To understand how much value can be lost from a position in the energy markets, we need to use measures other than value-at-risk. Brett Humphreys discusses methods for creating effective stress tests
Traders love spreadsheets. But complex deals can quickly outgrow a sheet developed on the fly. Since traders won’t abandon their favourite tools, Stuart Cook and Tony Hughes of The Structure Group look at how firms can control their use
Electricity contracts have come and gone, but a new trio of financially settled futures contracts aims to widen the electricity market, reports James Ockenden
Europe's asset management industry is chiding Brussels bureaucrats for trying to bury it under a mountain of Basel-inspired regulation, which could boost costs and capital charges.
Risk magazine and sister publication Energy & Power Risk Management (EPRM) today began polling for their 2003 energy and commodity rankings.
Given recent events, energy firms need to fundamentally re-think how they estimate their risk tolerance. Maria Kielmas asks what has prompted this soul-searching
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Degree of influence
Many banks are not effectively applying risk tools when pricing and structuring deals, according to research and consultancy company PA Consulting.
‘No more VAR.’ This increasingly shrill call is being made by a section of the academic finance community both in journals and at conferences. Now, some practitioners are latching on, offering ‘VAR-free’ portfolio optimisation that is being promoted...
ABB’s William Rutz and Bob Fesmire investigate new tools that calculate physical value-at-risk based on simulations of generating resources and power transactions
Is it more cost-effective for companies to buy available systems from vendors or to develop and deploy their own energy trading and risk management solutions? Bob Bridger of Vedaris looks into the dilemma faced by many companies
Many German banks lag behind their peers when it comes to operational risk management. The proposed new international bank capital accord, Basel II, which - for the first time - stipulates a separate capital charge for operational risk, has put the topic...
Energy companies are crying out for clearing solutions to reduce their counterparty credit risk. James Ockenden looks at new initiatives from London-based power exchange UKPX and German firm Clearing Bank Hannover
Scott Greene, Mark Niehaus and Pankaj Sahay examine the impact of Ferc’s proposed standard market design on power risk management
Brett Humphreys discusses how trading groups can be captured within earnings-at-risk and cashflow-at-risk models. He suggests taking a top-down approach instead of a bottom-up approach based on actual positions
Alternative investing systems