Extreme Value Theory and Brent Crude

This book focuses on using Extreme Value Theory (EVT) to model and estimate risks in the highly volatile and risky crude oil markets. It applies EVT to analyze the daily returns of Brent crude oil prices in the spot market from 1987 to 2009. The book specifically focuses on the peak over threshold method, which estimates tail risk measures such as Value-at-Risk (VaR) and Expected Shortfall (ES). The estimates for VaR at the 99th quantile are approximately 8.1% for daily positive returns and 8.0% for daily negative returns. The estimates for expected shortfall are 12.3% for daily positive returns and 10.7% for daily negative returns. The book is available in paperback, has 132 pages, and is written in English.