Market risk
Keeping EAR simple
Brett Humphreys discusses how trading groups can be captured within earnings-at-risk and cashflow-at-risk models. He suggests taking a top-down approach instead of a bottom-up approach based on actual positions
Close-up on market risk capital
Jack Kennedy outlines rating agency Standard & Poor’s new approach for analysing the credit quality of US energy trading firms
Estimating oil price volatility: a Garch model
Nikolai Sidorenko, Michael Baron and Michael Rosenberg present a general framework for modelling energy price volatility. These models explain the volatility persistence and clustering present in many commodity prices. In addition, they can incorporate…
Managing risk under SMD
Scott Greene, Mark Niehaus and Pankaj Sahay examine the impact of Ferc’s proposed standard market design on power risk management
Through the looking glass
Unlike oil and natural gas, electricity generally suffers poor price transparency. Rachel Jacobson of FAME Information Services looks at power price discovery mechanisms in the US
Balancing the books
Regulators are taking advantage of a lull in power project development in the US to close loopholes in financing rules, reports Catherine Lacoursière
Out of the zone: nodal pricing takes hold
Congestion-constrained US electricity markets are likely to find relief with the arrival of a new pricing regime, reports Catherine Lacoursière
Clear in present danger
Energy companies are crying out for clearing solutions to reduce their counterparty credit risk. James Ockenden looks at new initiatives from London-based power exchange UKPX and German firm Clearing Bank Hannover
The rise of the money men
Wanted: company to trade power in the US. Strong credit, trading expertise and appetite for risk required. Only banks need apply? By Kevin Foster
Confusion over a barrel
The latest efforts to stem price manipulation have left crude oil market participants wondering which contracts they should be trading and who will lead the pricing? Joel Hanley reports
Green risks for the black stuff
The impact of environmental risk on oil companies may be substantial, says a new report by the World Resources Institute. What will the effect be on the oil majors’ stock prices? James Ockenden reviews the report
Brent changes promise stability
The recent change in Platts’ definition of Brent crude oil follows much debate about the price assessment of North Sea Brent crude. Software vendor Logical Information Machines takes a historic view in a search for the reasons behind the move
After the swashbucklers
Oil exploration today is about taking as few risks as possible, meaning the smaller independent firms are losing out to the energy majors, as Maria Kielmas discovers
Market mind games
The year has seen surprisingly high oil prices, which has caught many forecasters unaware given widespread predictions of slow growth. Maria Kielmas reports
Risk and reward at the speed of light: a new electricity price model
Samuel Bodily and Michel Del Buono propose a new electricity price model. The mean-reverting proportional volatility model matches important characteristics of power price dynamics where others, such as geometric Brownian motion, fall short
The price of good information
The accounting scandals across the US – particularly at Enron – have led to demands for more independent market data in the energy sector. Who’s providing it, and is it meeting the industry’s needs? Kevin Foster reports
Keeping an eye on the long-term
Brett Humphreys discusses the problems with standard credit risk limits and proposes limits that may work better