基于EVT-CAViaR模型的原油价格极端风险度量  

Measuring the International Crude Oil Price Risk Based on EVT-CAViaR Model

作　　者：刘小瑜[1] 李浩[1] 

机构地区：[1]江西财经大学统计学院,江西南昌330013

出　　处：《经济数学》2018年第1期1-5,共5页Journal of Quantitative Economics

基　　金：江西省高校人文社会科学研究项目(TJ161002);江西省2017年研究生创新课题项目(YC2017-S218)

摘　　要：国际原油价格剧烈波动催生了对油价风险管理需求,在此背景下,科学有效地度量油价风险具有突出的现实意义.以WTI原油每日对数收益率为对象,采用EVT-CAViaR模型度量原油价格极端风险.结果表明:WTI原油市场呈现典型的"杠杆效应"与"高峰厚尾"特征.同时,在测算极端市场风险时,EVT-CAViaR模型有较强的预测风险能力,是一种可靠的油价风险度量工具.The heavy fluctuation of the price of international crude oil calls for the demand for oil price risk manage- ment. Thus, it has been of realistic significance to manage the oil price risk scientifically and effectively. By taking the daily logarithm yield rate as the research objects, this paper uses EVT-CAViaR model to measure WTI crude oil market risk. The re- sults show that., the WTI crude oil market presents typical ＇leptokurtosis and fat-tail＇ features and leverage effect. Besides, when measuring the extreme market risk, the EVT-CAViaR models are equipped with greater risk forecasting ability, and therefore can be a reliable risk management tools for oil market.

关 键 词：WTI原油 油价风险度量 EVT—CAViaR模型 

分 类 号：F764.1[经济管理—产业经济] F224