Essays about: "crude oil market risk"

Showing result 1 - 5 of 11 essays containing the words crude oil market risk.

1. 1. Forecasting Value-at-Risk and Expected Shortfall: A comparison of non- and parametric methods for crude oil amidst extreme volatility

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Otto Colbin; Yugam Sharma; [2023]
   Keywords : Value-at-Risk VaR ; Expected Shortfall ES ; Nonparametric estimation methods; Parametric estimation methods; Crude oil.; Business and Economics;

   Abstract : Practitioners primarily utilise nonparametric methods when estimating Value-at- Risk (VaR) and Expected Shortfall (ES) for computing capital requirements. However, various researchers assert that there are issues with those estimates, particularly amidst periods of market turmoil. READ MORE

3. 2. How do ESG assets relate to the financial market? : A Diebold-Yilmaz spillover approach to sustainable finance

   University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Author : Shobair Moosawi; Ludvig Segerhammar; [2022]
   Keywords : AR 1 -GARCH p; q ; Commodity; ESG; Equity; Return; Spillover; Sustainability; Sustainable finance; Volatility;

   Abstract : The purpose of this master’s thesis is to investigate to what extent ESG assets and traditional benchmarks affect one another. Since sustainable investment is a growing segment of the financial market, investors need to be informed about how it may affect their portfolios, and by extension if it can be used for portfolio diversification. READ MORE

4. 3. Managing Risk with Energy Commodities using Value-at-Risk and Extreme Value Theory

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Alexander Noshkov; Zafer Demirtas; [2017]
   Keywords : Energy Commodities; Value-at-Risk VaR ; Extreme Value Theory EVT ; Peaks over Threshold POT ; Volatility Weighted Historical Simulation VWHS ; GARCH; EGARCH; TGARCH; Business and Economics;

   Abstract : Today’s society requires an endless supply of energy resources to keep functioning properly. The fluctuations in the prices of energy commodities are always a concern as it affects not only investors, but regular households as well. READ MORE

5. 4. An empirical study of the Value-at-Risk of the renewable energy market and the impact of the oil price

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Euan Anderson; [2015]
   Keywords : Two-sided Kupiec test; Student-t distribution; Normal distribution; Threshold GARCH TGARCH ; Oil; Generalized Autoregressive Heteroskedasticity GARCH ; Exponentially weighted moving average EWMA ; Volatility weighted historical simulation VWHS ; Basic historical simulation BHS ; rolling-window; Value-at-Risk VaR ; Renewable energy; Business and Economics;

   Abstract : Renewable energy is gaining increasing importance in the generation of power due to the finite existence of fossil fuels and concerns about climate change. As its demand grows financial interest from investors’ increases, thus it is important to find the most effective way of quantifying the risk of the renewable energy market. READ MORE

6. 5. Assessment of financial risk in renewable biodiesel firms

   University essay from Umeå universitet/Företagsekonomi

   Author : Tobias Vahlström; Adnan Cavka; [2015]
   Keywords : renewable biodiesel; financial risk;

   Abstract : Energy consumption in the transport sector is expected to increase substantially over the coming decades. The uncertainty in the forecasts are relatively high regarding the size of the increase but reports from the US Energy Information Administration (EIA) points to an increase of 56 percent between 2010 and 2040 (IEO2013, 2013, p. 9). READ MORE