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Value-at-Risk methodology in modeling oil market price risks

Lyalkov Ivan Mikhailovich  (graduate student, Russian Economic University named after GV Plekhanov)

The risks of energy markets are considered in the article. Fluctuations of the oil market is the central point of the analysis. Such risk measures as Value-at-Risk, Expected Shortfall and among the most widely used in the industry. The results of comparative analysis of different methods of their calculation demonstrate that the hypothesis of normality is not always supported by the data and other distributions, which are able to capture particular features of energy markets, need to be taken into considerations.

Keywords:oil market, risk measures, Value-at-Risk, Expected Shortfall, back-testing
 

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Citation link:
Lyalkov I. M. Value-at-Risk methodology in modeling oil market price risks // Современная наука: актуальные проблемы теории и практики. Серия: ЭКОНОМИКА и ПРАВО. -2017. -№11. -С. 48-54
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