Risk Measurement Of International Crude Oil Price

As an important strategic resource and chemical raw materials, Crude oil is not only the energy security of the healthy national economic, but also affects the stable development of the enterprise which is related to the crude oil. The globalization of economic and finance is increasingly intense, the scarcity and non-renewalof crude oil leads to rob escalating from country to country, the ensuing war and national political friction strongly affect the international oil price shock. Because of heavy crude oil demand and prospective financial, coupled with the instability of financial markets, unscientific investment behaviors, the international crude oil market is full of high risks. The fluctuation of crude oil price is so intense, which makes the market participants, financial workers and policymakers felt confused about what to do. In this case, how to accurately describe the international crude oil price fluctuations, and determine the yield of crude oil in the future have drew attention of the academic and investors. Therefore, the study of international crude oil volatility has important theoretical significance and application value.There are a lot of literature research on crude oil market value at risk, but they are diffent on the choice of optimal model. Moreover, no existing literature has study on the double long memory characteristics of crude oil market. Modeling with GARCH models based on skewed student-t distribution and RiskMetrics, this article study on the earnings price ratio of West Texas Intermediate and Brent, in order to adding double long memory characteristic of the crude oil market blank, and find a optimal model to measure the crude oil market risk. In terms of precision of model test, this article uses three methods, Failure inspection method, Kupiec LR test method and Dynamic Quantile test, to test GARCH model in measuring the accuracy of the two major oil market Value at Risk.The empirical results show that the WTI and Brent crude oil yield is smooth, which shows the features of "left, peak, thick tail, volatility cluster", the WTI and Brent crude oil yield do not obey the normal distribution, and it has characteristics of asymmetric leverage and double long memory. In terms of crude oil market VaR, FIAPARCH and ARFIMA- FIAPARCH model is superior to other models, but there is no absolute advantages and disadvantages between the two models. Finally, Suggestions are given for energy workers and the relevant personnels.