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Credit Risk

Real-time counterparty credit risk management in Monte Carlo

Original headline: Real-time counterparty credit risk management in Monte Carlo

Adjoint algorithmic differentiation can be used to implement the calculation of counterparty credit risk efficiently. Luca Capriotti, Jacky Lee and Matthew Peacock demonstrate how this powerful technique...

Risk magazine | 25 May 2011  Image
Electricity

Nodal Exchange offers first real-time LMP contracts

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Nodal Exchange launched eight contracts today, its first to settle against real-time Locational Marginal Price (LMP).

Energy Risk | 07 Jan 2010  Image
Accounting

The case for financially settled contracts

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Banks and hedge funds have shied away from trading electricity due to fear and ignorance of the physical nature of the market. But, as Todd Bessemer of Accenture points out, financially settled contracts...

Energy Risk | 01 May 2003  Image
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Worried about regulation?

Read in-depth analysis of top regulatory issues today!

Find the information you need in articles from across Risk.net on Basel III, the Dodd-Frank Act, and Solvency II.

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Investment

Real-Time Risk Aggregation

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Buy- and sell-side survey respondents say batch processing and poor reference data are hindering real-time, firm-wide risk assessments.

Operational Risk & Regulation | 01 May 2002  Image

Exchanges

Real-time pricing

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Up-to-date prices for commodities, moving with every purchase or sale.

Energy Risk | 01 Jan 2001

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