Correlation - The energy price factor

Navneet Arora provides empirical evidence that significant correlations exist between the movements of commodity prices and the credit quality of firms in the energy sector

With the defaults of Enron, PG&E and, more recently, Calpine Corporation, credit risk has acquired prominence among energy risk professionals. It is important for risk professionals to understand the nature of credit risk and how it relates to other risks inherent in a trade in order to be able to charge for it appropriately.

The charge for credit risk means that the trader has eliminated the credit risk associated with his portfolio and this risk is now held by some other portion of the

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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