Risk management
Correlation and credit VAR
Navneet Arora and Shisheng Qu show that credit VAR in commodity trading is affected not only by the inherent credit risks of counterparties, but also by various correlations among counterparties and between counterparties and commodity prices
In defence of VAR
High profile losses such as those at hedge fund Amaranth last year had people questioning risk management tools, particularly value-at-risk. But Chris Schlegel and Andrew Kosnaski believe VAR would have given adequate signals to traders in the volatile…
Nymex to offer soft commodities
The New York Mercantile Exchange (Nymex) has entered the soft commodity space with the launch of six new futures contracts on its ClearPort clearing and trading platform.
Urge to merge
The landscape for US commodity exchanges is undergoing considerable change, with many heavyweight names announcing mergers or new co-operations. David Watkins looks at what this will mean for energy trading
Valid Assumptions Required: advanced volatility measures
In the next article of his VAR series, Brett Humphreys discusses more advanced methods for estimating volatility.
The cruellest month
The impacts stemming from volatility in natural gas futures contract spreads – in particular the effects of seasonality on the March-April spread – have been seen in the recent dramatic losses by major hedge funds. Daven Voorhies explores some of the…
Lessons learnt
This year was one of unprecedented volatility for energy markets, yet it also marked a step-change in market maturity. Energy Risk asked some key players what they see as the defining events of 2006 and how they will affect behaviour in 2007. By Stella…
El Paso expands 2007 hedge program
El Paso Corporation, one of North America’s largest independent natural gas producers, has announced that it has restructured and expanded the hedge program that supports its natural gas production for 2007.
GFI joins ConfirmHub
ConfirmHub has announced the addition of GFI to its group of broker members, which already includes Amerex, ICAP and Tullett Prebon. New York-based GFI is a leading inter-dealer broker that specialises in over-the-counter derivatives.
CBOT launches OTC ethanol contracts
Hot on the heels of its benchmark ethanol futures contract, the Chicago Board of Trade has unveiled plans for two new over-the-counter (OTC) Ethanol Calendar Swap contracts.
APM wades into Californian water
ACES Power Marketing (APM) has extended its energy risk management services to irrigation districts and public water agencies in California.
Future imperfect
Hedging physical deals with derivatives may be active risk management, but if the physical contract is breached, it can result in unnecessary losses. Andrew Meads looks at whether the innocent party can recover these losses
Trading opinions
Energy risk professionals from all over Europe gathered in London last month at the Energy Risk Europe conference to debate the hottest topics facing the industry today. The Energy Risk team bring you some highlights
CME, CBOT to merge
The Chicago Mercantile Exchange is to merge with the Chicago Board of Trade in a move the exchanges say is “expected to transform global derivatives markets.”
DME reveals trading platform details
Energy futures exchange the Dubai Mercantile Exchange (DME), due to launch in the fourth quarter of this year, has unveiled details of its trading platform.