{"id":"https://openalex.org/W2908883189","doi":"https://doi.org/10.1007/s10287-020-00370-9","title":"Portfolio stress testing applied to commodity futures","display_name":"Portfolio stress testing applied to commodity futures","publication_year":2020,"publication_date":"2020-06-01","ids":{"openalex":"https://openalex.org/W2908883189","doi":"https://doi.org/10.1007/s10287-020-00370-9","mag":"2908883189"},"language":"en","primary_location":{"id":"doi:10.1007/s10287-020-00370-9","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-020-00370-9","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-020-00370-9.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007/s10287-020-00370-9.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5108779244","display_name":"Florentina Paraschiv","orcid":"https://orcid.org/0000-0001-5706-9947"},"institutions":[{"id":"https://openalex.org/I204778367","display_name":"Norwegian University of Science and Technology","ror":"https://ror.org/05xg72x27","country_code":"NO","type":"education","lineage":["https://openalex.org/I204778367"]}],"countries":["NO"],"is_corresponding":true,"raw_author_name":"Florentina Paraschiv","raw_affiliation_strings":["NTNU Business School, Norwegian University of Science and Technology, 7491, Trondheim, Norway"],"affiliations":[{"raw_affiliation_string":"NTNU Business School, Norwegian University of Science and Technology, 7491, Trondheim, Norway","institution_ids":["https://openalex.org/I204778367"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5085420801","display_name":"Stine Marie Reese","orcid":null},"institutions":[{"id":"https://openalex.org/I204778367","display_name":"Norwegian University of Science and Technology","ror":"https://ror.org/05xg72x27","country_code":"NO","type":"education","lineage":["https://openalex.org/I204778367"]}],"countries":["NO"],"is_corresponding":false,"raw_author_name":"Stine Marie Reese","raw_affiliation_strings":["NTNU Business School, Norwegian University of Science and Technology, 7491, Trondheim, Norway"],"affiliations":[{"raw_affiliation_string":"NTNU Business School, Norwegian University of Science and Technology, 7491, Trondheim, Norway","institution_ids":["https://openalex.org/I204778367"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5042922255","display_name":"Margrethe Ringkj\u00f8b Skjelstad","orcid":null},"institutions":[{"id":"https://openalex.org/I204778367","display_name":"Norwegian University of Science and Technology","ror":"https://ror.org/05xg72x27","country_code":"NO","type":"education","lineage":["https://openalex.org/I204778367"]}],"countries":["NO"],"is_corresponding":false,"raw_author_name":"Margrethe Ringkj\u00f8b Skjelstad","raw_affiliation_strings":["NTNU Business School, Norwegian University of Science and Technology, 7491, Trondheim, Norway"],"affiliations":[{"raw_affiliation_string":"NTNU Business School, Norwegian University of Science and Technology, 7491, Trondheim, Norway","institution_ids":["https://openalex.org/I204778367"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5108779244"],"corresponding_institution_ids":["https://openalex.org/I204778367"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":{"value":2290,"currency":"EUR","value_usd":2890},"fwci":0.6108,"has_fulltext":true,"cited_by_count":5,"citation_normalized_percentile":{"value":0.82135995,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":96},"biblio":{"volume":"17","issue":"2","first_page":"203","last_page":"240"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9998999834060669,"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"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9998999834060669,"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"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9753999710083008,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and 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/T10438","display_name":"Energy, Environment, Economic Growth","score":0.9438999891281128,"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/portfolio","display_name":"Portfolio","score":0.7727715373039246},{"id":"https://openalex.org/keywords/copula","display_name":"Copula (linguistics)","score":0.7528003454208374},{"id":"https://openalex.org/keywords/futures-contract","display_name":"Futures contract","score":0.7119353413581848},{"id":"https://openalex.org/keywords/stress-test","display_name":"Stress test","score":0.6292282938957214},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6213611960411072},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.611611008644104},{"id":"https://openalex.org/keywords/stress-testing","display_name":"Stress testing (software)","score":0.5770233869552612},{"id":"https://openalex.org/keywords/tail-dependence","display_name":"Tail dependence","score":0.49241912364959717},{"id":"https://openalex.org/keywords/tail-risk","display_name":"Tail