  This paper introduces a new type of risk measures, namely regime switching
entropic risk measures, and study their applicability through simulations. The
state of the economy is incorporated into the entropic risk formulation by
using a Markov chain. Closed formulae of the risk measure are obtained for
futures on crude oil derivatives. The applicability of these new types of risk
measures is based on the study of the risk aversion parameter and the
convenience yield. The numerical results show a term structure and a
mean-reverting behavior of the convenience yield.
