A Practical Risk Analysis of The Brent Oil Prices

Nurhan TOGUC, (İstanbul Gelişim Üniversitesi, İktisadi, İdari ve Sosyal Bilimler Fakültesi, İstanbul, Türkiye)
Turgay KARALİNÇ (İstanbul Gelişim Üniversitesi, İktisadi, İdari ve Sosyal Bilimler Fakültesi, İstanbul, Türkiye)
Üçüncü Sektör Sosyal Ekonomi
7 4
Yıl: 2023 Cilt: 58 Sayı: 1 Sayfa Aralığı: 932 - 950 Metin Dili: İngilizce DOI: 10.15659/3.sektor-sosyal-ekonomi.23.03.2073 İndeks Tarihi: 16-05-2023

A Practical Risk Analysis of The Brent Oil Prices

Öz:
This research investigates three approaches to determine the best model for identifying risk in Brent oil prices: Value at Risk, Monte Carlo Simulations, and Conditional Value At Risk (CVaR). The study also aims to contribute to the literature by examining whether it is possible to measure risk in advance for Brent oil prices and compares the performance of various risk measurement models to determine the best-performing method in measuring risk. Our findings show that the VaR model underestimated risk at the 95% confidence level. This may be due to the non-normal distribution of returns. Our results on conditional value at risk (CVaR) indicate that CVaR produced superior results compared to VaR in cases where the distribution of returns was highly skewed or had fat tails. This is because the expected shortfall measure takes into account expected loss beyond the VaR threshold.
Anahtar Kelime: VaR Monte Carlo Simulation CVAR Expected Shortfall Risk Management Asset Management

Brent Petrol Fı̇yatları Üzerı̇ne Pratı̇k Bı̇r Rı̇sk Analı̇zı̇

Öz:
Bu çalışma, Brent petrol fiyatlarındaki riski ölçmek için en iyi modeli belirlemek amacı ile üç yaklaşımı incelemektedir: Riske Maruz Değer, Monte Carlo Simülasyonları ve Koşullu Riske Maruz Değer (CVaR). Çalışma ayrıca Brent petrol fiyatları için riskin önceden ölçülmesinin mümkün olup olmadığını inceleyerek literatüre katkıda bulunmayı amaçlamakta ve risk ölçümünde en iyi performans gösteren yöntemi belirlemek için çeşitli risk ölçüm modellerinin performansını karşılaştırmaktadır. Bulgularımız VaR modelinin %95 güven düzeyinde riski olduğundan daha düşük tahmin ettiğini göstermektedir. Bu durum, getirilerin normal olmayan dağılımından kaynaklanıyor olabilir. Koşullu riske maruz değer (CVaR) ile ilgili elde ettiğimiz sonuçlar, getiri dağılımının yüksek oranda çarpık olduğu veya kalın kuyruklu (fat tailed) olduğu durumlarda CVaR'ın VaR'a kıyasla daha üstün sonuçlar ürettiğini göstermektedir. Bunun nedeni, Koşullu Riske Maruz Değer (CVAR) ölçütünün VaR eşiğinin ötesinde, beklenen kaybı da dikkate almasından kaynaklanmaktadır.
Anahtar Kelime: Riske Maruz Değer Monte Carlo Simülasyonları Koşullu Riske Maruz Değer Varlık Yönetimi

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA toguc n, KARALİNÇ T (2023). A Practical Risk Analysis of The Brent Oil Prices. , 932 - 950. 10.15659/3.sektor-sosyal-ekonomi.23.03.2073
Chicago toguc nurhan,KARALİNÇ TURGAY A Practical Risk Analysis of The Brent Oil Prices. (2023): 932 - 950. 10.15659/3.sektor-sosyal-ekonomi.23.03.2073
MLA toguc nurhan,KARALİNÇ TURGAY A Practical Risk Analysis of The Brent Oil Prices. , 2023, ss.932 - 950. 10.15659/3.sektor-sosyal-ekonomi.23.03.2073
AMA toguc n,KARALİNÇ T A Practical Risk Analysis of The Brent Oil Prices. . 2023; 932 - 950. 10.15659/3.sektor-sosyal-ekonomi.23.03.2073
Vancouver toguc n,KARALİNÇ T A Practical Risk Analysis of The Brent Oil Prices. . 2023; 932 - 950. 10.15659/3.sektor-sosyal-ekonomi.23.03.2073
IEEE toguc n,KARALİNÇ T "A Practical Risk Analysis of The Brent Oil Prices." , ss.932 - 950, 2023. 10.15659/3.sektor-sosyal-ekonomi.23.03.2073
ISNAD toguc, nurhan - KARALİNÇ, TURGAY. "A Practical Risk Analysis of The Brent Oil Prices". (2023), 932-950. https://doi.org/10.15659/3.sektor-sosyal-ekonomi.23.03.2073
APA toguc n, KARALİNÇ T (2023). A Practical Risk Analysis of The Brent Oil Prices. Üçüncü Sektör Sosyal Ekonomi, 58(1), 932 - 950. 10.15659/3.sektor-sosyal-ekonomi.23.03.2073
Chicago toguc nurhan,KARALİNÇ TURGAY A Practical Risk Analysis of The Brent Oil Prices. Üçüncü Sektör Sosyal Ekonomi 58, no.1 (2023): 932 - 950. 10.15659/3.sektor-sosyal-ekonomi.23.03.2073
MLA toguc nurhan,KARALİNÇ TURGAY A Practical Risk Analysis of The Brent Oil Prices. Üçüncü Sektör Sosyal Ekonomi, vol.58, no.1, 2023, ss.932 - 950. 10.15659/3.sektor-sosyal-ekonomi.23.03.2073
AMA toguc n,KARALİNÇ T A Practical Risk Analysis of The Brent Oil Prices. Üçüncü Sektör Sosyal Ekonomi. 2023; 58(1): 932 - 950. 10.15659/3.sektor-sosyal-ekonomi.23.03.2073
Vancouver toguc n,KARALİNÇ T A Practical Risk Analysis of The Brent Oil Prices. Üçüncü Sektör Sosyal Ekonomi. 2023; 58(1): 932 - 950. 10.15659/3.sektor-sosyal-ekonomi.23.03.2073
IEEE toguc n,KARALİNÇ T "A Practical Risk Analysis of The Brent Oil Prices." Üçüncü Sektör Sosyal Ekonomi, 58, ss.932 - 950, 2023. 10.15659/3.sektor-sosyal-ekonomi.23.03.2073
ISNAD toguc, nurhan - KARALİNÇ, TURGAY. "A Practical Risk Analysis of The Brent Oil Prices". Üçüncü Sektör Sosyal Ekonomi 58/1 (2023), 932-950. https://doi.org/10.15659/3.sektor-sosyal-ekonomi.23.03.2073
Sayfa Oluşturulma Tarihi
24-04-2024 22:57

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