Risk management
Explaining big events
The expression ‘this month’s once-in-a-million event’ has become a cliché in finance. From the sudden bankruptcy of investment-grade companies to 5% daily moves in foreign exchange markets, we’ve seen them all. Rare events – which for practitioners mean …
Exchanging blows
Conflict in the US and growth in Europe marked another turbulent year for energy exchanges. Kevin Foster casts an eye back over 2002
Enough’s enough
Brett Humphreys takes the guesswork out of determining how many simulations are needed to calculate value-at-risk
Blurring the lines
A turf war between Atlanta’s IntercontinentalExchange and the New York Mercantile Exchange reveals a shift in the traditional role of over-the-counter brokers and exchanges, finds Catherine Lacoursière
Deutsche and CME try to revive Russian rouble futures trading
Deutsche Bank has committed to providing bid and offer prices on Russian rouble futures for the Chicago Mercantile Exchange (CME), in a move designed to capitalise on revived interest in Russia by Western investors. It is the first time the contract has…
Getting stressed
To understand how much value can be lost from a position in the energy markets, we need to use measures other than value-at-risk. Brett Humphreys discusses methods for creating effective stress tests
Cell mates
Traders love spreadsheets. But complex deals can quickly outgrow a sheet developed on the fly. Since traders won’t abandon their favourite tools, Stuart Cook and Tony Hughes of The Structure Group look at how firms can control their use
Standardising electricity contracts
Electricity contracts have come and gone, but a new trio of financially settled futures contracts aims to widen the electricity market, reports James Ockenden
Cad 3 - Against their will [full story]
Europe's asset management industry is chiding Brussels bureaucrats for trying to bury it under a mountain of Basel-inspired regulation, which could boost costs and capital charges.
Against their will
Cad 3
Polling starts on Risk and EPRM’s 2003 energy and commodity rankings
Risk magazine and sister publication Energy & Power Risk Management (EPRM) today began polling for their 2003 energy and commodity rankings.
How much can you take?
Given recent events, energy firms need to fundamentally re-think how they estimate their risk tolerance. Maria Kielmas asks what has prompted this soul-searching
Fat-tailed bulls and bears
Behavioural models
Measurement and attribution
Performance systems
The race for a suitable index
Forex benchmarking
Down the corridor
Range accrual notes
Emerging opportunities
CDO investing
Beware of systematic style biases
Hedge funds
Good citations
Degree of influence
Banks not effectively applying risk tools, says report
Many banks are not effectively applying risk tools when pricing and structuring deals, according to research and consultancy company PA Consulting.
Value-at-risk: down but not out
‘No more VAR.’ This increasingly shrill call is being made by a section of the academic finance community both in journals and at conferences. Now, some practitioners are latching on, offering ‘VAR-free’ portfolio optimisation that is being promoted as…
Doing the maths: physical value-at-risk
ABB’s William Rutz and Bob Fesmire investigate new tools that calculate physical value-at-risk based on simulations of generating resources and power transactions
Build in or buy out?
Is it more cost-effective for companies to buy available systems from vendors or to develop and deploy their own energy trading and risk management solutions? Bob Bridger of Vedaris looks into the dilemma faced by many companies
Landesbanken's operational risk management tool
Many German banks lag behind their peers when it comes to operational risk management. The proposed new international bank capital accord, Basel II, which - for the first time - stipulates a separate capital charge for operational risk, has put the topic…