ABSTRACT
Mining companies to properly manage their operations and be ready to make business decisions are required to forecast potential scenarios for main market risk factors. Regardless of the typical uncertainty related to asset price projections, the main challenge is to properly quantify dependencies/relations among main risk factors and its stability over time. From the KGHM perspective, Polish copper and silver mining company, main market risks can be divided into four baskets: base metals (copper, nickel), precious metals (gold, silver), exchange rates (EURUSD, Dollar Index, USDPLN) and interest rates (LIBOR). Detailed studies of the risk factors dependency structure and finding proper correlation models may enable building more adequate forecasts, especially for stress test scenarios. In the literature one can find different approaches in the considered issue. In this paper we concentrate on the relations between mentioned factors and using mathematical/statistical methods we propose a models that takes under consideration the dependences between them.
