Oil tail-risk forecasts: from financial crisis to COVID-19

The coronavirus outbreak has caused unprecedented volatility in oil prices. This paper extends previous studies on Value-at-Risk (VaR) by providing extra insights into Expected Shortfall (ES) forecasting over the last decade, including several crises. We introduce a conditional model combined with Cornish–Fisher expansion for ES forecasting. In comparison to widely used models and innovation distributions, this approach is superior predicting of long positions but overestimates VaR short positions. Overall, addressing leverage effects skewed t produces most accurate joint Moreover, magnitude relative varies across time, implying that should be conjunction inform timely risk management decisions. results would interest regulatory authorities, energy companies, financial institutions tail-risk