TY - GEN
T1 - An improved historical simulation method to estimate the amount of refined oil retail value at risk VaR
AU - Wan, Yongtao
AU - Zhao, Lutao
AU - Zhang, Zhigang
AU - Ai, Dongmei
PY - 2011
Y1 - 2011
N2 - Value at risk, an effective measurement of financial risk, can be used to forecast the risk associated with amount of refined oil. In this paper, an improved Historical Simulation Approach, HSGF is proposed, which is based on a former approach, HSAF. By comparing it with the HS,HSAF and HSGF approach, this paper give evidence to show that HSGF has a more effective forecasting power in the field of amount of refined oil risk management.
AB - Value at risk, an effective measurement of financial risk, can be used to forecast the risk associated with amount of refined oil. In this paper, an improved Historical Simulation Approach, HSGF is proposed, which is based on a former approach, HSAF. By comparing it with the HS,HSAF and HSGF approach, this paper give evidence to show that HSGF has a more effective forecasting power in the field of amount of refined oil risk management.
KW - GARCH model
KW - Historical simulation approach
KW - Value at risk
UR - http://www.scopus.com/inward/record.url?scp=80052956426&partnerID=8YFLogxK
U2 - 10.1109/ICMT.2011.06002623
DO - 10.1109/ICMT.2011.06002623
M3 - Conference contribution
AN - SCOPUS:80052956426
SN - 9781612847740
T3 - 2011 International Conference on Multimedia Technology, ICMT 2011
SP - 2401
EP - 2403
BT - 2011 International Conference on Multimedia Technology, ICMT 2011
T2 - 2nd International Conference on Multimedia Technology, ICMT 2011
Y2 - 26 July 2011 through 28 July 2011
ER -