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
Range accrual notes
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
The energy industry has shown tremendous commitment to value-at-risk (Var) methodologies. But use of Var has been misguided, as James Ockenden discovers
Brett Humphreys discusses the problems with standard credit risk limits and proposes limits that may work better
Credit default swaps