Il Value at Risk Per Imprese Non Finanziarie: Il Caso Dell'Industria Della Raffinazione (Value-at-Risk for Non-Financial Companies: The Oil Refining Industry)

Finanza Marketing e Produzione, Forthcoming

12 Pages Posted: 14 Jan 2012 Last revised: 26 Jan 2012

See all articles by Alessandro Mauro

Alessandro Mauro

MKS; University of Geneva - Geneva School of Economics and Management

Date Written: December 1, 1999

Abstract

This paper discusses the way Value-at-Risk (VaR) measurement can be applied to oil refining, a fully liberalized industry which is largely exposed to price risk. After a description of the industry, the calculation of a single asset VaR, such for a crude oil purchase, it is introduced. Subsequently two-assets VaR is calculated, allowing risk measurement of a crude purchase and an oil product sale.

Finally the general portfolio VaR case is addressed, with multiple inputs and output in the refining process, and the calculation of VaR on the Gross Refining Margin. It is demonstrated that VaR of simple low profitability refineries is lower than VaR of complex high profitability refineries. This is in line with risk-return trade-off and explains the reason why simple refineries can stay on the market.

Note: Downloadable document is in Italian.

Keywords: value-at-risk, VaR, incremental VaR, oil refining industry, crude oil, oil refined products, simple refineries, complex refineries, gross refining margin, oil price formula

JEL Classification: D81, L60, C40, G10, L71

Suggested Citation

Mauro, Alessandro, Il Value at Risk Per Imprese Non Finanziarie: Il Caso Dell'Industria Della Raffinazione (Value-at-Risk for Non-Financial Companies: The Oil Refining Industry) (December 1, 1999). Finanza Marketing e Produzione, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1984554

University of Geneva - Geneva School of Economics and Management ( email )

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