Exploring the Value at Risk of Oil-exporting Country Portfolio: An Empirical Analysis from the FSU Region

被引：5
|
作者：
Sun, Xiaolei [1 ]
Tang, Ling [1 ,2 ]
He, Wan [3 ]
机构：
[1] Chinese Acad Sci, Inst Policy & Management, Beijing 100190, Peoples R China
[2] Grad Univ Chinese Acad Sci, Beijing 100039, Peoples R China
[3] State Grid Energy Res Inst, Beijing 100052, Peoples R China
来源：
PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON COMPUTATIONAL SCIENCE (ICCS) | 2011年 / 4卷
基金：
美国国家科学基金会;
关键词：
Country risk; Value at Risk; Portfolio; BEKK model; Cornish-Fisher; INDEX; MODEL;
D O I：
10.1016/j.procs.2011.04.181
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
In the perspective of oil-importers, this paper considers an extension of the Value at Risk approach incorporated with time-varying conditional volatility model to trace the actual dynamic risk of regional oil-importing portfolio caused by the country risk volatility. With an application to oil economies in the Former Soviet Union (FSU) region, empirical results show that the country portfolio risk of oil-imports and country risk volatility in the FSU region has more significant influence on China's oil-importing risk than that on EU's.
引用
收藏
页码：1675 / 1680
页数：6
相关论文
共 25 条
  • [1] Oil and the macroeconomy: empirical evidence from oil-exporting African countries
    Iwayemi, Akin
    Fowowe, Babajide
    [J]. OPEC ENERGY REVIEW, 2011, 35 (03) : 227 - 269
  • [2] Oil inflows and housing market fluctuations in an oil-exporting country: Evidence from Iran
    Khiabani, Nasser
    [J]. JOURNAL OF HOUSING ECONOMICS, 2015, 30 : 59 - 76
  • [3] Identifying the risk-return tradeoff and exploring the dynamic risk exposure of country portfolio of the FSU's oil economies
    Sun, Xiaolei
    Li, Jianping
    Tang, Ling
    Wu, Dengsheng
    [J]. ECONOMIC MODELLING, 2012, 29 (06) : 2494 - 2503
  • [4] OIL-EXPORTING COUNTRY RISK EVALUATION USING A MULTI-GROUP DISCRIMINATION METHOD
    Wang, Chen
    Li, Gang
    Li, Jianping
    [J]. PROCEEDINGS OF THE 38TH INTERNATIONAL CONFERENCE ON COMPUTERS AND INDUSTRIAL ENGINEERING, VOLS 1-3, 2008, : 648 - 651
  • [5] Statistical properties of country risk ratings under oil price volatility: Evidence from selected oil-exporting countries
    Liu, Chang
    Sun, Xiaolei
    Chen, Jianming
    Li, Jianping
    [J]. ENERGY POLICY, 2016, 92 : 234 - 245
  • [6] How Oil Price Changes Affect Inflation in an Oil-Exporting Country: Evidence from Azerbaijan
    Aliyev, Khatai
    Humbatova, Sugra
    Gadim-Oglu, Natig Hajiyev
    [J]. SUSTAINABILITY, 2023, 15 (07)
  • [7] Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries
    Tanin, Tauhidul Islam
    Hasanov, Akram Shavkatovich
    Shaiban, Mohammed Sharaf Mohsen
    Brooks, Robert
    [J]. ENERGY ECONOMICS, 2022, 115
  • [8] From black gold to financial fallout: Analyzing extreme risk spillovers in oil-exporting nations
    Abid, Ilyes
    Benkraiem, Ramzi
    Mzoughi, Hela
    Urom, Christian
    [J]. JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2024, 91
  • [9] Financial development and human development: A non-linear analysis for Oil-exporting and Oil-importing countries in MENA region
    Abdelaziz, Hakimi
    Helmi, Hamdi
    [J]. ECONOMICS BULLETIN, 2019, 39 (04): : 2484 - 2498
  • [10] Does geopolitical risk improve the directional predictability from oil to stock returns? Evidence from oil-exporting and oil-importing countries
    Kumar, Satish
    Khalfaoui, Rabeh
    Tiwari, Aviral Kumar
    [J]. RESOURCES POLICY, 2021, 74
123