DocumentCode
3041178
Title
An improved historical simulation method to estimate the amount of refined oil retail value at risk VaR
Author
Wan, Yongtao ; Zhao, Lutao ; Zhang, Zhigang ; Ai, Dongmei
Author_Institution
Sch. of Math. & Phys., Univ. of Sci. & Technol. Beijing, Beijing, China
fYear
2011
fDate
26-28 July 2011
Firstpage
2401
Lastpage
2403
Abstract
Value at risk, an effective measurement of financial risk, can be used to forecast the risk associated with amount of refined oil. In this paper, an improved Historical Simulation Approach, HSGF is proposed, which is based on a former approach, HSAF. By comparing it with the HS,HSAF and HSGF approach, this paper give evidence to show that HSGF has a more effective forecasting power in the field of amount of refined oil risk management.
Keywords
financial management; oil refining; risk analysis; financial risk; improved historical simulation method; refined oil retail value amount estimation; refined oil risk management; risk VaR; value at risk; Economics; Forecasting; Marketing and sales; Petroleum; Predictive models; Reactive power; Risk management; GARCH model; historical simulation approach; value at risk;
fLanguage
English
Publisher
ieee
Conference_Titel
Multimedia Technology (ICMT), 2011 International Conference on
Conference_Location
Hangzhou
Print_ISBN
978-1-61284-771-9
Type
conf
DOI
10.1109/ICMT.2011.6002623
Filename
6002623
Link To Document