A simple but realistic model to co-simulate the time series of temperature, electricity load and prices is proposed
Autocallable knock-in levels under pressure but losses averted
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Internal and external clients benefit from utility’s risk management skills
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Energy companies worried by lack of detail on how Mifid II rules will work
ABSTRACT In energy markets, the use of quanto options has increased significantly in recent years. The payoff from such options are typically written on an underlying energy index and a measure of temperature....
Miners facing falling commodity prices and a depreciating Australian dollar
ABSTRACT The purpose of this paper is to build a contingent convertible bond (CoCo) model with a minimal number of stochastic factors that includes all relevant sources of risk. The value of a CoCo stems...
A swap dealer’s products and services should offer the necessary flexibility and control to respond in real time to market volatility and changing business dynamics
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Upstream companies look to cash in on in-the-money positions
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.