Value at risk measure on oil price by using extreme value theory approach

• Main Authors: Jajiman, Putra Nor Hakimi, Ling, Wendy Shinyie, Buliah, Nur Amirah
• Format: Article
• Published: Malaysian Mathematical Science Society 2022
• Online Access: http://psasir.upm.edu.my/id/eprint/102581/; https://myjms.mohe.gov.my/index.php/dismath/article/view/20703

The oil market is well known for its unpredictable market trend and volatility, which makes the trading risk in this market high and can lead to huge losses. The purpose of this study is to measure the risk of extreme returns in the oil market. Effective risk management can avoid investors from s...