This paper investigates whether there are existing common model features that yield consistently superior results under both VaR and ES risk metrics in the energy commodities markets.
The winners of Energy Risk’s Commodity Rankings were honoured at London’s Le Meridian Piccadilly hotel in February
Ex-Morgan Stanley commodities chief Greenshields revives famed trading firm
Sponsored Q&A: Banca IMI
Sponsored feature: OpenLink
The topics in this issue cover electricity and gas and oil markets, as well as the interaction of energy commodities and international capital markets.
This paper focusses on the dynamics of the correlations between commodities and Islamic indexes.
Alessandro Mauro shows how using value-at-risk can improve market risk analysis in the energy sector
Corporates still need banks for complex, structured deals, says Koppel
High volatility and noisy data sets have profound implications on risk management in commodity markets
Three-quarters say OTC liquidity held steady or fell last year, while 25% saw gains
Sponsored feature: Murex
Latest FRTB tweaks also include increasing granularity of commodity risk weights
Make sure your vote is counted in Energy Risk's annual ETRM software rankings
Regulators want to switch CEM for SA-CCR, conference told
Industry group blasts AMF stance on Mifid II ancillary business test
Mifid II, Emir, Remit and other regimes seen as “not very co-ordinated”
Rebuilt fixed-income business wins plaudits
Industry faces countdown as decision from European Commission looms
The Energy Risk Asia Awards reward excellence across the region’s commodity markets
UK bank expands commodities team with Koch hire
Policy-makers responding more proactively to risks than in 1997
Excellence in Asia recognised across commodities, energy trading and risk management
ANZ scores well with price forecasts, as it builds up commodity research effort