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Commodity Tail Risks
Ammann, Manuel; Moerke, Mathis; Prokopczuk, Marcel; … - 2022
In this study, we investigate the cross-section of option implied tail risks in commodity markets. In contrast to findings from equity markets, left and right tail risk implied by option markets are both large. Commodity specific variables exert the largest influence on tail risk, while there is...
Persistent link: https://www.econbiz.de/10014239679
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Variance Risk in Commodity Markets
Prokopczuk, Marcel - 2019
We analyze the variance risk of commodity markets. We construct synthetic variance swaps and find significantly negative realized and expected variance swap payoffs in most markets. We find evidence of commonalities among the realized payoffs of commodity variance swaps. We also document...
Persistent link: https://www.econbiz.de/10012905452
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Hybrid historical simulation VaR and ES : performance in developed and emerging markets
Zikovic, Sasa; Filer, Randall Keith - 2009
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the …
Persistent link: https://www.econbiz.de/10003891679
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1997
Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
Persistent link: https://www.econbiz.de/10010533206
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Propagation of commodity market shocks
Marini, Annalisa; McCorriston, Steve - 2017
Persistent link: https://www.econbiz.de/10011898902
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Commodity correlation risk
Byrne, Joseph P.; Sakemoto, Ryuta - 2022
Persistent link: https://www.econbiz.de/10013478831
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International tail risk and world fear
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017
is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …
Persistent link: https://www.econbiz.de/10011751251
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Modelling conditional correlations for risk diversification in crude oil markets
Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - 2009
Persistent link: https://www.econbiz.de/10003877105
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Forecasting volatility and spillovers in crude oil spot, forward and futures markets
Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - 2009
Persistent link: https://www.econbiz.de/10003877109
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Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets
Chang, Chia-Lin - 2009
Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the international oil market, namely West Texas Intermediate...
Persistent link: https://www.econbiz.de/10013159943