Exploring the Value at Risk of Oil-exporting Country Portfolio: An Empirical Analysis from the FSU Region
نویسندگان
چکیده
In the perspective of oil-importers, this paper considers an extension of the Value at Risk approach incorporated with timevarying conditional volatility model to trace the actual dynamic risk of regional oil-importing portfolio caused by the country risk volatility. With an application to oil economies in the Former Soviet Union (FSU) region, empirical results show that the country portfolio risk of oil-imports and country risk volatility in the FSU region has more significant influence on China’s oil-importing risk than that on EU’s. Keyword: Country risk; Value at Risk; Portfolio; BEKK model; Cornish-Fisher
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