Impact of Negative Oil Price on Risk Measuring

James Zhan

Chapter 3 in The CME Vulnerability:The Impact of Negative Oil Futures Trading, 2020, pp 69-83 from World Scientific Publishing Co. Pte. Ltd.

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.

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 (search for similar items in EconPapers)
JEL-codes: G1 G10 G17 G32 (search for similar items in EconPapers)
Date: 2020
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