Abstract
This paper extend the Value-at-Risk estimation from univariate case to a multivariate setting. A hybrid method is introduced to estimate portfolio Value-at-risk (PVaR) for eight bivariate portfolios which consists of two return series of oil prices (Brent and West Texas Intermediate) and its respective futures prices at the maturities of 1, 2, 3 and 4 months. This hybrid method is based on empirical density function, generalized Pareto distribution, empirical copula, and simulation. Distinct from previous studies on variance, this paper uses PVaR estimates to re-examine maturity effect. The outcomes confirm maturity effect and show that portfolio risk level increases as maturity approaches.
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