIMOTHEOS ANGELIDIS","raw_affiliation_strings":["Department of Economics, University of Peloponnese, Greece","University of Peloponnese"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, University of Peloponnese, Greece","institution_ids":["https://openalex.org/I158716096"]},{"raw_affiliation_string":"University of Peloponnese","institution_ids":["https://openalex.org/I158716096"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5069827231","display_name":"George S. Skiadopoulos","orcid":"https://orcid.org/0000-0002-9111-2280","observed_orcids":["https://orcid.org/0000-0002-9111-2280"]},"institutions":[{"id":"https://openalex.org/I154757721","display_name":"University of Piraeus","ror":"https://ror.org/02qs84g94","country_code":"GR","type":"education","lineage":["https://openalex.org/I154757721"]},{"id":"https://openalex.org/I39555362","display_name":"University of Warwick","ror":"https://ror.org/01a77tt86","country_code":"GB","type":"education","lineage":["https://openalex.org/I39555362"]}],"countries":["GB","GR"],"is_corresponding":false,"raw_author_name":"GEORGE SKIADOPOULOS","raw_affiliation_strings":["Department of Banking and Financial Management, University of Piraeus, Greece","Financial Options Research Centre, Warwick Business School, University of Warwick, Greece","University of Piraeus#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Banking and Financial Management, University of Piraeus, Greece","institution_ids":["https://openalex.org/I154757721"]},{"raw_affiliation_string":"Financial Options Research Centre, Warwick Business School, University of Warwick, Greece","institution_ids":["https://openalex.org/I39555362"]},{"raw_affiliation_string":"University of Piraeus#TAB#","institution_ids":["https://openalex.org/I154757721"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":4.905,"has_fulltext":false,"cited_by_count":51,"citation_normalized_percentile":{"value":0.94921534,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":"11","issue":"05","first_page":"447","last_page":"469"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9345999956130981,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9345999956130981,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12276","display_name":"Risk Management in Financial Firms","score":0.03189999982714653,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.00570000009611249,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/freight-rates","display_name":"freight rates","score":0.7490000128746033},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.8619999885559082},{"id":"https://openalex.org/keywords/carriage-of-goods-by-sea","display_name":"carriage of goods by sea","score":0.42500001192092896},{"id":"https://openalex.org/keywords/backtesting","display_name":"backtesting","score":0.7749999761581421},{"id":"https://openalex.org/keywords/conditional-value-at-risk","display_name":"conditional value at risk","score":0.9929999709129333},{"id":"https://openalex.org/keywords/freight-derivatives","display_name":"freight derivatives","score":0.7789999842643738},{"id":"https://openalex.org/keywords/risk-measurement","display_name":"risk measurement","score":0.41200000047683716}],"concepts":[{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.6833907961845398},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.5316320657730103},{"id":"https://openalex.org/C2779439359","wikidata":"https://www.wikidata.org/wiki/Q317088","display_name":"Commodity","level":2,"score":0.48714515566825867},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.4658644497394562},{"id":"https://openalex.org/C2781472820","wikidata":"https://www.wikidata.org/wiki/Q2154759","display_name":"Risk measure","level":3,"score":0.4579947590827942},{"id":"https://openalex.org/C73858035","wikidata":"https://www.wikidata.org/wiki/Q1164550","display_name":"Market risk","level":2,"score":0.43555331230163574},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.43138325214385986},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4313727021217346},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.4137970805168152},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.409903883934021},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3170424699783325},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.24426037073135376},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1924504041671753},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.09794771671295166},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C77088390","wikidata":"https://www.wikidata.org/wiki/Q8513","display_name":"Database","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1142/s0219024908004889","doi":"https://doi.org/10.1142/s0219024908004889","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0219024908004889","pdf_url":null,"source":{"id":"https://openalex.org/S173574685","display_name":"International