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In this paper, Magnus Wobben, Tilman Huhne, Yuri Ivanov and Sebastian Hanneken examine the impact of market incompleteness on the valuation of gas storage contracts. In contrast to prior research, ...
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Mark Pengelly articles
Despite massive investment in human capital and technical resources, risk managers failed to warn about the dangers of toxic assets and excessive leverage in the run-up to the global financial crisi...
Vote now in the 2014 Risk & Energy Risk Commodity Rankings
Stress testing is a vital part of successful risk management, but risk managers at energy trading firms frequently face obstacles in designing and implementing successful stress testing programmes. ...
A new book, Commodity Investing and Trading, is now on sale from Risk Books. Energy Risk provides an exclusive preview
At Stadtwerke München, one of Germany’s largest municipal utilities, many of the issues facing risk management are different from those affecting big commercial energy firms. But concerns about t...
Commodity trading firms urged to use advancements in big data to gain strategic advantage
Derivatives regulation will impede attempts by banks to compete and do lasting damage to European market, says founder of SEB’s commodity business
The incremental risk of including electricity contracts in a portfolio is computed by George Levy using a Monte Carlo regime-switching approach. The volume and price processes are modelled using emp...
Despite cutbacks in Europe and the US, Deutsche Bank’s Asia commodities franchise continues to impress
Steady growth and big ambition are on show at the Dubai Mercantile Exchange
The role of banks in physical commodities is poorly understood, but it is not indispensable
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.