Articles by Risk Staff
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
Option pricing for power prices with spikes
European power prices are very volatile and subject to spikes, particularly in German and Dutch markets. Ronald Huisman and Cyriel de Jong examine the impact of spikes on option prices by comparing prices from a standard mean-reverting model and a regime…
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
A new look at credit risk capital
In the second of two articles on Standard & Poor’s refinement of analytical methodology, John Kennedy discusses an updated approach to evaluating credit risk capital
Struggling for integration
Political issues are stalling Mexico’s energy sector reform just as the country is poised to become a major natural gas importer, reports Maria Kielmas
Between Kyoto and the caribou
Ratification of the Kyoto Protocol on climate change is unlikely to have an effect on the burgeoning Canadian oil and gas sector, as Maria Kielmas discovers
The front-month proxy hedge
The front-month proxy hedge is a correlation-based hedge that seeks to neutralise the aggregate sensitivity of a portfolio to a futures curve by converting the individual futures hedges into a single hedge with respect to only the front-month contract…
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
In search of transparency
The open secret of index price manipulation in the natural gas sector is officially out, and the industry is scrambling to reform the system. Kevin Foster reports
Rising fuel costs, diving profits
Airlines differ on how to manage jet fuel price ‘hyper-volatility’ as option prices point to more turbulence ahead. Catherine Lacoursière reports
Hedging on a jet plane
The past eighteen months has been a critical time for airlines. FAME Information Services looks at how an airline can reduce operating costs by jet fuel hedging