Financial risk measurement in colombian system of mining royalties

摘要

The objective of risk management is to mitigate the probability of financial losses due to different types of risk that could affect supply chain. This paper presents a methodological approach to estimate the financial risk of steam coal royalties received by Colombian government considering risk factors such as the commodity price, freight price and Exchange rate. These risk factors are considered in the model for estimating the Colombian steam coal royalties. We used robust risk indicators such as VaR (Value at Risk) and ES (Expected Shortfall). These measures were obtained through three approaches: parametric, semi-parametric and non-parametric. The coal royalties are a very important income for Colombia. The royalties obtained of steam coal exports represented USD 894 million in 2014. In this framework, it is very important to estimate the volatility of tax incomes related to steam coal exports.