Market risk
The value of volatility
Brett Humphreys and Tim Essaye seek out the best method for calculating volatility by comparing different measures, and find that complex approaches aren’t necessarily the best ones to use
Unleaded prices feel the heat
Data management and analytics specialist FAME Information Services looks at the effect the US driving season is having on US gasoline prices, taking into account various factors – in particular, the big impact of higher crude oil prices this summer
Building a bridge to Var
Value-at-risk (Var) is a technique often applied to the energy industry. But there are limitations to its use. Here, Leslie McNew aims to bring these limitations to light, and thereby give practitioners confidence in the use of Var
Rating agencies raise the bar
Confidence in energy traders has never been lower, and the metrics the rating agencies apply to their business are changing. James Ockenden assesses the damage
Natural gas storage: a market driver changes horses
Given the importance of natural gas storage figures to energy market traders and analysts, a change in the provider and timing of the data release is an event of some significance. Software provider Logical Information Machines reports
Discovering new frontiers
Joerg Engels and Volker Linde report on the changes Germany’s deregulated energy market will have to make as a result of the country’s banking act
Mean-reverting smiles
Commodity markets such as crude oil exhibit mean reversion as well as option smiles. David Beaglehole and Alain Chebanier meet this challenge, constructing a model suitable for pricing exotic options in these markets
Utilities renegotiate to survive
For the past 10 years, Argentina’s privatised utilities have been icons of successful energy sector reform. But with the country’s deepening crisis, they face increased difficulties. What can investors do to mitigate such risks, asks Maria Kielmas
Mixed signals from the east
Flaws in Poland’s electricity regime have crippled Warsaw’s two-year-old power exchange. But Slovenia’s power exchange is faring rather better. Peter Joy reports
A cure for Enron flu
Brett Humphreys discusses recent events in the energy sector and the role risk managers can play in improving the industry
Worth waiting for?
Just over a year on from the delayed launch of the UK’s new electricity trading arrangements, prices have dropped to new lows. But just how low can generators go, asks Joel Hanley
Storing up the gains?
Natural gas prices are climbing again, and energy companies are reacting by putting in place new hedges, as Kevin Foster discovers
Enron’s online after-effects
Recent highly visible events in the US, including the Enron failure, the California electricity crisis and market power rulings by the government have all created considerable tumult and uncertainty, which are bound to have repercussions
Keeping score
This month Brett Humphreys and Zach Jonasson show how energy trading firms can compare performance using publicly available corporate information