Price risk in crude oil markets: A VaR approach of EVT

Wei Bin Yu; Ying Fan; Yi Ming Wei

Price risk in crude oil markets: A VaR approach of EVT

Wei Bin Yu^*, Ying Fan, Yi Ming Wei

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

8 Citations (Scopus)

Abstract

This paper introduces the extreme value theory (EVT) of VaR into the research on the price risk of international crude oil spot markets. To get the empirical results, the POT (peaks over threshold) model of EVT is used to study the spot price data of WIT and Brent. As some improvement, this paper introduces partial regression coefficient, clustering and runs test into the POT model. Based on the empirical results, the difference between two spot markets is discussed. Furthermore, the difference between downside risk and upside risk in each spot market is also discussed.

Original language	English
Pages (from-to)	12-20
Number of pages	9
Journal	Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice
Volume	27
Issue number	8
Publication status	Published - Aug 2007
Externally published	Yes

Keywords

Cluster
Downside risk
EVT
Upside risk
VaR

Cite this

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title = "Price risk in crude oil markets: A VaR approach of EVT",

abstract = "This paper introduces the extreme value theory (EVT) of VaR into the research on the price risk of international crude oil spot markets. To get the empirical results, the POT (peaks over threshold) model of EVT is used to study the spot price data of WIT and Brent. As some improvement, this paper introduces partial regression coefficient, clustering and runs test into the POT model. Based on the empirical results, the difference between two spot markets is discussed. Furthermore, the difference between downside risk and upside risk in each spot market is also discussed.",

keywords = "Cluster, Downside risk, EVT, Upside risk, VaR",

author = "Yu, {Wei Bin} and Ying Fan and Wei, {Yi Ming}",

year = "2007",

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volume = "27",

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journal = "Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice",

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T2 - A VaR approach of EVT

AU - Yu, Wei Bin

AU - Fan, Ying

AU - Wei, Yi Ming

PY - 2007/8

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N2 - This paper introduces the extreme value theory (EVT) of VaR into the research on the price risk of international crude oil spot markets. To get the empirical results, the POT (peaks over threshold) model of EVT is used to study the spot price data of WIT and Brent. As some improvement, this paper introduces partial regression coefficient, clustering and runs test into the POT model. Based on the empirical results, the difference between two spot markets is discussed. Furthermore, the difference between downside risk and upside risk in each spot market is also discussed.

AB - This paper introduces the extreme value theory (EVT) of VaR into the research on the price risk of international crude oil spot markets. To get the empirical results, the POT (peaks over threshold) model of EVT is used to study the spot price data of WIT and Brent. As some improvement, this paper introduces partial regression coefficient, clustering and runs test into the POT model. Based on the empirical results, the difference between two spot markets is discussed. Furthermore, the difference between downside risk and upside risk in each spot market is also discussed.

KW - Cluster

KW - Downside risk

KW - EVT

KW - Upside risk

KW - VaR

UR - http://www.scopus.com/inward/record.url?scp=34548647232&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:34548647232

SN - 1000-6788

VL - 27

SP - 12

EP - 20

JO - Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice

JF - Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice

IS - 8

ER -

Price risk in crude oil markets: A VaR approach of EVT

Abstract

Keywords

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