Journal of Theoretical and Applied Finance","issn_l":"0219-0249","issn":["0219-0249","1793-6322"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Theoretical and Applied Finance","raw_type":"journal-article"},{"id":"mag:1977408451","doi":null,"is_oa":true,"landing_page_url":"https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1079296_code83248.pdf?abstractid=988739&mirid=1&type=2","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},{"id":"pmh:oai:RePEc:wsi:ijtafx:v:11:y:2008:i:05:n:s0219024908004889","doi":null,"is_oa":false,"landing_page_url":"http://www.worldscientific.com/doi/abs/10.1142/S0219024908004889","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:RePEc:wsi:ijtafx:v:11:y:2008:i:05:p:447-469","doi":null,"is_oa":false,"landing_page_url":"http://www.worldscinet.com/cgi-bin/details.cgi?type=html&id=pii:S0219024908004889","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"article"}],"best_oa_location":{"id":"mag:1977408451","doi":null,"is_oa":true,"landing_page_url":"https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1079296_code83248.pdf?abstractid=988739&mirid=1&type=2","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":51,"referenced_works":["https://openalex.org/W1495020263","https://openalex.org/W1495168406","https://openalex.org/W1931411177","https://openalex.org/W1977970167","https://openalex.org/W1979575715","https://openalex.org/W1980111416","https://openalex.org/W1980133098","https://openalex.org/W1988611515","https://openalex.org/W1989899182","https://openalex.org/W1997279702","https://openalex.org/W1999029409","https://openalex.org/W1999642410","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2000842688","https://openalex.org/W2003120458","https://openalex.org/W2005424182","https://openalex.org/W2014738440","https://openalex.org/W2019291268","https://openalex.org/W2038437581","https://openalex.org/W2040503026","https://openalex.org/W2044093199","https://openalex.org/W2055130519","https://openalex.org/W2061031689","https://openalex.org/W2062776468","https://openalex.org/W2068483021","https://openalex.org/W2082811146","https://openalex.org/W2086026186","https://openalex.org/W2100406142","https://openalex.org/W2108041647","https://openalex.org/W2115989076","https://openalex.org/W2117447427","https://openalex.org/W2131288139","https://openalex.org/W2135177937","https://openalex.org/W2139804008","https://openalex.org/W2146288277","https://openalex.org/W2147317922","https://openalex.org/W2153955954","https://openalex.org/W2156908840","https://openalex.org/W2161612059","https://openalex.org/W2165963302","https://openalex.org/W2253129683","https://openalex.org/W2515568434","https://openalex.org/W3121823519","https://openalex.org/W3124680723","https://openalex.org/W3125303607","https://openalex.org/W3125696988","https://openalex.org/W3125931499","https://openalex.org/W4237694984","https://openalex.org/W4241638785","https://openalex.org/W4291327732"],"related_works":["https://openalex.org/W4225604114","https://openalex.org/W6908520273","https://openalex.org/W3206552488","https://openalex.org/W3124566862","https://openalex.org/W6991751311","https://openalex.org/W2112130275","https://openalex.org/W202456209","https://openalex.org/W2154342736","https://openalex.org/W7161481657","https://openalex.org/W2370086379"],"abstract_inverted_index":{"The":[0,110],"fluctuation":[1],"of":[2,13,43,69],"shipping":[3],"freight":[4,21,33,54,95,100,115],"rates":[5],"(freight":[6],"rate":[7,34,96,101],"risk)":[8],"is":[9,49,62,103],"an":[10],"important":[11],"source":[12],"market":[14],"risk":[15,35,102],"for":[16,56],"all":[17],"participants":[18],"in":[19,64,105,112],"the":[20,32,37,79,86,106,113],"markets":[22,55,117],"including":[23],"hedge":[24],"funds,":[25],"commodity":[26],"and":[27,45,58,72],"energy":[28],"producers.":[29],"We":[30,83],"measure":[31,94],"by":[36,67],"Value-at-Risk":[38],"(VaR)":[39],"approach.":[40],"A":[41],"range":[42],"parametric":[44],"non-parametric":[46,88],"VaR":[47],"methods":[48,89],"applied":[50],"to":[51,93],"various":[52],"popular":[53],"dry":[57],"wet":[59,107],"cargoes.":[60],"Backtesting":[61],"conducted":[63],"two":[65],"stages":[66],"means":[68],"statistical":[70],"tests":[71],"a":[73],"subjective":[74],"loss":[75],"function":[76],"that":[77,85],"uses":[78],"Expected":[80],"Shortfall,":[81],"respectively.":[82],"find":[84],"simplest":[87],"should":[90,118],"be":[91,119],"used":[92],"risk.":[97],"In":[98],"addition,":[99],"greater":[104],"cargoes":[108],"markets.":[109],"margins":[111],"growing":[114],"derivatives":[116],"set":[120],"accordingly.":[121]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":3},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":5},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":5},{"year":2013,"cited_by_count":8},{"year":2012,"cited_by_count":4}],"updated_date":"2026-11-03T10:50:19.383937","created_date":"2016-06-24T00:00:00"}