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1、PRICERISKINTHENYMEXENERGYCOMPLEX:ANEXTREMEVALUEAPPROACHTIMKREHBIEL*LEEC.ADKINSWeestimatetailparametersandconstructriskstatisticsforunconditionaldistributionsofdailylogarithmicpricechangesoftheNYMEXenergycomplexandapplytheconditionalextremevaluemethodproposedbyA.J.McNe
2、ilandR.Frey(2000)forestimatingVARandrelatedriskstatis-ticsfromthetailsofconditionaldistributionsforthesecommodities.Theunconditionaldistributionofspotmarketpricedeclinesisfoundtobefattailedrelativetothenormalforallcommoditiesexamined.Backtestingofcandidateconditionalr
3、iskmeasurementmethodsindicatesthatthecondi-tionalextremevaluemethodissignificantlymoreaccurateformeasuringriskexposureduetopricedeclinesfor7ofthe10priceseriesexamined.©2005WileyPeriodicals,Inc.JrlFutMark25:309–337,2005INTRODUCTIONRecentdevelopmentsintheenergymarketinga
4、ndtradingindustry—includingthecreditdowngradeofcompaniesmakingmarketsinenergycommoditiesandderivatives,industryexitofleadingmarketmaking*Correspondenceauthor,CollegeofBusinessAdministration,OklahomaStateUniversity,201Business,Stillwater,OK74078-4011;e-mail:TLK@okstate
5、.eduReceivedJanuary2004;AcceptedJuly2004TimKrehbielisaProfessorinFinanceattheCollegeofBusinessAdministrationatOklahomaStateUniversityinStillwater,Oklahoma.LeeC.AdkinsisaProfessorofEconomicsatOklahomaStateUniversityinStillwater,Oklahoma.TheJournalofFuturesMarkets,Vol
6、.25,No.4,309–337(2005)©2005WileyPeriodicals,Inc.PublishedonlineinWileyInterScience(www.interscience.wiley.com).DOI:10.1002/fut.20150TEAMLinG-Live,Informative,Non-costandGenuine!310KrehbielandAdkinscompanies,andtheCommodityFuturesModernizationActof2000—havespreadmarket
7、making,transactionandriskbearingservicestonewinstitutions.Whilethereisalargebodyofempirical/theoreticallitera-turethatguidesthemodelingofextremepricemovementsforfinancialassets,thereislittletoguidethedevelopmentofriskmeasurementandstresstestingofmodelsspecifictothecomm
8、oditiesoftheNYMEXenergycomplex:crudeoil,naturalgas,heatingoilandunleadedgaso-line.Thisstudyfillsagapfortheseinstitutions.Thep