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

introduce a definition of geopolitical risk which is based on volatility shocks to a wide range of financial market prices. To … innovations to volatilities are correlated across assets and therefore can be used to measure and hedge geopolitical risk. We … measure geopolitical risk, we propose a statistical model for the magnitude of the common volatility shocks. Accordingly, a …