Multi-factor forward curve models for energy risk management

Applied risk management series – article two

crossing arrows - moving upwards

In energy markets, forward price changes over time are largely determined by new information regarding the expected average spot price during a future delivery window, and therefore their behaviour is substantially different from that exhibited by spot prices, which immediately react to short-term changes in the physical market.

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Forward curve behaviour

Some of the key

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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