Book contributions by Risk Staff
Portfolio Construction and Management
Edited by Brice Benaben and Julien Jarmoszko
Articles by Risk Staff
False dawn for first loss
CDO equity
GMO's emerging market high-flyers
Bill Nemerever and Tom Cooper, co-managers of GMO's emerging markets debt portfolio, have made their names sourcing cheap debt in unusual locations. Shunning roadshows and local currencies, they barely even travel to the countries they invest in. Dalia…
Investment grade
Secondary market liquidity
Plotting the spread cycle
Marketgraphic
Christopher Allsopp
The Director of the Oxford Institute for Energy Studies talks to Oliver Holtaway about his fresh approach to energy analysis
Correlation and credit VAR
Navneet Arora and Shisheng Qu show that credit VAR in commodity trading is affected not only by the inherent credit risks of counterparties, but also by various correlations among counterparties and between counterparties and commodity prices
In defence of VAR
High profile losses such as those at hedge fund Amaranth last year had people questioning risk management tools, particularly value-at-risk. But Chris Schlegel and Andrew Kosnaski believe VAR would have given adequate signals to traders in the volatile…
Gateway to Europe
Turkey has ambitious plans to open its rapidly-growing gas market up to competition. Yesim Akcollu looks at how realistic these plans are
Moves to maturity
While many obstacles to the liquid short-term trading of gas in Europe remain, the market infrastructure is showing some signs of maturing. Oliver Holtaway looks at hub development in the European gas markets
Dealing with a volatile gas market
Eric Fishhaut explores the current state of volatility within the US natural gas market and outlines how hedging with 'strips' can be used to secure long-term prices that are variable, but known
Richest US state hedges to dodge blackouts
The US state of Connecticut is rolling out an innovative method of power contracting which it hopes will alleviate some of the state's energy woes. If effective, the model could spread to other states, writes Elisa Wood
Depending on Russia
Europe's increasing dependence on Russia for gas supplies throws up new risks that must be assessed. Understanding political risk is key, but the biggest risk to supply could be the lack of investment in the sector, finds Roderick Bruce
An uncertain future
European natural gas demand is expected to rise in the next three decades. But, as Anouk Honore finds, the overall picture is not easy to predict, and depends on what happens in individual countries – particularly Italy and Spain
Less is more
With Phase II of the European Union Emissions Trading Scheme set to be rolled out, Miles Austin investigates whether it will deliver greater emission reductions than Phase I