How to gain from risk premia

Brett Humphreys examines historic data for the natural gas market and finds smart traders could make money from hidden risk premia

risk213-jpg
An energy firm asks Joe Risk Manager to forecast the earnings for the natural gas trading book. To determine these figures, Joe needs some prediction of future gas prices. But he has no idea where to get them. So he asks the head trader and the head quantitative analyst.

“The forward curve is the best predictor of spot prices,” is the trader’s advice. But the quant says the current spot price adjusted for seasonality and mean reversion would be the best predictor. Given this somewhat

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

CTRM systems 2024: market update and vendor landscape

A Chartis report on commodity trading and risk management systems that considers its different applications and addresses the market and vendor dynamics to determine the long-term and structural impacts of the overarching market evolution on the…

Chartis Energy50 2023

The latest iteration of Chartis' Energy50 2023 ranking and report considers the key issues in today’s energy space, and assesses the vendors operating within it

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here