The Chinese government’s flagship national strategy for the advancement of regional connectivity – the Belt and Road Initiative – continues to encourage the outward expansion of Chinese state-owned enterprises (SOEs). Here, Guotai Junan International…
Despite posting big losses, funds that track front-month contracts remain popular with investors
Energy Risk Awards 2020: Firm’s wide commodities presence, physical and financial risk expertise and financing capabilities result in standout deals
Banks ponder how to offset risks of ESG derivatives – or whether hedging is even desirable
Many market participants rely on end-of-day batch systems to perform analytics and, in the current environment, they may see significant negative impacts on their business. Leila Sadiq, front-office risk head of product at Bloomberg, explores how the…
Overhauling pricing models could reap rewards even if prices don’t cross zero again
Key wins for bp, Engie and Uniper while Macquarie takes the derivatives house of the year award
Higher carbon prices would trigger widespread industry defaults, says agency research unit
Lucrative hedge portfolios offer promise of cash but unlocking residual value won’t be simple
Systems supplied by FIS struggled to handle massive spike in March trading volumes
Energy Risk’s Software Rankings reveal the industry’s technology preferences in a changing world
As impending global changes brought about by climate change loom, one issue in particular threatens to cause massive losses to institutional investors – rising sea levels. David Lunsford and Boris Prahl, of MSCI, explore where, despite the efforts of…
Tools to manage LNG freight risk were developed last year, but how is the market responding?
Estimating marginal effects of key factors that influence wholesale electricity demand and price distributions in Texas via quantile variable selection methods
Using a large data set from the Electric Reliability Council of Texas, this study uses quantile regressions and attendant variable selection methods to choose the most important factors that influence demand and price distributions; subsequently, the…
Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk
This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market.
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Vikash Rughani, business manager at triReduce and triBalance, outlines a new approach enabling buy- and sell-side participants to optimise the transition of legacy Libor over-the-counter swaps contracts to alternative reference rates
Global warming threatens to upend everything risk models take for granted
As uncertainty abounds on the impact climate change may have on the industry, financial services firms must best equip themselves for potential regulatory and socioeconomic changes to ensure they maximise the opportunities of embracing new best practices…
In this paper, the author uses the mean–variance hedging criterion to value contracts in incomplete markets.