Market risk
How to spot a VaR cheat
Traders can use weaknesses in VaR measurement to make it appear that they are not taking any risks. Brett Humphreys exposes how easily this can be done
Petrochemicals firms take a stand against oil price volatility
Many petrochemicals firms are seeking to reduce price volatility through hedging, given that the cost of crude oil is strongly influencing the price of petrochemical products. GlobalView Software looks at the figures behind the trend
Trading with a small ‘t’
What made headlines before is now becoming everyday news: energy companies are scaling back or leaving energy trading. Some industry observers are emphasising the shift to ‘trading around assets’. Anne Ku investigates just what this means
Credit watch
In this month’s analysis of energy firms’ credit quality via Riskmetrics’ CreditGrades tool, Williams and El Paso are among those with tighter spreads
The return of Russian crude
Russia has reclaimed its position as the world’s biggest oil producer for the first time in a decade – but uncertainty is still preventing some foreign oil firms from making the investments the country needs to fulfil its potential. Kevin Foster reports
Optimise this
One of the reactions to recent energy trading difficulties has been a shift away from speculative activities towards portfolio optimisation, but what does the term really mean, ask Tim Essaye and Brett Humphreys
Pumping up prices
Gasoline prices in the US hit all-time highs in March, and the price is expected to remain high throughout the summer. Kevin Foster looks at the contributing factors
Project risk: improving Monte Carlo value-at-risk
Cashflows from projects and other structured deals can be as complicated as we are willing to allow, but the complexities of Monte Carlo project modelling need not complicate value-at-risk calculation. Here, Andrew Klinger imports least-squares valuation…
Models of good behaviour
The development of new models that describe the real dynamics of energy prices have to take into account the behavioural aspects of market players. The problem is how to quantify these aspects. Maria Kielmas reports
Rethinking European power
European energy firms are seeking to reposition their products and strategies in advance of European Union market deregulation. FAME Energy reports
Greening the markets
Environmental risks are increasingly being recognised as important financial issues, but the markets are still some way from rewarding companies for good environmental performance, as Kevin Foster discovers
Pointing the index finger
Concerns over manipulative energy price reporting has led to a call for price index reform. But many market participants are apprehensive about disclosing detailed confidential data to a third party. James Ockenden looks at developments
Online clearing: the shape of energy markets to come
The energy trading market is moving towards a structure in which participants achieve market presence through a dedicated market network, rather than having to use local or regional exchanges, says strategic consultant Chris Cook
Asian basket spreads and other exotic averaging options
Giuseppe Castellacci and Michael Siclari of OpenLink introduce a class of exotic options that simultaneously generalises both Asian and basket options. They develop approximate analytic models for real-time pricing of complex instruments that average…
Climbing the competition Pole
The Polish government hopes to boost competition in the electricity market through a controversial securitisation plan that it will use to buy out long-term contracts between generators and the transmission grid operator. Maria Kielmas reports