Click here to view the article.
Krzysztof Wolyniec presents a simple factor model to manage the uncertainty associated with volumetric risk in energy and commodity markets.
Commodity demand is uncertain, driven by consumption, which is an exogenous variable. As such, commodities, and in particular energy markets, contain significant levels of volumetric risk.
In financial markets, trade volumes do not have physical constraints and can match the demand as long as the risk-carrying capacity of
The week on Risk.net, July 14–20, 2017Receive this by email