Gallali, Med Imen; Zahraa, Raggad - In: International Journal of Financial Services Management 5 (2012) 3, pp. 197-215
This paper highlights the importance of Value-at-Risk (VaR) methodology in managing oil market risks of three international crude oil rates (Brent, OPEP and WTI). Comparing between the conventional VaR models proposed by the literature (non-parametric models, hybrid models and conditional and...