Risk Staff
Follow Risk
Book contributions by Risk Staff
Portfolio Construction and Management
Edited by Brice Benaben and Julien Jarmoszko
Articles by Risk Staff
Call for Risk technical papers
Risk invites contributors to join the ongoing debate within the quant community on topics particularly relevant in the current market situation. The Cutting Edge section welcomes the submission of technical articles and brief communications investigating…
Crunching the numbers
Advances in analytical tools, coupled with a proposed December Ferc ruling requiring US gas providers to publish gas flow data, could herald a revolution in US natural gas trading. Algorithmic trading techniques, similar to the kinds used in the equity…
Implied trees: Valuing exotic options
In this next installment of the Masterclass series, Jim Clark, Les Clewlow and Chris Strickland show how to value exotic options, using a calibrated local volatility surface consistent with market prices
Where to next for gas prices?
US natural gas markets can be tricky to predict, as recent high-profile losses in these markets have shown. However, there are some aspects of price behaviour that are more uniform than might be imagined, writes David Linton of Updata
The outlook for US gas
US natural gas prices, which have fallen by 30% recently, are expected to stabilise at current levels or rise from here, analysts say. Longer term, unconventional reserves could dampen prices. William Rhode reports
The power of now
A real-time position reporting system is becoming an important tool for large energy trading firms. Sirius Solutions’ Brian Shydlo introduces the concepts, challenges and techniques associated with designing and implementing an RTP solution
Changing times at Centrica Energy
Constantine Vaitsas, Atlas transformation director at CentricaEnergy, describes how his company updated its tradingand risk management systems to meet the challenges of therapidly-shifting energy markets
The shape of things to come
As Australia gears up for its emissions trading scheme in 2010, Anthony Collins of the Australian Securities Exchange examines the country’s emissions profile and looks at how the financial markets supporting the scheme are likely to evolve
Getting IT right
With voluntary carbon markets growing rapidly, registries are springing up to facilitate trade. Many companies, however, have not begun the crucial work of developing such internal systems. William J Scotti of Meradia Group offers some suggestions
Q&A: Asset-based lending funds
Now that many traditional lenders are tightening their lending criteria, is an opportunity arising for asset-based lending funds to fill this gap? Credit speaks to leading ABL managers to find out. Answers by Josh Zegen of Madison Realty Capital, David…
Structured credit's re-formation
The structured credit market has been blamed for much of the turmoil in credit and, by association, the wider global economy. But many market participants remain convinced that structured credit has a major role to play in the financial landscape of the…
The Big Interview: Goran Lind
Sweden's success in handling a severe credit crisis it experienced in the 1990s has been cited as a model for economic policy-makers faced with the current credit crunch. Goran Lind, advisor to the executive board of the Swedish central bank, the…
Asian retail focus
The process of tempting Asian retail investors back to credit has been an uphill struggle for distributors, who have tried to stimulate interest with a series of structured first-to-default notes that give sovereign exposure. But heavy mark-to-market…
The return of the real money manager
With hedge funds feeling the pinch from the liquidity squeeze, real money managers have emerged as a reliable source of liquidity, earning themselves mandates from investors with cash to put to work. Credit gains an exclusive insight into how one of the…
Banks slam '10%' rule for new structured deals
Sell-siders criticise proposals by the European Commission to force originators to retain 10% of new structured finance deals; but others welcome the move