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Zikovic, Sasa
Zbornik radova Ekonomskog fakulteta u Rijeci, 04/2011, Volume: 29, Issue: 1Journal Article
ABSTRACT IN ENGLISH: The purpose of this paper is to investigate the performance of VaR models at measuring risk for WTI oil one-month futures returns. Risk models, ranging from industry standards such as RiskMetrics and historical simulation to conditional extreme value model, are used to calculate commodity market risk at extreme quantiles: 0.95, 0.99, 0.995 and 0.999 for both long and short trading positions. Our results show that out of the tested fat tailed distributions, generalised Pareto distribution provides the best fit to both tails of oil returns although tails differ significantly, with the right tail having a higher tail index, indicative of more extreme events. The main conclusion is that, in the analysed period, only extreme value theory based models provide a reasonable degree of safety while widespread VaR models do not provide adequate risk coverage and their performance is especially weak for short position in oil. // ABSTRACT IN CROTIAN: Predmet ovog rada je istraziti uspjesnost VaR modela u mjerenju trzisnog rizika jednomjesecnih futures ugovora na WTI naftu. Modeli mjerenja rizika, u rasponu od industrijskih standarda, kao sto su RiskMetrics sustav i povijesna simulacija do kondicionalnog modela ekstremnih vrijednosti koristeni su u izracunu trzisnog rizika nafte pri ekstremnim kvantilima distribucije: 0,95, 0,99, 0,995 i 0,999 za duge i kratke trgovinske pozicije. Dobiveni rezultati pokazuju da od testiranih leptokurti%Dcnih distribucija jedino generalizirana Pareto distribucija najbolje opisuje oba repa distribucije prinosa na naftu iako se oni sami medusobno znacajno razlikuju, s time da desni rep distribucije ima znatno visi indeks repa sto ukazuje na prisutnost ekstremnijih dogadaja. Nas glavni zakljucak je da, u promatranom razdoblju, samo modeli temeljeni na teoriji ekstremnih vrijednosti uspjesno predvidaju stvarnu razinu rizika pri kratkim i dugim trgovinskim pozicijama, dok rasireni modeli mjerenja pokazuju iznimno slabe rezultate, posebice kod mjerenja rizika kratkih trgovinskih pozicija. Reprinted by permission of the University of Rijeka Faculty of Economics, Ivana Filipovica 4, 51000 Rijeka, Croatia
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