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

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  • Ying Fan
  • Jian-Ling Jiao

Abstract

Value at risk, an effective measurement of financial risk, can be used to forecast the risk associated with oil price movements. In this paper, we propose an improved Historical Simulation Approach, EDFAAF, which is based on a former approach, HSAF. By comparing it with the HSAF approach, we give evidence to show that EDFAAF has a more effective forecasting power in the field of oil risk management.

Suggested Citation

  • Ying Fan & Jian-Ling Jiao, 2006. "An improved historical simulation approach for estimating 'value at risk' of crude oil price," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 25(1/2), pages 83-93.
    • Handle: RePEc:ids:ijgeni:v:25:y:2006:i:1/2:p:83-93
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    Citations

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    Cited by:

    1. Zhang, Hai-Ying & Ji, Qiang & Fan, Ying, 2013. "An evaluation framework for oil import security based on the supply chain with a case study focused on China," Energy Economics, Elsevier, vol. 38(C), pages 87-95.
    2. Aloui, Chaker & Mabrouk, Samir, 2010. "Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models," Energy Policy, Elsevier, vol. 38(5), pages 2326-2339, May.
    3. Halkos, George E. & Tsirivis, Apostolos S., 2019. "Value-at-risk methodologies for effective energy portfolio risk management," Economic Analysis and Policy, Elsevier, vol. 62(C), pages 197-212.
    4. Ghorbel, Ahmed & Trabelsi, Abdelwahed, 2014. "Energy portfolio risk management using time-varying extreme value copula methods," Economic Modelling, Elsevier, vol. 38(C), pages 470-485.
    5. Halkos, George & Tsirivis, Apostolos, 2019. "Using Value-at-Risk for effective energy portfolio risk management," MPRA Paper 91674, University Library of Munich, Germany.
    6. Fan, Ying & Zhang, Yue-Jun & Tsai, Hsien-Tang & Wei, Yi-Ming, 2008. "Estimating 'Value at Risk' of crude oil price and its spillover effect using the GED-GARCH approach," Energy Economics, Elsevier, vol. 30(6), pages 3156-3171, November.

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