Modelling
How quants shaped the modern energy markets
The business models of today’s utility firms are built on quantitative analysis, but the introduction of these techniques in the 1990s was far from smooth
Making technology count in a C/ETRM world
As businesses grow, so does their need for modern, agile and cost-effective commodity/energy trading risk management (C/ETRM) solutions. Pioneer Solutions explores how its next-generation, highly configurable C/ETRM systems take advantage of the latest…
Finding potential in a volatile commodities market
Macquarie is uniquely positioned to offer clients a range of products, expertise and experience across the commodities space. Nick O’Kane discusses the bank’s approach to commodity markets and what he expects next
Cyber risk a top threat for energy firms
Cyber crime cited among top three external risks; scarce data makes modelling difficult
Falling margins force energy firms to expand data use
Verification and model challenges arise as volatility and margins dry up
Energy firms assess costs of cyber attacks
Cyber attacks on energy firms are growing each year – an alarming fact for chief risk officers who are becoming ever-more involved in cyber risk management
Energy trading firms race to improve analytics capabilities
Surging availability of data lets firms with best market insight gain an edge
Modelling the financial risks of wind generation with Weibull
This paper discusses the manner in which wind generation can affect the half-hourly APX price and also the risk distributions associated with various power contracts. Wind generation is modelled using correlated doubly truncated Weibull distributions,…
Quant ideas: Strategic versus tactical risk management
Strategic or enterprise risk management has long been seen as something of a Holy Grail for risk managers. However, the susceptibility of enterprise risk tools to poor quality data means the whole effort is likely to be misguided, argues Krzysztof…
Maximising refinery profits using portfolio optimisation
Petroleum refining is a complicated, multi-dimensional task that involves many tricky operating decisions. In this article, Carlos Blanco and Christopher Mammarelli explain how a portfolio-based optimisation framework can maximise the profitability of a…
Quant ideas: Do we need realistic models?
It is often assumed that realistic models are a prerequisite for successful risk management, but this is not necessarily true. While using any model blindly can be extremely dangerous, simple Black-Scholes or Ornstein-Uhlenbeck models are more than…
Practitioners must take risk measures with a pinch of salt
While useful, it is possible to rely too heavily on conventional risk measures such as volatility and value-at-risk – a point made recently by billionaire US investor Warren Buffett. Every aspiring practitioner should know about their drawbacks, writes…
Anatomy of a model: Valuation of physical assets
This paper dissects the layers of valuation models for physical assets. While their joint functioning is crucial, the integrity of the layers is not always well understood. Rossen Roussev warns of the trend to over-engineer the parts and mis-model the…
Oil prices collapse: assessing the ‘known unknowns’
Predicting the future for oil prices is a losing game due to the complexity of the market. But some pieces of critical information are often widely missed, argues Vincent Kaminski, including several potential risks to firms associated with North American…
Battery storage to transform power market models
The development of economical battery storage could rewrite the rules of electricity trading and create a need for newer and more sophisticated models, say market participants
Energy evolution set to reshape risk management
During the next 20 years, the energy industry is expected to undergo transformational technological change, shaking up traditional patterns of correlation between different energy markets and creating demand for new types of instruments and more…
Robust valuation and hedging of tolling agreements and physical assets
Krzysztof Wolyniec shows how very robust valuation bounds of tolling agreements can be obtained without modelling the dispatch process or the underlying price process. This flexible method, which uses martingale duality, provides a reliable valuation…
Energy trading firms may rue the decline of quants
Quant finance transformed energy markets, but has been met with a lack of enthusiasm and investment since the financial crisis. That is a shame, say industry veterans, who point to a number of areas that could benefit from a renewed focus on quantitative…
Innovation of the Year Award: Energy Fundamentals
Energy Fundamentals's European Power System Insight platform combines quality data with sophisticated, yet accessible, modelling capabilities
Quants: how they shaped the modern energy market
Nowadays, quants are well established in energy trading. But the original introduction of quantitative techniques to the industry was far from straightforward, with a lot of hard work involved in adapting financial market models to the energy arena…