Resumo

SANCHEZ RUENES, Eduardo; NUNEZ MORA, José Antonio  e  MOTA ARAGON, Martha Beatriz. VaR and CVaR Estimates in BRIC’s Oil Sector: A Normal Inverse Gaussian Distribution Approach. Econ: teor. práct [online]. 2020, n.52, pp.207-236.  Epub 17-Jun-2020. ISSN 2448-7481.  https://doi.org/10.24275/etypuam/ne/522020/sanchez.

Value at Risk (VaR) and Conditional Value at Risk (CVaR) measures for estimating risk have been used in the oil sector to measure extreme and unexpected oil price scenarios. Additionally, Normal Inverse Gaussian (NIG) distribution, a special case of the Generalized Hyperbolic (GH) family, has been shown to provide better financial data adjustment than normal distribution. In this paper, we used NIG distribution to model distribution of equity price returns in oil companies in Brazil, Russia, India and China (BRIC) during periods of unstable oil prices between 2004 and 2017, with the objective of demonstrating underestimation of risk measures through normal distribution and greater estimation of those measures when using NIG distribution.

Palavras-chave : Value at Risk (VaR); Conditional Value at Risk (CVaR); Normal Inverse Gaussian (NIG) distribution; oil equity returns; BRIC economies.

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