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Impact of Negative Oil Price on Risk Measuring

In: The CME Vulnerability The Impact of Negative Oil Futures Trading

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  • James Zhan

Abstract

This chapter briefly discusses the impact of the recent negative West Texas Intermediate (WTI) oil price incident on the fundamental relationships between WTI futures and spot prices, options pricing, risk measuring, hedging strategy, and regulatory rules. It emphasizes the importance of promoting best practice in oil price-discovery, the robustness of valuation, risk modeling, and system development with improved rules and processes.

Suggested Citation

  • James Zhan, 2020. "Impact of Negative Oil Price on Risk Measuring," World Scientific Book Chapters, in: George Xianzhi Yuan (ed.), The CME Vulnerability The Impact of Negative Oil Futures Trading, chapter 3, pages 69-83, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811223204_0003
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    More about this item

    Keywords

    CME; Vulnerability; WTI; Oil; Trading; Rule; 420; Negative Trading Price; Best Practice; Valuation; Risk Management; Regulatory; Rule; Accounting; Standard; Fair Value; Trading Behaviour; Covid; Corona;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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