Book contributions by Risk Staff
Portfolio Construction and Management
Edited by Brice Benaben and Julien Jarmoszko
Articles by Risk Staff
Close-up on market risk capital
Jack Kennedy outlines rating agency Standard & Poor’s new approach for analysing the credit quality of US energy trading firms
Estimating oil price volatility: a Garch model
Nikolai Sidorenko, Michael Baron and Michael Rosenberg present a general framework for modelling energy price volatility. These models explain the volatility persistence and clustering present in many commodity prices. In addition, they can incorporate…
Managing risk under SMD
Scott Greene, Mark Niehaus and Pankaj Sahay examine the impact of Ferc’s proposed standard market design on power risk management
Through the looking glass
Unlike oil and natural gas, electricity generally suffers poor price transparency. Rachel Jacobson of FAME Information Services looks at power price discovery mechanisms in the US
Balancing the books
Regulators are taking advantage of a lull in power project development in the US to close loopholes in financing rules, reports Catherine Lacoursière
Out of the zone: nodal pricing takes hold
Congestion-constrained US electricity markets are likely to find relief with the arrival of a new pricing regime, reports Catherine Lacoursière
Clear in present danger
Energy companies are crying out for clearing solutions to reduce their counterparty credit risk. James Ockenden looks at new initiatives from London-based power exchange UKPX and German firm Clearing Bank Hannover
The rise of the money men
Wanted: company to trade power in the US. Strong credit, trading expertise and appetite for risk required. Only banks need apply? By Kevin Foster
Letter bomb
Sterling liquidity
Credit’s secrets
Hedge funds
Europe embraces synthetic future
Sponsored article
Insurance sector: moral hazard
Credit of the month
Oliver Wyman
News