Analysis
Valid Assumptions Required: an analysis of VaR for energy markets
In this 10-part series, Brett Humphreys takes a fresh look at the widely used risk measure value-at-risk (VaR), urging risk managers to be more aware of the many assumptions that go into the calculation to produce the VaR number.
Product performance
Comparing principal-protected, accelerated growth and reverse convertible products with September 2009 strike dates
Market snapshot
Tim Mortimer of Future Value Consultants looks at the pricing issues for structured products in different markets and provides his trade of the month
Euro should not covet reserve role
Panellists in a new CentralBanking.com web seminar say becoming a reserve currency would hamper recovery
Tres Amigas could play same role as Henry Hub
Transmission issues continue to dog US green energy revolution. Connecting the three major grids aims to allow renewable energy to be shipped between states, writes Pauline McCallion
Gazprom sates China demand at US expense?
As Gazprom forms closer ties with China for the sale of its gas, Lianna Brinded asks whether the US could soon be forced to pay higher prices for its gas imports
European power: Achieving transparency in Germany
Energy Risk’s series on European power markets focuses this month on Germany, Europe’s biggest power market and one of the best examples of market transparency. Rachel Morison looks at what can be learnt from it
Retrospective: Avoiding the barriers
This JP Morgan product from November 2008 linked to a basket of four Asian indexes and promised a 2.05% quarterly income payment. In the event of a kickout, however, capital was placed at risk and the amount returned to investors would depend on the…
Retrospective: A simple plan
Barclays Bank issued a straightforward minimum return product just before the financial crisis, linked to the performance of the FTSE 100 index. Ensuing volatility and widening CDS spreads show why such products are rare in today’s markets
Product performance
Comparing principal-protected, accelerated growth and reverse convertible products with August 2009 strike dates