Modelling
State Street advises institutional investors to move away from modern portfolio theory
New report suggests investors should move away from using normal return distributions under modern portfolio theory
Q&A: Blue Star Energy Solutions’ John Wengler on risk
BlueStar Energy Solutions’ chief risk officer, John Wengler, speaks to Pauline McCallion about managing energy risk in the US power markets
Q&A: Endesa’s Jaime Roman on mergers
Jaime Roman, head of risk management at Spanish utility Endesa, talks to Katie Holliday about the attitudes to risk management in Europe from the perspective of a major European utility operating in the growing Iberian markets
Q&A: Mitsubishi UFJ Securities Holdings’s Akihiro Kawabe on transparency
Risk management in Asia is arguably more difficult to estimate as each country has very different regulatory requirements and political risk. Lianna Brinded speaks to Akihiro Kawabe, executive officer and general manager of the corporate risk management…
Risk managers debate at Energy Risk USA conference
Energy risk managers from across North America convened at Energy Risk’s annual US conference in May to discuss the many challenges currently facing the sector, including derivatives regulation and carbon market growth, as Pauline McCallion reports
Sparring over global valuation
Dealers have typically used a variety of pricing models that are specific to certain asset classes and instruments. But is it possible for banks to build global models that can be used to price instruments across asset classes? Matt Cameron reports
Exclusive Kaminski Video: energy risk management challenges
The energy markets still face an unprecedented level of regulatory risk over the next year, as impending changes to the US financial system loom, while at the same time, BP’s Gulf of Mexico oil spill has presented major operational risk factors for the…
Energy market correlations: have they changed permanently?
Have traditional energy market correlations changed permanently as a result of the credit bubble bursting and how will this impact trends in price forecasting and modelling? Pauline McCallion reports
Towards a global valuation model
Banks use a variety of pricing models across business lines, creating discrepancies in the way various financial instruments are priced. But developments in high-throughput computing could lead to the possibility of a global valuation model, argue…
Cebs addresses next-generation AMA models
Paper seeks to harmonise rules for approving model changes under the advanced measurement approach (AMA)
Cutting Edge: Pure jump models for energy prices
Université de Lausanne’s Roberto Marfè investigates pure jump processes as modelling blocks for the distributions of energy returns under the pricing measure. An easy-to-implement option-implied approach is outlined, which circumvents most of the…
Setting risk appetite: know what you want
OpRisk examines the practical application of the concepts of risk appetite, the risk ceiling and the risk profile, taking a broad look at who should decide risk appetite, how it should be articulated, in what context (and to what extent) and what the…
Dubai: The legal issues highlighted by the crisis
Dubai World’s emergency debt restructure last year and the continuing debate over the integrity of sukuk products have rocked investor confidence in the Dubai International Financial Centre. Tricky structural work is needed to strengthen its legal…
UK chancellor warns bankers off a return to excess
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Model students
Mauro Cesa, Energy Risk's technical editor, talks to quants about how quantitative analysis for energy markets has developed and what they see as the most influential technical publications of the past 15 years
Model selection for loss reserves: The Growing Triangle technique
Technical papers
Risk Assessment
Management
Analysing the Crisis
Comment
Wellink: Banking should be 'shock absorber' for financial system
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