New technique may help limit errors in AMA capital estimates
A framework that demonstrates optimal internal pricing will deviate from ‘arm’s length principle'
Former research head gives wide-ranging interview on past and present of energy markets
More Quantitative analysis articles
A simple but realistic model to co-simulate the time series of temperature, electricity load and prices is proposed
A five-minute formula from Alexander Denev that takes you through a simple probabilistic graphical model and explains how and why these are used. Find out more about the ground-breaking book, Probabilistic...
Applying kriging to extract smooth curves from energy futures prices
Liquidity plays a vastly underappreciated role in commodity markets
New areas for quant research are in abundance, but resources are not
North American shale boom and renewables growth underline importance
How to actively manage the value-at-risk of energy derivatives
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.