Cyclical lull conceals structural shift as liquidity becomes shorter-dated and more flighty
This paper proposes using an optimization mechanism in the currency overlay portfolio construction process.
Revived focus on ERM, but expectations now more realistic on what it can achieve
Several obstacles limiting potential growth, say plastics market participants
Swaps unit of commodity trading giant describes increasing need for derivatives on resins prices
The meaningful uncertainty simulation framework can enable energy firms to make better decisions
Last-gasp hedges may have eased the pain of Brexit for some banks
The papers in this issue are all related to energy risk management, including both risk assessment and risk hedging by financial derivatives.
Deal enables Gulf Power to be first utility in Florida to buy wind power
Risk management and portfolio optimization for gas- and coal-fired power plants in Germany: a multivariate GARCH approach
This paper investigates the hedging effectiveness of energy derivatives traded at the EEX for the purpose of mitigating the risk exposure of gas- and coal-fired power plants in Germany.
The authors of this paper formalize a methodology to manage short-term FX risk.
Dealers face conflicting incentives and capital hike after internal models are blown away
Costs could increase by 10–15%, House Agriculture Committee hears
Dynamic hedging is becoming more common among plant operators
Wujiang Lou presents a framework to compute recursive CVA and FVA via Monte Carlo simulation
New derivative structures under consideration but caution is key
Market needs to move on from theoretical argument and focus on numbers
Mexico hedged against the oil price collapse while diversifying its debt investor base
Academics develop expected shortfall backtest to compare standardised and internal models
EU energy companies warn of inconsistency between two regulatory regimes
US dealers’ custom index operations under heightened scrutiny following SEC enforcement action
The papers in this issue cover a diverse range of applications and numerical techniques.
Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints