-month futures returns. Risk models, ranging from industry standards such as RiskMetrics and historical simulation to conditional …The purpose of this paper is to investigate the performance of VaR models at measuring risk for WTI oil one … extreme value model, are used to calculate commodity market risk at extreme quantiles: 0.95, 0.99, 0.995 and 0.999 for both …

This article analyzes the tail behavior of energy price risk using a multivariate approach, in which the exposure to … estimate the models and evaluate tail risk measures for the portfolio's profit-and-loss distribution for long and short … portfolios show the importance of heavy tails and positive asymmetry in the distribution of energy risk factors. Thus, tail risk …