Commodities
Powering through tough times
Hitachi ABB Power Grids’ dominant position in Energy Risk’s 2021 Software Rankings reflects its deep understanding of current market challenges
The impact of energy costs on industrial performance: identifying price and quantity effects in the aluminum industry using a data envelopment analysis approach
The authors build a frontier function model with technical and cost efficiency measures to assess the impact of energy costs on competitiveness in the aluminum industry, a heavy energy consumer, by identifying what may be attributed to price and quantity…
Nasdaq whacked with $36 million fine over Aas default
Swedish regulator’s fine poses serious questions over default management and margining, while providing few answers
The effects of customer segmentation, borrower behaviors and analytical methods on the performance of credit scoring models in the agribusiness sector
The main aim of this study is to analyze the joint effects of customer segmentation, borrower characteristics and modeling techniques on the classification accuracy of a scoring model for agribusinesses.
Bonds fall from favour as shock absorbers for equity losses
Ultra-low rates force investors to rethink role of fixed income as diversifier
Energy Risk Asia Awards 2020: The winners
BNPP wins top derivatives award, with Macquarie scooping environmental products house
Managing commodity risk in turbulent times
Faced with today’s razor-thin margins, firms must be able to monitor all risks holistically, in real time and to hedge effectively. This brings technological challenges, and many firms are now grappling with issues such as getting the right datasets,…
Citi’s energy loans continued to sour in Q3
22% of funded exposures rated CCC or lower as of end-September
Deal of the year: Deutsche Bank
Asia Risk Awards 2020
Vol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others
LME distressed at severity of Esma stress tests
Watchdog’s simulated price shocks said to be unprecedented in metals markets
WisdomTree shuts oil ETPs after Shell terminates swap deal
Counterparty departure forces closure of eight oil trackers with $580 million of assets
Ion’s wrists slapped in probe of Broadway deal
Competition watchdog extends initial investigation after Ion failed to comply with call for info
Global macro views combine with quantitative models to produce consistent returns
The team behind River and Mercantile Group’s global macro strategy team operates under two key principles: that macro is the most important aspect of any investment decision and that decision-making should incorporate both systematic and discretionary…
Virus weakens banks’ defences against internal fraud
Stressed markets and remote working leave firms vulnerable to op risks and cyber attacks
ABN winds down Ronin books after Vix losses
$200m loss suffered by bank’s clearing business is thought to be mystery second default
Energy Risk Software Rankings: A different world
Energy Risk’s Software Rankings reveal the industry’s technology preferences in a changing world
Banks rail against China CCPs’ loss-sharing policy
Controversial loss allocation technique remains unused during recent market routs, but banks want it banned
All aboard for LNG freight derivatives?
Tools to manage LNG freight risk were developed last year, but how is the market responding?
Portfolio management of Commodity Trading Advisors with volatility-targeting
This paper shows analytically that a volatility-targeted allocation methodology improves the risk-adjusted performance of portfolios under a broad set of assumptions regarding the serial correlation of returns and the dependence of the expected Sharpe…
Rates trading revenues up 154% at top US banks
Net gains on interest rates-related exposures top $21 billion
Who killed FX volatility?
Beyond central bank policy, traders see a range of hidden structural factors at work
Caveat pre-emptor: Man ESG chief talks snubbed markets
Robert Furdak is sparking discussions about responsible trend following in unsustainable stocks
Smarter trading in a fragmented world
FX Week recently hosted a webinar in partnership with Refinitiv to ask foreign exchange industry leaders to discuss geopolitical challenges, market changes and developments, and evolving technologies, and how they have shaped forex markets in Asia