Estimating marginal effects of key factors that influence wholesale electricity demand and price distributions in Texas via quantile variable selection methods
Using a large data set from the Electric Reliability Council of Texas, this study uses quantile regressions and attendant variable selection methods to choose the most important factors that influence demand and price distributions; subsequently, the…
Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk
This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market.
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Vikash Rughani, business manager at triReduce and triBalance, outlines a new approach enabling buy- and sell-side participants to optimise the transition of legacy Libor over-the-counter swaps contracts to alternative reference rates
Global warming threatens to upend everything risk models take for granted
As uncertainty abounds on the impact climate change may have on the industry, financial services firms must best equip themselves for potential regulatory and socioeconomic changes to ensure they maximise the opportunities of embracing new best practices…
In this paper, the author uses the mean–variance hedging criterion to value contracts in incomplete markets.
Failure to take immediate action on the proposals set out in the Paris Agreement on climate change could cost approximately $1.2 trillion over the next 15 years in policy risk costs. Oliver Marchand, co-founder of Carbon Delta and executive director of…
Political journalist Robert Peston has grave concerns over the future of Britain, seeing profound risks with or without Brexit
Energy firms under increased pressure to assess physical climate risk
Investing according to environmental, social and governance (ESG) criteria can be done in various ways, with continuing development of filters and ways of analysing companies. As the market in ESG indexes and investments linked to sustainability matures,…
A new approach to evaluating the cost-efficiency of complex hedging strategies: an application to electricity price–volume quanto contracts
In this paper, the authors propose a new hedging assessment model, the economic value of the incremental expected shortfall (EVIES), from a cost-efficiency perspective.
Managing supply chain risk through take-or-pay gas contracts in the presence of buyers’ storage facilities
In this paper, the authors study the enhanced value of a take-or-pay gas contract from a buyer’s perspective in the presence of spot market trading and local storage capability.
Dutch bank takes carrot-and-stick approach on interest rate swap for oil and gas equipment firm
A case study on developing dynamic risk-based customer screening
Bourses plan to switch margining of energy futures at different times, prompting speculation of “arbitrage opportunities”
The commodities trading and risk management software landscape – up to now dominated by large providers – is shifting. Rick Nelson, executive vice-president and chief business officer at Eka, talks about being a disrupter and explores how digitisation…
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
BP and Engie pick up two awards each, while BNPP takes the coveted derivatives house of the year
Machine learning is coming to analytics but there are hurdles to overcome first, says Aiman El‑Ramly, chief operations officer at ZE PowerGroup
As businesses grow, so does their need for modern, agile and cost-effective commodity/energy trading risk management (C/ETRM) solutions. Pioneer Solutions explores how its next-generation, highly configurable C/ETRM systems take advantage of the latest…