Estimation of risk measures in energy portfolios using modern copula techniques

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dc.contributor.authorJäschke, Stefan
dc.date.accessioned2012-10-15T08:33:40Z
dc.date.available2012-10-15T08:33:40Z
dc.date.issued2012-10-15
dc.description.abstractThe present paper analyses the dependence structure between WTI and Brent crude oil spot log-returns using modern copula techniques. In a first step we apply several single equation models to the marginals to account for autocorrelation and volatility clustering. Second, to select both copulas and tail copulas characterising the joint dynamics between the time series we implement and evaluate newly introduced bootstrap-based goodness-of-fit tests. Based on each approach, a comprehensive backtesting is performed by simulating and comparing the risk measures Value-at-Risk and Expected Shortfall with historical values.en
dc.identifier.urihttp://hdl.handle.net/2003/29691
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-7162
dc.language.isoen
dc.relation.ispartofseriesDiscussion Paper / SFB 823;43/2012
dc.subjectbacktestingen
dc.subjectcrude oilen
dc.subjectgoodness-of-fit testsen
dc.subjectjoint dynamicsen
dc.subjectrisk measuresen
dc.subjecttail copulasen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleEstimation of risk measures in energy portfolios using modern copula techniquesen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

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