Oil
Review of 2020: chaos on a roll
Vanishing liquidity, the Ronin collapse, XVAs – the pandemic wreaked havoc in risk transfer markets
Investors eager for next round of China financial reforms
Asia Risk 25: Bond futures and credit default swaps the missing pieces
Estimating the hedging potentials of Bitcoin and energy returns
This paper investigates the significance of oil, gold and coal returns on Bitcoin returns for a research duration of January 2011 to September 2018 on a monthly periodic basis.
Energy Risk Asia Awards 2020: The winners
BNPP wins top derivatives award, with Macquarie scooping environmental products house
Citi’s energy loans continued to sour in Q3
22% of funded exposures rated CCC or lower as of end-September
Vol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others
How Shell integrated FX algos into its corporate treasury mix
Interview: oil giant puts up to 50% of spot flows through algos, explains FX head Michael Dawson
Podcast: Investing, climate risk and energy firms
How are investors enabling the move to the low-carbon economy?
Podcast: should negative oil prices be allowed?
Did negative oil prices signify the market was operating effectively, or that something was wrong?
Derivatives house of the year: Macquarie Group
Energy Risk Awards 2020: Firm’s wide commodities presence, physical and financial risk expertise and financing capabilities result in standout deals
Optimal extraction and taxation of strategic natural resources: a differential game approach
This paper studies the optimal extraction and taxation of nonrenewable natural resources.
Rise of ethical swaps brings hedging questions
Banks ponder how to offset risks of ESG derivatives – or whether hedging is even desirable
Podcast: the future of retail investment in oil
Will negative prices and big losses curb retail investors’ appetite for oil futures over the longer term?
A positive response to negative oil prices
Overhauling pricing models could reap rewards even if prices don’t cross zero again
WisdomTree shuts oil ETPs after Shell terminates swap deal
Counterparty departure forces closure of eight oil trackers with $580 million of assets
Bachelier – a strange new world for oil options
Model tuned to negative prices has implications for pricing, margining and delta hedging
Podcast: Kaminski and Ronn on negative oil and options pricing
The market is gravitating to the Bachelier model as an alternative to Black 76
China commodities regulation: time to end the turf war
Mishmash of regulations still govern China’s financial industry
Negative oil prices put spotlight on investors
What part did Bank of China and other investors play in last month’s oil rout, asks derivatives veteran
Funds piled into WTI futures in wild week for crude
Funds long 325 million barrels on April 21
CME was ill-prepared for negative oil prices, FCMs say
Bourse draws criticism over timing of options model change; delay in sending key margin file
Shale firms pump hedge books for liquidity lifeline
Lucrative hedge portfolios offer promise of cash but unlocking residual value won’t be simple
Energy Risk Commodity Rankings: Uncertain times
The winners of Energy Risk’s Commodity Rankings overcame some tumultuous times in 2019, learning lessons that are certainly required in today’s volatile environment