An improved historical simulation approach for estimating 'value at risk' of crude oil price

International Journal of Global Energy Issues

Volumn 25, Issue 1-2, 2006, Pages 83-93

  Fan, Ying ^a   Jiao, Jian Ling ^a  

^a Chinese Academy of Sciences   (China)

Author keywords

ARMA model; Historical simulation approach; Oil price movements; Risk management; Value at risk

Indexed keywords

COSTS; CRUDE PETROLEUM;

ARMA MODEL; HISTORICAL SIMULATION APPROACH; OIL PRICE MOVEMENTS; VALUE AT RISK;

RISK MANAGEMENT;

OIL INDUSTRY;

EID: 31344479511     PISSN: 09547118     EISSN: None     Source Type: Journal    
DOI: 10.1504/ijgei.2006.008385     Document Type: Article

References (15)

1. Cabedo, J.D. and Moya, I. (2003) 'Estimating oil price 'value at risk' using the historical simulation approach', Energy Economics, Vol. 25, pp.239-253.
2. Dowd, K. (1998) Beyond Value at Risk, Wiley, New York.
3. Duffie, D. and Pan J. (1997). 'An overview of value at risk', Journal of Derivatives, Vol. 4, No. 3, p.7.
4. Faff, R.W. and Brailsford, T.J. (1999) 'Oil price risk and the Australian stock market', Journal of Energy Finance Development, Vol. 4, pp.69-87.
5. Fleming, J. and Ostdiek, B.(1999) 'The impact of energy derivates on the crude oil market', Energy Economics, Vol. 21, pp. 135-167.
6. Giot, P. and Laurent, S. (2003) 'Market risk in commodity markets: a VaR approach', Energy Economics. Vol.25, pp.435-457.
7. Hendricks, D. (1996) 'Evaluation of value at risk models using historical data', Federal Reserve Bank of New York Economic Policy Review, April, pp.39-69.
8. Jorion, P. and Khoury S.J. (1996) Financial Risk Management, Blackwell, Cambridge.
9. Katherina, S. (1996) 'Value at risk-new approaches to risk management', New England Economic Review, Vol. 9, No. 10, pp.3-13.
10. Moosa, I.A. and Al-Loughani, N.E. (1994) 'Unbiasedness and time varying risk premia in the crude oil futures market', Energy Economics, Vol. 16, pp.99-105.
11. Morgan, J.P. (1996) Riskmetrics Technical Document, 4th ed., Internet: http://www.jpmorgan.com.
12. Panas, E. and Ninni, V. (2000) 'Are oil markets chaotic? a non-linear dynamic analysis', Energy Economics, Vol. 22, pp.549-568.
13. Sadorsky, P. (1999) 'Oil price shocks and stock market activity', Energy Economics, Vol. 21, pp.449-469.
14. Smithson, C. and Minton, L. (1996) 'Value at risk', Risk, Vol. 9, No. 1, pp.25-27.
15. Wang, Z., Tang, G. and Shi, S. (1999) 'VaR method for financial risk analysis', Chinese Journal of Science, Vol. 51, No. 6, pp.15-18 (in Chinese).