risk","score":0.47393494844436646},{"id":"https://openalex.org/keywords/marginal-distribution","display_name":"Marginal distribution","score":0.4312487244606018},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.41722768545150757},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3681827187538147},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3460974097251892},{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.3272545635700226},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.19309255480766296},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.1566358208656311},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.08851400017738342}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7727715373039246},{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.7528003454208374},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.7119353413581848},{"id":"https://openalex.org/C2779201015","wikidata":"https://www.wikidata.org/wiki/Q1308919","display_name":"Stress test","level":2,"score":0.6292282938957214},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6213611960411072},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.611611008644104},{"id":"https://openalex.org/C7515471","wikidata":"https://www.wikidata.org/wiki/Q1936882","display_name":"Stress testing (software)","level":2,"score":0.5770233869552612},{"id":"https://openalex.org/C2777606061","wikidata":"https://www.wikidata.org/wiki/Q16991115","display_name":"Tail dependence","level":3,"score":0.49241912364959717},{"id":"https://openalex.org/C2776734221","wikidata":"https://www.wikidata.org/wiki/Q3936425","display_name":"Tail risk","level":2,"score":0.47393494844436646},{"id":"https://openalex.org/C165216359","wikidata":"https://www.wikidata.org/wiki/Q670653","display_name":"Marginal distribution","level":3,"score":0.4312487244606018},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.41722768545150757},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3681827187538147},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3460974097251892},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.3272545635700226},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.19309255480766296},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1566358208656311},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.08851400017738342},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.0},{"id":"https://openalex.org/C122123141","wikidata":"https://www.wikidata.org/wiki/Q176623","display_name":"Random variable","level":2,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s10287-020-00370-9","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-020-00370-9","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-020-00370-9.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:comgts:v:17:y:2020:i:2:d:10.1007_s10287-020-00370-9","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10287-020-00370-9","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,"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:ntnuopen.ntnu.no:11250/2674187","is_oa":true,"landing_page_url":"https://hdl.handle.net/11250/2674187","pdf_url":null,"source":{"id":"https://openalex.org/S4306401716","display_name":"Duo Research Archive (University of Oslo)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I184942183","host_organization_name":"University of Oslo","host_organization_lineage":["https://openalex.org/I184942183"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"38","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"doi:10.1007/s10287-020-00370-9","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-020-00370-9","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-020-00370-9.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G103020437","display_name":null,"funder_award_id":"Grant Number EP/R014604/1","funder_id":"https://openalex.org/F4320334627","funder_display_name":"Engineering and Physical Sciences Research Council"},{"id":"https://openalex.org/G2189360572","display_name":null,"funder_award_id":"EP/R014604/1","funder_id":"https://openalex.org/F4320313284","funder_display_name":"Isaac Newton Institute for Mathematical Sciences"},{"id":"https://openalex.org/G2203179303","display_name":null,"funder_award_id":"R014604/1","funder_id":"https://openalex.org/F4320334627","funder_display_name":"Engineering and Physical Sciences Research Council"},{"id":"https://openalex.org/G3341554066","display_name":null,"funder_award_id":"EP/R014604/","funder_id":"https://openalex.org/F4320334627","funder_display_name":"Engineering and Physical Sciences Research Council"},{"id":"https://openalex.org/G3691759950","display_name":null,"funder_award_id":"EP/R014604/1","funder_id":"https://openalex.org/F4320334627","funder_display_name":"Engineering and Physical Sciences Research Council"},{"id":"https://openalex.org/G496870153","display_name":null,"funder_award_id":"EPSRC Grant Number EP/R014604/1","funder_id":"https://openalex.org/F4320313284","funder_display_name":"Isaac