Technical papers/Risk Management
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...
Marking whole positions to the current clearing price as in mark-to-market accounting ignores the effect that liquidating a position can have. Such valuations overstate the cash that will be received and...
Marking whole positions to the current clearing price as in mark-to-market accounting ignores the effect that liquidating a position can have. Such valuations overstate the cash that will be received and...
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More Technical papers/Risk Management articles
Modeling dependence of extreme events in energy markets using tail copulas...
This paper studies, for the first time, the dependence of extreme events in energy markets. Based on a large data set comprising daily quotes of crude oil and natural gas futures, we estimate and model large comovements of commodity returns. To detect...
A note on panel hourly electricity prices
This paper analyzes hourly electricity prices in three day-ahead markets - the European Energy Exchange in Germany, the Paris Power Exchange in France and Operadora del Mercado Español de Electricidad in Spain - using a periodic panel model. The empirical...
Credit default swap spreads, fair-value spreads and interest rate dynamics...
This paper examines the empirical relationship between credit risk and interest rate risk. We use credit default swap (CDS) spreads as our measure of credit risk. Also, we control for the variation in the so-called fair-value spread that combines multiple...
Optimal structuring of collateralized debt obligation contracts: an...
The objective of this paper is to help a bank originator of a collateralized debt obligation (CDO) to build a maximally profitable CDO. We consider an optimization framework for structuring CDOs. The objective is to select attachment/detachment points...
Estimating a Lévy multifactor market model for electricity futures markets...
We develop an electricity market model for electricity futures and forwards contracts. The dynamic of these derivatives is modeled as a multifactor market model where the idea is to match the observed volatility term structure and correlation surface...
Bounds for rating override rates
Overrides of credit ratings are important correctives of ratings that are determined by statistical rating models. Financial institutions and banking regulators agree on this because, on the one hand, errors with ratings of corporates or banks can have...
Computation of Greeks in multifactor models with applications to power...
We study the computation of the Greeks of options written on assets modeled by multifactor dynamics. For this purpose, we apply the conditional density method, for which knowledge of the density of one factor is sufficient to derive expressions for the...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
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How financial services need to consider their IT infrastructure
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