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...
Brett Humphreys demonstrates how to construct more accurate return distributions and use them to price options
Since September 11, energy companies have had to re-assess the threat of terrorist attack. Despite the insurance industry introducing new terms and products, some companies remain unprotected, as Joel Hanley discovers
Hedge fund investing
Value-at-risk limits are widely used risk management instruments. But issues over the allocation of Var limits remain, says Brett Humphreys
Risk magazine’s Awards dinner raised more than $160,000, according to the initial count, for Risk magazine’s World Trade Center appeal fund. The dinner, held last night in the Regent Hotel, Wall Street, featured the presentation of the annual Risk...
It is one of the most commonly used phrases in risk management parlance, but what exactly is meant by the term ‘hedge’? Here we propose a new definition. By Brett Humphreys
Statistical analysis of competing meteorological data from two different sources in Germany might lead to disparate views of weather risk management. By Bob Dischel
Here EPRM outlines an approach for sorting out common problems relating to calculating correlation measures in value-at-risk. By Brett Humphreys
Calculating the benefit for banks of adopting the more complex methods of arriving at an operational risk capital charge is very challenging because of uncertainties over the factors involved.
The Basel Committee shied away from the most risk-sensitive way of calculating an op risk charge, says Michael Haubenstock. He argues for a green light.