The Study of Risk about International Oil Future Market

Xinshu Tu

Abstract


VaR is one of the best methods to measure the risk of international future markets; CVaR which is calculated by modifying VaR is a better way to measure the risk in excessive condition. There are unnumbered future markets in the world, and the risk of every sort is difference, we can calculate that the largest one is crude oil. Then we will compare its risk to its history and try to find out the trend risk changes. We find that the petroleum risk cycle more like the economy cycle of the U.S. When some famous historic affairs occur, the risk of that year is obviously larger through calculate the risk of future market. Also we can use CVaR to measure the risk when excessive incidents occur.

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International Journal of Business and Management   ISSN 1833-3850 (Print)   ISSN 1833-8119 (Online)

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