Risk Measurement in Commodities Markets Using Conditional Extreme Value Theory

Ahmed GHORBEL^1, and Sameh SOUILMI¹

¹Business, Economics Statistics Modelling Laboratory (BESTMOD), Faculty of Economics and Management, Sfax-Tunisia

Cite this paper:
Ahmed GHORBEL and Sameh SOUILMI. Risk Measurement in Commodities Markets Using Conditional Extreme Value Theory. International Journal of Econometrics and Financial Management. 2014; 2(5):188-205. doi: 10.12691/ijefm-2-5-4

Abstract

The aim of this paper is to quantify risk in oil, gas natural and phosphates markets by the Value at Risk and Expected Shortfull using McNeil and Frey (2000) two-steps approach based on the combination of the theory of extreme values and the GARCH model. A comparison is made between this method and various conventional methods such as GARCH models, Filtered hsitoriacal simulation, unconditional EVT-POT and unconditional EVT Bloc. Particular attention is given to study the quality of VaR forecasts obtained from conditional EVT method. The results we report show that this method is the best one for quantile superior to 99%. In all other cases, it offer acceptable VaR’s forecasts but not statistically better than GARCH methods.

Keywords:
risk measurement oil natural gas and phosphate markets filtered data conditional EVT value-at-risk expected shortfull

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