Vague Volcker bemuses
End-users will hedge more with firms such as BP, Shell and Vitol as banks face ban on prop trading, say market participants
Derivatives pricing and expected exposure models must be backtested as a basic regulatory requirement. But what does this mean exactly, and how can it be used to reserve against model risk? Lee Jackson introduces a general backtesting framework for market-calibrated...
In this paper, Magnus Wobben, Tilman Huhne, Yuri Ivanov and Sebastian Hanneken examine the impact of market incompleteness on the valuation of gas storage contracts. In contrast to prior research, their proposed valuation framework accounts for the contract...
Basis risk continues to worry pension funds, consultants say, despite the latest attempt by Deutsche Bank to create a flexible index-based longevity hedge
More energy importing countries are in talks about hedging fuel purchases after Morocco’s sovereign hedging deal, say bankers
Falling over-the-counter energy volumes in Europe and the US push liquidity to top of risk management agenda
Swiss bank adds SunGard data service to reduce operational barriers for insurers
Regulator introduces new risk monitor to scrutinise market risks and act as early-warning indicator
A conservative yet flexible jet fuel hedging programme has proven successful for Etihad
Hedge backtesting for model validation
Elevated WTI prices, pushed up by regional unrest, are creating opportunities for US oil producers to hedge
Low power prices have dented the need for electricity producers and consumers to hedge with derivatives, while regulatory reform is also making life difficult for market-makers. But market participants are optimistic the trend could be reversed. Pauline...
Power hedging activity could increase with rising prices and greater regional variation across the US
The design and optimisation of a successful commodity hedging programme requires solid backtesting that meets the needs of different business functions. Using a recent case study, Carlos Blanco and Tamir Druz show how various tests can complement and...
Concerns Solvency II-based risk-free curve could be distorted by speculators as market begins to adjust ALM hedges
Returns for hedging via long-term cross-currency swaps are attractive, but few are able to do so because of the lack of credit support annexes in place
Brent crude oil offers a window for airlines and refiners to lock in prices, but opportunity won’t last forever, say analysts