Articles by Risk Staff
A safety net for energy traders
Will the Edison Electric Institute’s master netting agreement help reduce credit risk for energy traders? Kevin Foster takes a look at this new initiative
Quality data and solutions for a challenging market
FAME provides today’s uncertain energy market with transparent information and the tools to analyse it
Trading natural gas futures with weatherfutures at the CME
Craig Jimenez and Mirant’s Vishu Kulkarni discuss how the burgeoning relationship between the natural gas futures market and the weather futures market is providing opportunities for traders, hedgers and speculators alike
Making sense of the new power market
Bank of America’s Rogers Herndon and David Mooney examine expectations in the energy and power markets before and after the collapse of Enron and outline their predictions for the future
New Energy Associates, a Siemens Company, presents the future of ETRM
As generation, trading and retailing companies come out from under the dark cloud to prepare for what looks to be a brighter future, one issue has become critical – the need to upgrade outdated ETRM systems with 21st century architecture, portfolio…
The Power Sector Model
David Soronow, Mike Pierce and King Wang, of Financial Engineering Associates, introduce the firm’s Power Sector Model as the next step in derivatives pricing
Who is left to manage risk?
The exodus of energy trading companies from the market has created a gap in managing risk. David Johnson and Ross Warriner of Protiviti report
A joint state-space model for spot and futures power
Portfolio-wide risk management requires a model that accounts correctly for correlations between the spot asset and various futures products. Kjetil Kåresen and Egil Husby discuss a joint multi-factor model for power spot and futures prices and show how…
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
Going short under the SMD
Scott Greene, Mark Niehaus and Pankaj Sahay of PricewaterhouseCoopers look at the effect of settling a short position in the day-ahead market under the Federal Energy Regulatory Commission’s proposed standard market design
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
Tripping around credit quality
Jack Kennedy of Standard & Poor’s looks at the effect of round-trip trades on a firm’s credit quality and how they should be treated
Fighting oil volatility
Oil cartel Opec froze its production output level at its last meeting in September. With war in Iraq on the cards, Shifa Rahman reports on the future of oil volatility
Getting protected
Insurance premiums may have rocketed for power companies over the past year but new ‘dual-trigger’ insurance products could still be an efficient way of transferring price risk. James Ockenden reports