Book contributions by Risk Staff
Portfolio Construction and Management
Edited by Brice Benaben and Julien Jarmoszko
Articles by Risk Staff
Build in or buy out?
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
Going short under the SMD
Scott Greene, Mark Niehaus and Pankaj Sahay of PricewaterhouseCoopers look at the effect of settling a short position in the day-ahead market under the Federal Energy Regulatory Commission’s proposed standard market design
Doing the maths: physical value-at-risk
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
A joint state-space model for spot and futures power
Portfolio-wide risk management requires a model that accounts correctly for correlations between the spot asset and various futures products. Kjetil Kåresen and Egil Husby discuss a joint multi-factor model for power spot and futures prices and show how…
JPM Merits CDOs
Credit tech
Credit Crunch
Clive Horwood
Trouble from above
Pension funds
The market maker
Profile
Gearing up for debt
Theory of finance
Deconstructing the market
High yield
Internal risk rating systems for banks
Sponsored article
Clearer waters for ratings
NATURAL GAS