In this paper, Dan Mahoney and Krzysztof Wolyniec show that in co-integrated (mean-reverting) futures markets, active dynamic hedging is required to realise the quadratic variation of the underlying spread...
In the second part of Energy Risk’s series on the future for the exchange-traded energy markets, Ice Futures Europe’s David Peniket and Mike Davis talk to Pauline McCallion about the likely direction...
Preserving the ability of electric utilities to use OTC derivatives for hedging purposes and maintaining low tax rates on dividends are two of the most pressing issues facing utilities in 2012 and it’s...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Stella Farrington articles
Geopolitical turbulence, economic gloom and regulatory uncertainty were undoubtedly the major themes for energy markets in 2011 and continue to present major challenges for risk managers this year. Against this backdrop, we publish our much-talked-about...
Demand for gas in Europe is set to increase in the coming years benefiting today’s most liquid hubs, say respondents to a survey carried out by Energy Risk and Baringa Partners. By Stella Farrington with comment from Nick Tallantyre
With carbon prices plunging both the Europe and the US as the fragile global economy takes place Energy Risk is speaking to key players within the industry regarding the future of the carbon markets and what developments are foreseen in the future
This month's special report takes a look at high frequency trading in the energy markets. Our first article discusses some of the technological issues while the second looks at how algo trading is changing energy market behaviour. Fast and furious...
High-frequency trading (HFT) is playing an ever-larger role in energy markets, but is it really suited to the nuanced deal sheets of commodities? Stephen Maloney considers this and asks whether HFT is in fact quietly tilting the table to favour those...
A comparison of common delta-hedging strategies and calculations finds that simple formulas used to calculate delta hedges can lead to severe biases. Cyriel de Jong, Hans van Dijken and Alexandra Bundalova suggest a relatively fast, but more accurate...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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