Newton Institute for Mathematical Sciences"},{"id":"https://openalex.org/G5450091064","display_name":"Isaac Newton Institute for Mathematical Sciences","funder_award_id":"EP/R014604/1","funder_id":"https://openalex.org/F4320334627","funder_display_name":"Engineering and Physical Sciences Research Council"},{"id":"https://openalex.org/G6226214964","display_name":null,"funder_award_id":"EP/R014604","funder_id":"https://openalex.org/F4320334627","funder_display_name":"Engineering and Physical Sciences Research Council"},{"id":"https://openalex.org/G6348601462","display_name":null,"funder_award_id":"EP/R014604/1.","funder_id":"https://openalex.org/F4320334627","funder_display_name":"Engineering and Physical Sciences Research Council"}],"funders":[{"id":"https://openalex.org/F4320313284","display_name":"Isaac Newton Institute for Mathematical Sciences","ror":null},{"id":"https://openalex.org/F4320334627","display_name":"Engineering and Physical Sciences Research Council","ror":"https://ror.org/0439y7842"},{"id":"https://openalex.org/F4320337380","display_name":"Division of Mathematical Sciences","ror":"https://ror.org/051fftw81"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2908883189.pdf","grobid_xml":"https://content.openalex.org/works/W2908883189.grobid-xml"},"referenced_works_count":30,"referenced_works":["https://openalex.org/W143636487","https://openalex.org/W1498464051","https://openalex.org/W1500866220","https://openalex.org/W1542184596","https://openalex.org/W1546675989","https://openalex.org/W1712777634","https://openalex.org/W1969248194","https://openalex.org/W2015699392","https://openalex.org/W2024214085","https://openalex.org/W2062630817","https://openalex.org/W2090820304","https://openalex.org/W2101039071","https://openalex.org/W2107802909","https://openalex.org/W2121911538","https://openalex.org/W2161286290","https://openalex.org/W2169342941","https://openalex.org/W2174697911","https://openalex.org/W2265702689","https://openalex.org/W2301635611","https://openalex.org/W2502254989","https://openalex.org/W2798058877","https://openalex.org/W3008273182","https://openalex.org/W3121493741","https://openalex.org/W3123825490","https://openalex.org/W3124223476","https://openalex.org/W3124837614","https://openalex.org/W3125348131","https://openalex.org/W3185112528","https://openalex.org/W4292483811","https://openalex.org/W6908844754"],"related_works":["https://openalex.org/W4232137370","https://openalex.org/W1984980889","https://openalex.org/W4253534816","https://openalex.org/W3126046003","https://openalex.org/W2751177627","https://openalex.org/W3123284799","https://openalex.org/W3125813052","https://openalex.org/W3122734509","https://openalex.org/W4243864492","https://openalex.org/W3032993990"],"abstract_inverted_index":{"Abstract":[0],"In":[1],"this":[2],"article,":[3],"we":[4],"construct":[5],"a":[6,26,49,134,138],"portfolio":[7,75,86,101],"of":[8,34,48,56,70,81,98,100,183],"commodity":[9,150],"futures":[10],"which":[11],"mimics":[12],"the":[13,42,46,62,67,71,78,85,96,123,145,178,181],"Dow":[14],"Jones":[15],"Commodity":[16],"Index":[17],"and":[18,88,116,187],"perform":[19],"an":[20,104],"extensive":[21],"stress":[22,54,91,136,167],"testing":[23,55,92,168],"exercise":[24],"with":[25,103,109,175],"focus":[27],"on":[28,84],"hybrid":[29,186],"scenarios.":[30,192],"The":[31],"increased":[32],"volume":[33],"investments":[35],"in":[36,90,148,166,173],"commodities":[37],"as":[38,152,154],"financial":[39],"instruments":[40],"over":[41,190],"last":[43],"decades":[44],"underline":[45],"importance":[47,182],"more":[50],"thorough":[51],"framework":[52],"for":[53,74,113,133],"related":[57],"portfolios.":[58],"Our":[59,128],"study":[60,129,179],"is":[61],"first":[63],"to":[64,121,144,155],"show":[65],"comparatively":[66],"marginal":[68,79],"impact":[69],"model":[72,95,107,122],"choice":[73],"components":[76,102],"versus":[77],"role":[80],"tail":[82,146,156],"dependence":[83,126],"profit":[87],"loss":[89],"exercises.":[93,169],"We":[94,158],"distribution":[97],"returns":[99,151],"asymmetric":[105],"AR-GARCH":[106],"combined":[108],"Extreme":[110],"Value":[111],"Theory":[112],"extreme":[114],"tails,":[115],"employ":[117],"multivariate":[118],"copula":[119],"functions":[120],"time-varying":[124],"joint":[125],"structure.":[127],"reveals":[130],"that":[131],"indeed,":[132],"realistic":[135],"test,":[137],"special":[139],"attention":[140],"should":[141],"be":[142],"given":[143],"risk":[147,164],"individual":[149],"well":[153],"correlations.":[157],"also":[159],"draw":[160],"conclusions":[161],"about":[162],"parameter":[163],"persistent":[165],"Finally":[170],"yet":[171],"importantly,":[172],"line":[174],"Basel":[176],"IIIb,":[177],"highlights":[180],"using":[184],"forward-looking":[185],"hypothetical":[188],"scenarios":[189],"historical":[191]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1}],"updated_date":"2026-04-10T15:06:20.359241","created_date":"2025-10-10T00:00:00"}