Vanishing liquidity, the Ronin collapse, XVAs – the pandemic wreaked havoc in risk transfer markets
Asia Risk 25: Bond futures and credit default swaps the missing pieces
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.
BNPP wins top derivatives award, with Macquarie scooping environmental products house
22% of funded exposures rated CCC or lower as of end-September
Market bounce-back blindsided quant investment firm – and others
Interview: oil giant puts up to 50% of spot flows through algos, explains FX head Michael Dawson
How are investors enabling the move to the low-carbon economy?
Did negative oil prices signify the market was operating effectively, or that something was wrong?
Energy Risk Awards 2020: Firm’s wide commodities presence, physical and financial risk expertise and financing capabilities result in standout deals
This paper studies the optimal extraction and taxation of nonrenewable natural resources.
Banks ponder how to offset risks of ESG derivatives – or whether hedging is even desirable
Will negative prices and big losses curb retail investors’ appetite for oil futures over the longer term?
Overhauling pricing models could reap rewards even if prices don’t cross zero again
Counterparty departure forces closure of eight oil trackers with $580 million of assets
Model tuned to negative prices has implications for pricing, margining and delta hedging
The market is gravitating to the Bachelier model as an alternative to Black 76
Mishmash of regulations still govern China’s financial industry
What part did Bank of China and other investors play in last month’s oil rout, asks derivatives veteran
Funds long 325 million barrels on April 21
Bourse draws criticism over timing of options model change; delay in sending key margin file
Lucrative hedge portfolios offer promise of cash but unlocking residual value won’t be simple
As governments worldwide focus on the coronavirus (Covid‑19) pandemic amid plummeting demand for fossil fuels, it may seem climate change has dropped down the global agenda. Firms that don’t assess the climate risk in their portfolios, or hedge or divest…
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