Oil
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
Capital One’s oil and gas portfolio shrank 27% in 2020
Net charge-offs for Q4 2020 hit 9.4%
Shell bides time over Isda fallbacks
Oil major will adopt Isda protocol as “insurance policy” despite hedge accounting concerns
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
US election scenarios: meltdown fears if poll contested
Crowdsourced election scenarios show sharp falls and correlation breaks if Trump challenges results
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
Big Five Canadian banks post C$6.6bn of loan-losses in Q3
PCLs fell 36% quarter-on-quarter
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