Book contributions by Risk Staff
Portfolio Construction and Management
Edited by Brice Benaben and Julien Jarmoszko
Articles by Risk Staff
CME offers past derivatives data
The Chicago Mercantile Exchange (CME) is offering a new service called CME E-History, a fee-based service that will automate the provision of historical price data for CME futures and options for analysing price trends.
UBS will not replace timezone risk manager Mullet
UBS Warburg, the investment banking arm of Swiss bank UBS, said it will not replace Mark Mullet, a timezone risk manager for North America FX options.
NetRisk’s Ceske heads to GE Capital
Rob Ceske, head of business development at NetRisk and its subsidiary OpVantage, has left the company to take on a new role at GE Captial. Ceske’s departure from the Connecticut-based risk management company comes as it is being acquired by Fitch Risk…
Barclays opts for SunGard’s BancWare
Barclays Bank has implemented SunGard Trading and Risk Systems' BancWare product for its financial risk management activities across the UK, France and Spain.
Exchanges eye weather
Weather Risk
Getting a grip on the market
Weather Risk
Aquila’s troubles could break emerging markets risk
Weather Risk
A change in atmosphere
Weather Risk
Canada opens new pastures
Weather Risk
European info squall to clear
Weather Risk
How Japan got it covered
The fast-growing Japanese weather derivatives market is unique in both its product diversity and the range of small business end-users it serves. But where are the big players? Rob Dwyer reports
Exploring option pricing with mean-reversion jump diffusion
Yijun Du explores option pricing with a mean-reversion and jump-diffusion – or MJ – model, using Monte Carlo simulation. We find that jumps can increase the call price, a higher mean-reversion rate lowers the call price and the time to maturity has…
Comeback in the old USSR
Russia is on the verge of becoming the world’s leading energy superpower, but a lack of investment looks set to hamper its development. Joel Hanley reports
In the mind of a trader
Use of psychological techniques and behavioural studies is an essential part of designing aircraft cockpits. The same principles are now being applied to energy trading screens, as James Ockenden discovers
Trouble at the paper mill
Maria Kielmas asks how energy users in Scandinavia are coping with medium-term price uncertainties and the threat of increased environmental legislation
A tight ship in rough waters
Power prices in the UK have fallen dramatically in recent months. What can the UK’s biggest power producer do to prevent more losses in this difficult market? Joel Hanley profiles British Energy
Cleaning up in California
As oil majors embrace the use of ethanol in Californian gasoline, analysts are warning that it will cause a rise in prices at the pump, as Kevin Foster discovers