Energy risk management and value at risk modeling_2006_Energy Policy精品.pdf

ARTICLE IN PRESS Energy Policy 34 (2006) 3367–3373 /locate/enpol Viewpoint Energy risk management and value at risk modeling Mehdi Sadeghi, Saeed Shavvalpour Economics department, Imam Sadiq University, P.B. 14655-159, Tehran-Iran Available online 26 August 2005 Abstract The value of energy trades can change over time with market conditions and underlying price variables. The rise of competition and deregulation in energy markets has led to relatively free energy markets that are characterized by high price shifts. Within oil markets the volatile oil price environment after OPEC agreements in the 1970s requires a risk quantification.’’ Value-at-risk’’ has become an essential tool for this end when quantifying market risk. There are various methods for calculating value-at-risk. The methods we introduced in this paper are Historical Simulation ARMA Forecasting and Variance–Covariance based on GARCH modeling approaches. The results show that among various approaches the HSAF methodology presents more efficient results, so that if the level of confidence is 99%, the value-at-risk calculated through HSAF methodology is greater than actual price changes in almost 97.6 percent of the forecasting period. r 2005 Elsevier Ltd. All rights reserved. Keywords: Energy price risk; Price risk management; Value-at-risk; HSAF methodology; Garch model 1. Introduction characterized by high price shifts. Within oil markets