Abstract: This paper adopts GARCH model with GED distribution to estimate the conditional VaR in both upside and downside directions at the confidence level of 90% and 95%,and then utilizes the Granger cau sality in risk to uncover the extreme risk spillover effect between WTI and Daqing oil markets,the daily da to of oil price in two markets ranging from May 2000 to May 2005.Our findings indicate there exists unilateral risk spillover effect from international to domestic in both extreme upside risk and downside risk,which means the history of extreme risk of international market will be helpful to predict the extreme risk in domestic market.Taking stock market as benchmark,this paper investigates the difficulty and counter measures in risk management of oil market.

Key words: oil market, risk spillover, VaR, extreme risk