Modeling of Extreme Crude Oil Price using the Generalized Pareto Distribution: Brent and West Texas Benchmark Price

IF 1.1 4区化学 Q4 PHYSICS, ATOMIC, MOLECULAR & CHEMICAL

European Journal of Mass Spectrometry Pub Date : 2021-04-28 DOI:10.34198/EJMS.6221.359374

Ngozi J. Amachukwu, H. Obiora-Ilouno, E. I. Obisue

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Abstract

Background and objective: Crude oil is an essential commodity in many countries of the world. This work studies the risk involved in the extreme crude oil price, using the daily crude oil price of the Brent and the West Texas benchmark from year 1990 to 2019. Materials and methods: The Peak Over Threshold (POT) approach of the Generalized Pareto Distribution (GPD) was used to model the extreme crude oil price while the value at risk and the expected shortfall was used to quantify the risk involved in extreme price of crude oil. The GPD, using the Q-Q plot was found to be a good model for the extreme values of the crude oil price. Results: The Value at Risk (VaR) and the Expected Shortfall (ES) calculated at 90%, 95% and 99% with the Maximum Likelihood estimators of GPD parameters and the threshold values were found to decrease with increase in quantile for both benchmark. This shows that risk involved in extreme crude oil price will be borne only by the investors and public. Conclusion: It was also found that the VaR and ES of the Brent are higher than that of West Texas. This implies that it is safer to invest in West Texas crude oil.

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使用广义帕累托分布的极端原油价格建模：布伦特和西德克萨斯基准价格

背景和目的：原油在世界许多国家都是必不可少的商品。这项工作使用1990年至2019年布伦特原油和西德克萨斯基准的每日原油价格研究了极端原油价格所涉及的风险。材料和方法：广义帕累托分布（GPD）的峰值超阈值（POT）方法用于对极端原油价格进行建模，而风险价值和预期缺口用于量化极端原油价格所涉及的风险。使用Q-Q图的GPD被发现是原油价格极值的一个很好的模型。结果：风险值（VaR）和预期缺口（ES）分别用GPD参数的最大似然估计量和阈值在90%、95%和99%时计算，发现两个基准的风险值和预期缺口随着分位数的增加而减少。这表明，原油价格极端化所涉及的风险将只由投资者和公众承担。结论：布伦特原油的VaR和ES均高于西德克萨斯原油。这意味着投资西德克萨斯原油更安全。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

European Journal of Mass Spectrometry 物理-光谱学

CiteScore

2.40

自引率

7.70%

发文量

审稿时长

>12 weeks

期刊介绍： JMS - European Journal of Mass Spectrometry, is a peer-reviewed journal, devoted to the publication of innovative research in mass spectrometry. Articles in the journal come from proteomics, metabolomics, petroleomics and other areas developing under the umbrella of the “omic revolution”.