Correlation
The advance of analytics
Machine learning is coming to analytics but there are hurdles to overcome first, says Aiman El‑Ramly, chief operations officer at ZE PowerGroup
Cutting edge: Correlation functions in the crude oil and natural gas futures markets
Given the importance of the crude oil and natural gas futures markets, the intra-market correlations in these markets play an important role in pricing, hedging and managing the risks of energy portfolios. This paper by Ehud Ronn contributes to the…
Commodity correlation returning to pre-2008 levels, say analysts
The tight link between commodities and equities is easing as firms become less worried about macro shocks, say analysts
Multi-factor forward curve models for energy risk management
In the second article of this series, Carlos Blanco and Michael Pierce introduce the most common multi-factor models of the forward curve used for energy derivatives pricing and risk measurement
The growing influence of Caspian crude
The growing importance of Caspian crude could bring about a similar dislocation of Urals/Brent as the recent dislocation in the Brent/WTI spread, argues Bruce Gaston
Energy market correlations: have they changed permanently?
Have traditional energy market correlations changed permanently as a result of the credit bubble bursting and how will this impact trends in price forecasting and modelling? Pauline McCallion reports
Valid Assumptions Required: an analysis of VaR for energy markets
In this 10-part series, Brett Humphreys takes a fresh look at the widely used risk measure value-at-risk (VaR), urging risk managers to be more aware of the many assumptions that go into the calculation to produce the VaR number.
Valid Assumptions Required: calculating correlations
Correlation measures are major drivers of value-at-risk. Brett Humphreys and Eric Raleigh review assumptions associated with calculating correlation.