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

Xiaolei Sun | Zendy; Ling Tang | Zendy; Wan He | Zendy

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

Author(s) -

Xiaolei Sun,

Ling Tang,

Wan He

Publication year - 2011

Publication title -

procedia computer science

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.334

H-Index - 76

ISSN - 1877-0509

DOI - 10.1016/j.procs.2011.04.181

Subject(s) - volatility (finance) , portfolio , value at risk , china , soviet union , econometrics , computer science , economics , financial economics , risk management , finance , political science , politics , law

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

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