Oil
Initial margin at Ice Europe up 15% over Q1
IM held against F&O positions hit all-time high, as number of margin breaches nudged higher
High-frequency movements of the term structure of US interest rates: the role of oil market uncertainty
This paper analyzes the impact of oil market uncertainty on the level, slope and curvature factors derived from the term structure of US interest rates.
Oil value-at-risk forecasts: a filtered semiparametric approach
This paper proposes the GARCH model combined with the Cornish–Fisher expansion for the oil VaR forecast.
Energy Risk Commodity Rankings: banks and brokers battle extreme volatility
Winners of the 2022 Commodity Rankings needed new approaches to manage extreme price swings
Ice Clear Europe issued $5.4bn VM call in Q4
Price volatility in energy markets behind the largest cash call on record by the CCP
Ice Clear Europe hit by $1.03bn margin breach
The CCP’s futures and options division reported its second largest IM breach ever in Q4, as energy prices skyrocketed
Norway oil fund’s derivatives book balloons 192% in H2 2021
Sovereign wealth fund GPFG piled up FX and IR contracts and tapped CDS for the first time
CCPs urged to widen collateral net as commodities spike
Broader acceptance of emissions certificates and letters of credit could relieve margin pressure
Aaron Brown: war could usher in new sanctions era, hurting US
Investors must think long-term, warns risk expert; west may lose out to crypto and new financial hubs
Russia’s foreign currency debt pile at risk of default
Sanctions could block coupon payments on $200bn of externally held foreign currency bonds
Directional predictability between returns and trading volume in the futures markets of energy: insights into traders’ behavior
This papers aims to test for directional predictability between returns and volume (and vice versa) in the energy futures markets, employing a cross-quantilogram approach that enables the assessment of the temporal association between two stationary time…
Derivatives exposures up 26% at BP
Oil giant posts fourth consecutive yearly increase in 2021
Shell derivatives exposure rose by $15bn in 2021
Over 93% of the oil giant’s derivatives instruments were designated as current
Data analytics set to fuel change in the oil market
Privileged data insight is no longer the sole preserve of the world’s oil conglomerates. Access to insightful analytics is providing a new competitive edge for smaller and mid-sized commercial and trading firms in the oil market, helping them navigate…
Reinvestigating international crude oil market risk spillovers
This paper develops a copula-GARCH-MIDAS model to estimate the joint probability distribution of multivariate variables, and then derives CoVaR-type risk measures.
Why new EU rules are fuelling greenwashing and how to stop it
Reporting requirements for ESG funds may not solve the problem – a list of harmful investments might
Overhyped green status is no longer a risk-free sales tool
Asset managers’ ESG claims will now be more closely scrutinised following DWS allegations
Impact of changes in the global environment on price differentials between the US crude oil spot markets for the periods before and after 2008–9
This paper uses threshold cointegration to examine price differentials between crude oil spot markets in the US for the periods before (2000–2007) and after (2010–17) the advent of major technological and other changes impacting the oil sector.
The relationship between oil prices, global economic policy uncertainty and financial market stress
This paper introduces two models: the first analyzes the impacts of global economic policy uncertainty, gold prices and three-month US Treasury bill rates on oil prices between 1997 and 2020, and the second examines the effects of oil prices and US…
The sticky question of Europe’s oil-ridden ESG funds
NN Investment Partners SFDR fund holds 91% of investments in oil and gas companies
Zurich’s Scott: don’t levy climate risk capital charges
Imposing set-asides based on stress tests “does not make any sense”, sustainability chief warns watchdogs
Causality between oil prices and exchange rates: a quantile-on-quantile analysis
This study examines the causal link between the crude oil price and the exchange rate in five major oil-exporting countries (Saudi Arabia, Russia, Canada, the United Arab Emirates and the United States) that have recently adopted different exchange rate…
Energy Risk Commodity Rankings: firms provide a lifeline in choppy waters
Winners of the 2021 Energy Risk Commodity Rankings supported clients in unprecedented times to be voted counterparties of choice