Inderscience Publishers

An improved historical simulation approach for estimating 'value at risk' of crude oil price

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Value at risk, an effective measurement of financial risk, can be used to forecast the risk associated with oil price movements. In this paper, we propose an improved Historical Simulation Approach, EDFAAF, which is based on a former approach, HSAF. By comparing it with the HSAF approach, we give evidence to show that EDFAAF has a more effective forecasting power in the field of oil risk management.

Keywords: value at risk, oil price movements, historical simulation approach, ARMA model, oil risk management, crude oil prices, financial risk measurement, forecasting

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