کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5065595 1372322 2009 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Extreme Value Theory and Value at Risk: Application to oil market
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
پیش نمایش صفحه اول مقاله
Extreme Value Theory and Value at Risk: Application to oil market
چکیده انگلیسی

Recent increases in energy prices, especially oil prices, have become a principal concern for consumers, corporations, and governments. Most analysts believe that oil price fluctuations have considerable consequences on economic activity. Oil markets have become relatively free, resulting in a high degree of oil-price volatility and generating radical changes to world energy and oil industries. Consequently, oil markets are naturally vulnerable to significant high price shifts. An example of such a case is the oil embargo crisis of 1973. In this newly created climate, protection against market risk has become a necessity. Value at Risk (VaR) measures risk exposure at a given probability level and is very important for risk management. Appealing aspects of Extreme Value Theory (EVT) have made convincing arguments for its use in managing energy price risks. In this paper, we model VaR for long and short trading positions in oil market by applying both unconditional and conditional EVT models to forecast Value at Risk. These models are compared to the performances of other well-known modelling techniques, such as GARCH, Historical Simulation and Filtered Historical Simulation. Both conditional EVT and Filtered Historical Simulation procedures offer a major improvement over the conventional methods. Furthermore, GARCH(1, 1)-t model may provide equally good results which are comparable to two combined procedures. Finally, our results confirm the importance of filtering process for the success of standard approaches.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 31, Issue 4, July 2009, Pages 519-530
نویسندگان
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