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Estimation of risk measures in energy portfolios using modern copula techniques

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  • Jäschke, Stefan

Abstract

The dependence structure between WTI and Brent crude oil spot log-returns is analysed using modern copula techniques. In a first step, to account for autocorrelation and volatility clustering in the marginals, several single equation models are applied. Second, to select both copulas and tail copulas characterising the joint dynamics between the time series, newly introduced bootstrap-based goodness-of-fit tests are implemented and evaluated. Based on each approach, a comprehensive backtesting is performed by simulating and comparing the risk measures Value-at-Risk and Expected Shortfall with observed values.

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  • Jäschke, Stefan, 2014. "Estimation of risk measures in energy portfolios using modern copula techniques," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 359-376.
    • Handle: RePEc:eee:csdana:v:76:y:2014:i:c:p:359-376
    DOI: 10.1016/j.csda.2014.01.019
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