APPLICATION OF VALUE AT RISK IN RISK MANAGEMENT OF OIL REVENUE IN IRAN

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SHAVVALPOUR SAEED; JABBARZADEH ARMIN; KHANJARPANAH HOSSEIN

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Paper Information

Journal: IRANIAN ENERGY ECONOMICS Year:2016 | Volume:5 | Issue:19 Page(s): 113-143

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Title

APPLICATION OF VALUE AT RISK IN RISK MANAGEMENT OF OIL REVENUE IN IRAN

Author(s)

SHAVVALPOUR SAEED | JABBARZADEH ARMIN | KHANJARPANAH HOSSEIN | Issue Writer Certificate

Keywords

VALUE AT RISKQ2

CRUDE OILQ2

CGARCHQ1

FOREIGN EXCHANGE RESERVE FUNDSQ1

Abstract

Crude oil price risk is crucial for oil exporting countries. Consequently, developing a risk hedging mechanism has great importance for these countries. Given that VALUE AT RISK (VaR) is one of the most powerful tools for evaluating price risk, this paper has tried to design a mechanism for risk management of Iranian oil revenues using the VaR measure. In this regard, Autoregressive Conditional Heteroskedasticity models including GARCH, CGARCH and EGARCH with different destiny distribution functions are utilized for calculating VaR of OPEC CRUDE OIL price in the period of 6 October 2005 to 29 August 2015. The results show that CGARCH model with t- student distribution outperforms the other methods in terms of forecast error measures. The implementation of CGARCH model with using the data of Iranian oil production in 2014 reveals that the proposed model can lead to a significant surplus income.

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APA: Copy

SHAVVALPOUR, SAEED, JABBARZADEH, ARMIN, & KHANJARPANAH, HOSSEIN. (2016). APPLICATION OF VALUE AT RISK IN RISK MANAGEMENT OF OIL REVENUE IN IRAN. IRANIAN ENERGY ECONOMICS, 5(19 ), 113-143. SID. https://sid.ir/paper/244861/en

Vancouver: Copy

SHAVVALPOUR SAEED, JABBARZADEH ARMIN, KHANJARPANAH HOSSEIN. APPLICATION OF VALUE AT RISK IN RISK MANAGEMENT OF OIL REVENUE IN IRAN. IRANIAN ENERGY ECONOMICS[Internet]. 2016;5(19 ):113-143. Available from: https://sid.ir/paper/244861/en

IEEE: Copy

SAEED SHAVVALPOUR, ARMIN JABBARZADEH, and HOSSEIN KHANJARPANAH, “APPLICATION OF VALUE AT RISK IN RISK MANAGEMENT OF OIL REVENUE IN IRAN,” IRANIAN ENERGY ECONOMICS, vol. 5, no. 19 , pp. 113–143, 2016, [Online]. Available: https://sid.ir/paper/244861/en

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