Understanding the Crude Oil Price Value-at-Risk: The Case of Azeri Light

2014 ◽  
Author(s):  
Huseyn Aghayev ◽  
Islam Rizvanoghlu
Keyword(s):  
At Risk ◽  
Crude Oil ◽  
Value At Risk ◽  
Oil Price ◽  
Crude Oil Price

Estimating ‘Value at Risk’ of crude oil price and its spillover effect using the GED-GARCH approach

2008 ◽  
Vol 30 (6) ◽  
pp. 3156-3171 ◽  
Author(s):  
Ying Fan ◽  
Yue-Jun Zhang ◽  
Hsien-Tang Tsai ◽  
Yi-Ming Wei
Keyword(s):  
At Risk ◽  
Crude Oil ◽  
Value At Risk ◽  
Spillover Effect ◽  
Oil Price ◽  
Crude Oil Price

scholarly journals Modeling of Extreme Crude Oil Price using the Generalized Pareto Distribution: Brent and West Texas Benchmark Price

2021 ◽  
pp. 359-374
Author(s):  
Ngozi J. Amachukwu ◽  
Happiness O. Obiora-Ilouno ◽  
Edwin I. Obisue
Keyword(s):  
At Risk ◽  
Crude Oil ◽  
Value At Risk ◽  
Pareto Distribution ◽  
Generalized Pareto Distribution ◽  
Expected Shortfall ◽  
Oil Price ◽  
Crude Oil Price ◽  
Generalized Pareto ◽  
West Texas

Background and objective: Crude oil is an essential commodity in many countries of the world. This work studies the risk involved in the extreme crude oil price, using the daily crude oil price of the Brent and the West Texas benchmark from year 1990 to 2019. Materials and methods: The Peak Over Threshold (POT) approach of the Generalized Pareto Distribution (GPD) was used to model the extreme crude oil price while the value at risk and the expected shortfall was used to quantify the risk involved in extreme price of crude oil. The GPD, using the Q-Q plot was found to be a good model for the extreme values of the crude oil price. Results: The Value at Risk (VaR) and the Expected Shortfall (ES) calculated at 90%, 95% and 99% with the Maximum Likelihood estimators of GPD parameters and the threshold values were found to decrease with increase in quantile for both benchmark. This shows that risk involved in extreme crude oil price will be borne only by the investors and public. Conclusion: It was also found that the VaR and ES of the Brent are higher than that of West Texas. This implies that it is safer to invest in West Texas crude oil.

scholarly journals Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic

Energies ◽  
2021 ◽  
Vol 14 (14) ◽  
pp. 4147
Author(s):  
Krzysztof Echaust ◽  
Małgorzata Just
Keyword(s):  
At Risk ◽  
Crude Oil ◽  
Value At Risk ◽  
Tail Dependence ◽  
Oil Price ◽  
Health Crisis ◽  
Oil Market ◽  
Volatility Index ◽  
Conditional Copula ◽  
The Impact

This study investigates the dependence between extreme returns of West Texas Intermediate (WTI) crude oil prices and the Crude Oil Volatility Index (OVX) changes as well as the predictive power of OVX to generate accurate Value at Risk (VaR) forecasts for crude oil. We focus on the COVID-19 pandemic period as the most violate in the history of the oil market. The static and dynamic conditional copula methodology is used to measure the tail dependence coefficient (TDC) between the variables. We found a strong relationship in the tail dependence between negative returns on crude oil and OVX changes and the tail independence for positive returns. The time-varying copula discloses the strongest tail dependence of negative oil price shocks and the index changes during the COVID-19 health crisis. The findings indicate the ability of the OVX index to be a fear gauge with respect to the oil market. However, we cannot confirm the ability of OVX to improve one day-ahead forecasts of the Value at Risk. The impact of investors’ expectations embedded in OVX on VaR forecasts seems to be negligible.

Impact of crude oil price on the socio-political environment of global countries

2019 ◽  
Vol 118 (3) ◽  
pp. 110-122
Author(s):  
Johnson Clement Madathil ◽  
Velmurugan P. S
Keyword(s):  
Crude Oil ◽  
Descriptive Analysis ◽  
Oil Price ◽  
Policy Framework ◽  
Political Environment ◽  
Policy Reforms ◽  
Crude Oil Price ◽  
Short Term ◽  
Political Impact ◽  
New Energy

Crude oil is known to have an impact on people’s life of both producers and consumers of crude oil countries. A producer country’s socio-political impact will be different from a consumer country’s socio-political impact. This paper aims to show that crude oil price has a socio-political impact on global countries through descriptive analysis. The study found that there were similarities in the movement of crude oil price and change in GDP of both India and United States and further Russia and Venezuela have had crude oil impact on their respective GDP’s, which has made them take policy reforms. The paper identifies changes in the policy framework due to influence of crude oil price and eventual changes in existing socio-political environment. Taking oil producing countries such as Russia and Venezuela as examples, this paper suggests that policy reforms are the key to having a stable socio-political environment. Russia shows us that having a flexible monetary policy can keep the budget dependence on crude oil reduced in the short term. On the other hand, for oil consuming countries, having a stable supply and moving to new energy sources is the key to tackle the influence of crude oil price on the socio-political environment of global countries.

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