Technical paper/Foreign exchange

The matrix

Abstract: Portfolio-wide risk management requires a model that accounts correctlyfor the volatility of, and the correlations between electricity forward products.In this paper Kjersti Aas and KjetilK°aresen discuss a joint model for electricityforward…

An integrated framework for the governance of companies

Cases of insolvencies, losses and internal frauds have been increasing of late. As a result, the question is asked more and more often whether such cases could have been avoided with better governance of companies or a clearer organisational handbook. In…

Constructing an operational event database

Michael Haubenstock of US bank Capital One outlines a framework for an event database, formulated with current US regulatory guidance on the subject in mind. The text is an abstract from The Basel Handbook, which has just been published by Risk Books.

The score for credit

Jorge Sobehart and Sean Keenan discuss the benefits and limitations of model performance measures for default and credit spread prediction, and highlight several common pitfalls in the model comparison found in the literature and vendor documentation. To…

’Tis the season...

Abstract: Aurelian Tröndle presents a general framework for modelling prices of storable and non-storableenergy assets, which sheds light on different market fundamentals, and showshow energy market volatility is seasonal and anything but stable. The…

Mark up the scorecard

Sergio Scandizzo and Roberto Setola explore the application of a scorecard approach to the measurement of operational risk, assessing both its reliability as a risk-management tool and the practicalities of its implementation.

Economic capital – how much do you really need?

Economic capital is becoming the language of risk. While market, credit and operational risk have different determinants and use different methodologies, the levels of risk can all be summarised in a common dimension – the amount of economic capital…

Breaking down the model

Brett Humphreys and Andy Dunn outline a method to help energy companies minimise potential model risk and thereby avoid costly errors in valuing deals.

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