Quant Ideas: How VAR can add value to energy market analysis

Alessandro Mauro shows how using value-at-risk can improve market risk analysis in the energy sector

Oil market analysis is an important part of economic analysis, as it addresses the current situation and forecasted trends of a crucial sector of the world's economy. There is no lack of short-, middle- and long-term studies that inspect the fundamental aspects of this market: supply, demand, inventories, shipping and prices. This information is prepared by public agencies, oil companies, private firms and research institutes.

However, there is a shortage of data in relation to the measurement