期刊名称：Birkbeck Working Papers in Economics and Finance / School of Economics, Mathematics and Statistics, Birkbeck College
印刷版ISSN：1745-8587
出版年度：2007
卷号：2007
出版社：London University
摘要：The understanding of joint asset return distributions is an important ingredient
for managing risks of portfolios. While this is a well-discussed issue in fixed
income and equity markets, it is a challenge for energy commodities. In this
paper we are concerned with describing the joint return distribution of energy
related commodities futures, namely power, oil, gas, coal and carbon. The
objective of the paper is threefold. First, we conduct a careful analysis of
empirical returns and show how the class of multivariate generalized hyperbolic
distributions performs in this context. Second, we present how risk measures can
be computed for commodity portfolios based on generalized hyperbolic
assumptions. And finally, we discuss the implications of our findings for risk
management analyzing the exposure of power plants which represent typical energy
portfolios. Our main findings are that risk estimates based on a normal
distribution in the context of energy commodities can be statistically improved
using generalized hyperbolic distributions. Those distributions are flexible
enough to incorporate many characteristics of commodity returns and yield more
accurate risk estimates. Our analysis of the market suggests that carbon
allowances can be a helpful tool for controlling the risk exposure of a typical
energy portfolio representing a power plant.
