Commodities
Energy firms given second escape path from Mifid II
Revival of capital test "a workable solution" for asset-heavy companies
A pairs trading strategy based on switching-regime volatility for commodity futures
A pairs trading strategy on energy, agricultural and index futures uses different parameters according to a volatility regime that is detected using a threshold evaluated in two ways, namely by means of a mixture of two Gaussian densities and a Markov…
‘Wrong type of liquidity’ spells trouble for energy hedges
Cyclical lull conceals structural shift as liquidity becomes shorter-dated and more flighty
Asia CTRM and ETRM software house of the year: OpenLink
OpenLink enters new market segment with RightAngle Xpress
Base metals dealer of the year: BNP Paribas
French bank expands hedging and finance solutions to mainland China
Asia commodity finance house of the year: Societe Generale
SG CIB makes Asia renewables expansion the cornerstone of its commodity finance business
Asia data provider of the year: GlobalView
Data provider aims to disrupt with enterprise-wide solution and emphasis on integration
Commodity volatility, skew and inverse leverage effect
Two observations have consequences for commodity risk management and stochastic volatility modelling: the first is that the standard leverage effects in commodities are due to a misspecification and are inefficient proxies for the forward slope effect;…
Energy firms fear liquidity void if US capital proposals hit banks
Trades ‘wouldn’t be anywhere near making sense’ for banks
Hidden risks for corporates in renewable energy PPAs
Buyers face load, covariance and basis risks in typical agreements
Position vacant: unpicking energy’s hidden contract risks
Complex, long-term supply deals present job opportunity for risk managers
A profit and loss attribution framework for physical and financial energy portfolios
A profit and loss attribution framework can improve the information available to energy traders and give valuable insight into the health of their portfolios
Commodities may be a sweet spot for blockchain
Some aspects of commodity markets make them a natural fit for distributed ledger technology
Emir clearing mandate for NFCs is unjustified – EDF Trading
No good reason to subject energy firms to mandatory clearing, says firm's head of regulation
Esma changes to position limits seen as ‘sensible’
Regulator allows higher limits for less liquid commodity derivative contracts
Energy Risk Awards 2016: The winners
Rising commodities powerhouse Citi wins three awards; four nonbank dealers also recognised
Agricultural commodities house of the year: Cargill
Swap dealer unit of US commodity merchant expands global reach
Energy Risk Commodity Rankings 2016 photos
The winners of Energy Risk’s Commodity Rankings were honoured at London’s Le Meridian Piccadilly hotel in February
Phibro CEO eyes opportunities in banks’ retreat from energy
Former Morgan Stanley commodities chief Simon Greeenshields revives famed trading firm
Seeking a systemic role
By overhauling old practices and creating a dynamic new culture, Banca IMI hopes to place itself at the centre of the energy trading system. Stefano Rivellini, global head of commodity sales, explains how, by investing heavily in the physical energy…
Technology and regulation
Energy Risk, in association with OpenLink, presents a summary of a technology and regulation breakfast briefing held recently in London. The invitation-only event convened heads of regulation and compliance, chief technology officers, consultants and…
Quant Ideas: How VAR can add value to energy market analysis
Using traditional financial tools such as value-at-risk can improve market risk analysis in the energy sector
OTC trading will live on, SG’s top US commodity trader says
Corporates still need banks for complex, structured deals, says Koppel
Quant Ideas: market-making, risk and information in commodities
Persistent low liquidity in commodity markets is the result of the fundamental interaction of high volatility and noisy data sets. This fact has profound implications for the theory and practice of risk management in commodity markets