Historical risk measures on stock market indices and energy markets

TL;DR

This paper evaluates various historical risk measures like VaR and TCE across energy and stock markets, providing insights for robust risk management strategies based on empirical analysis.

Contribution

It compares multiple risk measures and durations, offering practical recommendations for effective risk management in financial markets.

Findings

Different risk measures vary in effectiveness across markets.

Longer historical durations improve risk estimate stability.

Recommendations for implementing robust risk management strategies.

Abstract

In this paper we look at the efficacy of different risk measures on energy markets and across several different stock market indices. We use both the Value at Risk and the Tail Conditional Expectation on each of these data sets. We also consider several different durations and levels for historical risk measures. Through our results we make some recommendations for a robust risk management strategy that involves historical risk measures.