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
US official says regulator is examining "a case or two"
In this paper algorithms are developed using the Hamilton–Jacobi–Bellman approach for parabolic partial integrodifferential equations related to the quadratic hedging strategy in incomplete markets.
Policy-makers responding more proactively to risks than in 1997
End-users unable to execute certain trades as dealers retreat, claims swaps counsel
Accounting exposures win out as banks seek to align capital with front-office practice
US shale drillers expected to suffer as hedges expire in the second half of 2015
Clients face wider bid/offer spreads, as dealers struggle to find liquid hedges
A framework that demonstrates optimal internal pricing will deviate from ‘arm’s length principle'
Cross-currency swaps could become more expensive as firms' demand increases
Industries disagree over which of two proposed approaches should be used