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All Journal BAREKENG: Jurnal Ilmu Matematika dan Terapan Jurnal Aplikasi Statistika & Komputasi Statistik Pattimura International Journal of Mathematics (PIJMath)
Saputra, Wisnowan Hendy
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Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Energy Engineering Mathematics Mechanical Engineering Physics Transportation

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Journal : Pattimura International Journal of Mathematics (PIJMath)

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Monte Carlo-Expected Tail Loss for Analyzing Risk of Commodity Futures Based on Holt-Winters Model Saputra, Wisnowan Hendy
Pattimura International Journal of Mathematics (PIJMath) Vol 4 No 1 (2025): Pattimura International Journal of Mathematics (PIJMath)
Publisher : Pattimura University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/pijmathvol4iss1pp7-16

Abstract

Future, an agreement to buy or sell an asset at a certain price and a certain time in the future, is one of the market derivatives because the underlying assets influence the price of futures. In general, futures divide into financial futures and commodity futures. Each of the futures has different risks, so risk measures are needed to improve the effectiveness and efficiency of investment management. For example, we have the London Metal Exchange (LME) in the metal scope of commodity futures. Therefore, we propose the Holt-Winters Model for estimating commodity prices in this study. Hereafter, The Expected Tail Loss (ETL) with Monte Carlo process will use to analyze risk measures. We took six commodity futures in LME to implement the method as a sample, such as Zinc, Lead, Aluminum, Copper, Nickel, and Tin. Based on the analysis, each commodity has a different mean ETL value, where Nickel has the most significant risk with an ETL value of 0.036. This value means that the possibility of the expected loss to be borne by investors is 3.6%.
Co-Authors Aqsari, Hasri Wiji Dedy Dwi Prastyo Maharsi, Rengganis Woro Roosyidah, Nila Ayu Nur Santi Puteri Rahayu