Technical papers/Commodities
Cutting edge: Minimising risk when hedging crude oil options
In this paper, Christian-Oliver Ewald, Roy Nawar and Tak Kuen Siu study the performance of locally risk-minimising hedging strategies in the context of futures and options written on crude oil. In contradiction...
In this article, Carlos Blanco and José Ramón Aragonés review the historical simulation methodology used to estimate value-at-risk and expected tail loss, while including adjustments to traditional...
Given the importance of the crude oil and natural gas futures markets, the intra-market correlations in these markets play an important role in pricing, hedging and managing the risks of energy portfolios....
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More Technical papers/Commodities articles
Cutting edge: Hedging price and volumetric risks of fixed-price load...
In this article, Ning Zhang and Robert Cumbie propose a utility maximisation method for natural gas marketers to find optimal hedging strategies to deal with price and load uncertainty by using price and weather derivatives. Monte Carlo simulation...
Cutting edge: Marketing of renewable energy in the German market
Power generated from renewable energy sources such as wind and solar has considerable influence on power markets in Western Europe. Björn Naundorf and Peter Stagge present a study in which they investigate the impact of renewable generation on intraday...
Cutting edge: valuing and dynamically hedging natural gas storage
Natural gas storages are integral parts of gas distribution systems and play a key role in managing demand variations. Risk managers need to value storages on a daily basis, while traders face the challenge of effectively hedging storages. Ali Sadeghi...
Weather risk: gauging the exposure
There is now an array of instruments available to hedge weather exposure, but evaluating that exposure is far harder than quantifying standard exposures such as commodity price risk. Garth Renne and Shaun Hatch discuss approaches to analysing wind and...
Cutting edge technical: Carbon derivatives pricing
In carbon dioxide equilibrium models, permit prices are positive and bounded by the penalty level. To obtain closed-form solutions to the pricing of carbon dioxide derivatives, Daniel Bloch models the permit price as a function of a positive unbounded...
Cutting edge: Modelling the correlation function in the crude-oil futures...
Energy market participants often require the computation of coefficients of correlation in a multi-asset portfolio. Addressing crude oil futures contracts, Ehud Ronn proposes and implements a simple procedure to reduce the cross-maturity correlations...
Masterclass: Valuing generation assets using Monte Carlo simulation
In this Masterclass, Les Clewlow, James Lujun Liu, Doug Meador, Ron Sobey and Chris Strickland describe the use of Monte Carlo methods for valuing generation assets in more detail. In particular, they discuss the appropriate price models to use and...
How can investment banks use grid technology?
Learn how technology is enhancing risk management
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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