Seasonality
Portfolio rebalancing and seasonality in Canadian financial markets
Using Canadian data for the period 1957–2018, this paper provides evidence in support of portfolio rebalancing by professional portfolio managers.
What drives the January seasonality in the illiquidity premium? Evidence from international stock markets
This study is, to the best of the authors’ knowledge, the first attempt to comprehensively examine and explain the January effect in the illiquidity premium.
Power surge: the value of investing in renewables
Energy market expert investigates ways to forecast future power prices and capture rates in order to value renewables PPAs
2022 – A market risk odyssey
Though January’s final version of FRTB offered no great surprises to those who have followed the regulation since its inception, banks now have a greater idea of what is required of them. Bloomberg explores the importance for banks to have FRTB…
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Final FRTB internal model rules get mixed reviews
Bankers divided on whether changes to two key tests will ease ‘penal’ capital charges
The Nordic/Baltic spot electric power system price: univariate nonlinear impulse-response analysis
This paper studies the characteristics of the conditional mean and volatility of daily price movements of the system price for the Nordic/Baltic one-day-ahead spot electric power market.
Probabilistic forecasting of medium-term electricity demand: a comparison of time series models
This paper focuses on medium-term probabilistic forecasting for risk management purposes.
Totem poll: users of Markit service call for change
Libor-like consensus methodology creates bad incentives, clients fear
Energy Risk Asia Research House of the Year: SG CIB
SG CIB wins praise for investable indexes and trading ideas
Multi-factor forward curve models for energy risk management
Applied risk management series – article two
Analysing common processes used to model energy prices
An introduction to energy spot price processes