This paper investigates a sector-rotation strategy in order to elucidate two congruent objectives.
Price reporting agencies are an integral part of modern commodity markets
Bonnefous defends investment in commodities amid market turbulence
Firm’s treatment of optional commodity inventory sales is appropriate, CEO says
Exclusive coverage of congress for energy traders and risk managers
This issue covers a range of topics, including: credit mismeasurement, backtesting methodology, stress testing and commodity risk model validation.
Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression
The authors of this paper investigate the risk modeling of commodities. They note that return distributions differ widely across different commodities, both in terms of tail fatness and skewness.
Upstart energy research firm doubles its client base in 12 months
Other commodities moves at Calpine, Goldman Sachs, Citi and Neas Energy
High-net-worth investors pile into dollar and commodity structures as PBoC loosens
Energy Risk looks at the development of the market and what may lie ahead
Tracking performance of ETFs is examined, with a focus on volatility decay
Liquidity plays a vastly underappreciated role in commodity markets
Bank withdrawals from commodity trading fail to dent enthusiasm
Shell compliance officer warns of "serious threat" posed by EU rules
Wall Street is cutting back, not quitting the market altogether
This paper proves that the prices of options on forwards in commodity markets converge to the Black-76 formula when the short-term variations of the logarithmic spot price are a stationary Ornstein-Uhlenbeck process and the long-term variations are following...
Swap dealers playing a guessing game while complying with CFTC rules
Commodities head "doesn't lay awake at night" worried about non-banks
Awards recognise excellence across the global commodity markets
Goldman Sachs dismisses concerns over catastrophic risk