Copulas Applications in Estimating Value-at-Risk (VaR): Iranian Crude Oil Prices
Bibliographic record
Abstract
Crude oil being the primary source of energy is been unquestioningly the main driving engine of every country in this world whether it is the oil producer economy and/or oil consumer economy. Crude oil, one of the key strategic products in the global market, may influence the economy of the exporting and importing countries. Iran is one of the major crude oil exporting partners of the Organization of the Petroleum Exporting Countries (OPEC). Analysis of the risk measures associated with the Iranian oil price data is of strategic importance to the Iranian government and policy makers in particular for the short-and long-term planning for setting up the oil production targets. Oil price risk-management focuses mainly on when and how an organization can best prevent the costly exposure to the price risk. Value-at-Risk (VaR) is the commonly accepted instrument of risk-measure and is evaluated by analysing the negative tail of the probability distributions of the returns/profit and loss. Among several approaches for calculating VaR, the most common approaches are variance-covariance approach, historical simulation and Monte-Carlo simulation. Recently, copula functions have emerged as a powerful tool to model and simulate multivariate probability distributions. Copula applications have been noted predominantly in the areas of finance, actuary, economics and health and clinical studies. In addition, copulas are useful devices to deal with the non normality and non-linearity issues which are frequently observed in cases of financial time series data. In this paper we shall apply copulas namely; Frank copula, Clayton copula and Gumbel copula to analyse the time series crude oil price data of Iran in respect of OPEC prices. Data considered are; i. Monthly average prices for a barrel of Iranian and OPEC crude oil, from January 1997 to December 2008, ii. Seasonal number of barrels of Iran’s crude oil export, from January 1997 to December 2008. The results will demonstrate copula simulated data are providing higher and lower relative change values on the upper and lower tails respectively in comparison to the original data.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.003 | 0.016 |
| Meta-epidemiology (narrow) | 0.002 | 0.001 |
| Meta-epidemiology (broad) | 0.001 | 0.002 |
| Bibliometrics | 0.002 | 0.003 |
| Science and technology studies | 0.000 | 0.001 |
| Scholarly communication | 0.002 | 0.002 |
| Open science | 0.001 | 0.002 |
| Research integrity | 0.001 | 0.003 |
| Insufficient payload (model declined to judge) | 0.003 | 0.001 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".