Entrepreneurship & Organization Management

Department of Adminstration, Civil Aviation Flight University of China, Deyang 618311, China

Publications

• Mini Review   
  Using CVaR and Markov Switching GARCH, an Airline Organization Manages the Menace Associated with Propellant Hedging
  Author(s): Zhihong Chen*
  
  In order to lower the cost of their core business, airline companies must use a hedging strategy to stabilise the price of fuel. In this study, we build models for controlling the risk associated with the hedging strategy. First, we quantify the risk associated with a company's hedging strategy using conditional value at risk (CVaR). CVaR satisfies subadditivity, positive homogeneity, monotonicity, and transfer invariance when compared to the value at risk (VaR). CVaR is a reliable way to quantify risk as a result. Second, to create a Markov Switching-GARCH, time-varying state transition probability is added to our model (MS-GARCH). The dynamic changes in market state are taken into account by MS-GARCH, a feature that has clear advantages over the conventional constant state model. Furthermore, we apply a Markov chain Monte Carlo an approach based on Gibbs samp.. Read More»
  DOI: 10.37421/2169-026X.2022.11.366

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