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
Hedge fund profile
LONDON - UK regulators said in late July they would implement their plans for uniform, risk-based rules for UK-based banks, insurance companies and securities firms in several stages, instead of one or two, following delays to the Basel II bank accord.
Brett Humphreys discusses how using a standard credit value-at-risk measure may be misleading for credit risk decisions
By combining qualitative and quantitative data, Bayesian networks offer the perfect solution to the compelling need for an integrated approach to operational risk management, say Martin Neil and Ed Tranham.
Brett Humphreys and Tim Essaye seek out the best method for calculating volatility by comparing different measures, and find that complex approaches aren’t necessarily the best ones to use
Hedge fund investing
Brett Humphreys discusses recent events in the energy sector and the role risk managers can play in improving the industry
This month Brett Humphreys and Zach Jonasson show how energy trading firms can compare performance using publicly available corporate information
Following the California crisis and the fall of Enron, energy firms are finally paying more attention to credit risk. Here Fred Cohen, Satyan Malhotra and Rafael Cavestany present some overarching issues senior management must address in implementing...