A Study Of Oil-Market Management Based On VaR-Garch Models

Due to the sharp fluctuation of oil price, the risk management of oil market has become more and more important, and the nature of oil security issues is transferred from "production - supply"- "supply security" paradigm to a "trade - financial" -"price safe" mode. The dissertation studied the financial attributes the oil market, risk quantitative analysis and the resource of the risk of oil price, and this will certainly make some reference to oil market risk management.As a start point, the dissertation firstly studied the financial attributes the oil market, as well as the uneven distribution of two aspects of the oil market "quasi-financial attributes" with the application of the financial instruments on the oil price risk management. Secondly, it introduces reference pricing system, which is based on current oil price, and then it focuses on the price risk management model of the world's major oil companies. Thirdly, it mainly research on the operation of the derivatives markets, in particular the value at risk (VaR) theory, thereby making a deeper understanding of the World oil market in the various changes and trends, the oil provided the basis for risk management.It is very important to analyze the risk of oil market because of the sharp fluctuation of oil price. The dissertation applies the VaR method to the oil market, which estimates the risk of finance market to oil market. After the introduction of the principle of VaR, it is established for the model of VaR based on GARCH-M for Brent oil price. It is proved that the VaR method is very effective after the model is applied to the oil market.Finally, the management of China's oil security necessity of the analysis, and in-depth study of China's current security management in the oil issues, and with reference to foreign advanced management models, made in China's oil security strategy should be adopted strategy.