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

^*此作品的通讯作者

Kyoto University
CAS - Institutes of Science and Development

科研成果: 期刊稿件 › 文章 › 同行评审

9 引用（Scopus）

摘要

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.

源语言	英语
页（从-至）	12-20
页数	9
期刊	Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice
卷	27
期	8
出版状态	已出版 - 8月 2007
已对外发布	是

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引用此

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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",

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AU - Fan, Ying

AU - Wei, Yi Ming

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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

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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

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