TY - GEN
T1 - An improved historical simulation method to estimate the amount of refined oil retail value at risk VaR
AU - Wan, Yong Tao
AU - Zhang, Zhi Gang
AU - Zhao, Lu Tao
PY - 2013
Y1 - 2013
N2 - The international crude oil market is complicated in itself and with the rapid development of China in recent years, the dramatic changes of the international crude oil market have brought some risk to the security of China's oil market and the economic development of China. Value at risk (VaR), an effective measurement of financial risk, can be used to assess the risk of refined oil retail sales as well. However, VaR, as a model that can be applied to complicated nonlinear data, has not yet been widely researched. Therefore, an improved Historical Simulation Approach, historical stimulation of genetic algorithm to parameters selection of support vector machine, "HSGA-SVMF", in this paper, is proposed, which is based on an approach the historical simulation with ARMA forecasts, "HSAF". By comparing it with the HSAF and HSGA-SVMF approach, this paper gives evidence to show that HSGA-SVMF has a more effective forecasting power in the field of amount of refined oil.
AB - The international crude oil market is complicated in itself and with the rapid development of China in recent years, the dramatic changes of the international crude oil market have brought some risk to the security of China's oil market and the economic development of China. Value at risk (VaR), an effective measurement of financial risk, can be used to assess the risk of refined oil retail sales as well. However, VaR, as a model that can be applied to complicated nonlinear data, has not yet been widely researched. Therefore, an improved Historical Simulation Approach, historical stimulation of genetic algorithm to parameters selection of support vector machine, "HSGA-SVMF", in this paper, is proposed, which is based on an approach the historical simulation with ARMA forecasts, "HSAF". By comparing it with the HSAF and HSGA-SVMF approach, this paper gives evidence to show that HSGA-SVMF has a more effective forecasting power in the field of amount of refined oil.
KW - Historical simulation approach
KW - SVM model
KW - Value at risk
UR - http://www.scopus.com/inward/record.url?scp=84884762626&partnerID=8YFLogxK
U2 - 10.4028/www.scientific.net/AMR.734-737.1711
DO - 10.4028/www.scientific.net/AMR.734-737.1711
M3 - Conference contribution
AN - SCOPUS:84884762626
SN - 9783037857441
T3 - Advanced Materials Research
SP - 1711
EP - 1718
BT - Resources and Sustainable Development
T2 - 2013 2nd International Conference on Energy and Environmental Protection, ICEEP 2013
Y2 - 19 April 2013 through 21 April 2013
ER -
