Title: Correlation models for description of market risk factors
Authors: Lukasz Bielak - Wroclaw University of Science and Technology (Poland) [presenting]
Abstract: Mining companies have to prepare potential scenarios for main market risk factors. Regardless of the typical uncertainty related to individual price projections, the main challenge is to properly quantify dependencies/relations among main risk factors and its stability over time. Detailed studies of the risk factors dependency structure and finding proper models reflecting such relationship may enable building more adequate forecasts, especially for stress test scenarios. We concentrate on the relations between mentioned factors and using mathematical/statistical methods. We propose a model that takes under consideration the dependencies between mentioned risk factors.