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Cutting edge: Jamshidian decomposition for pricing European energy commodity swaptions
The Certificate in Quantitative Finance program provides risk professionals with quant finance tools applicable to their roles, and now offers risk management electives. Join our online info session: 11 June
More Mark Pengelly articles
The costs of separation
No-action letter not enough to convince counterparties to trade with public utilities
Basel capital rules and regulatory reform stymie risk appetite of major banks in commodities
Lean times in energy and commodity derivatives trading have caused a cutback in the amount of time and resources spent on energy risk modelling – a worrying trend that could leave firms unprepared...
Industry estimates of clearing costs met with scepticism
Exchange of the Year, Asia: CME Group’s Nymex Exchange
Former head of power trading joins at least one ex-colleague to found Scoville Risk Partners
Costing stressed VAR
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.