Book contributions by Risk Staff
Portfolio Construction and Management
Edited by Brice Benaben and Julien Jarmoszko
Articles by Risk Staff
Market mind games
PETROLEUM
A credit boost for traders
Clearing houses are emerging as a crucial function of energy trading exchanges. John Kennedy explains their importance in terms of a firm’s credit rating
Risk and reward at the speed of light: a new electricity price model
Samuel Bodily and Michel Del Buono propose a new electricity price model. The mean-reverting proportional volatility model matches important characteristics of power price dynamics where others, such as geometric Brownian motion, fall short
The price of good information
The accounting scandals across the US – particularly at Enron – have led to demands for more independent market data in the energy sector. Who’s providing it, and is it meeting the industry’s needs? Kevin Foster reports
Keeping an eye on the long-term
Brett Humphreys discusses the problems with standard credit risk limits and proposes limits that may work better
Var too far
The energy industry has shown tremendous commitment to value-at-risk (Var) methodologies. But use of Var has been misguided, as James Ockenden discovers
Online trading moves forward
Online energy trading seems to have a bright future, despite the two biggest players – Dynegy Direct and EnronOnline – leaving the market, finds Catherine Lacoursière
Corruption on the ropes
Is the use of those age-old lubricants, bribery and corruption, for so long a normal part of doing business in the third world, now on the wane? Frank Gray reports
Let’s get physical
Credit Lyonnais Rouse Derivatives is a commodity trader moving into natural gas trading. And not just on the financial side, as Joel Hanley discovers
Basel II securitisation issues conclusion expected this week
Experts expect this week to finalise their proposals for handling the one major issue still outstanding in the complex Basel II Accord aimed at making the world’s banking system safer – the technically thorny question of how to treat the credit risks for…
High-grade dreams
Special report Russia
Returns not ensured
News
Trouble below deck
German focus