Risk-based capital
Breaking down the model
Brett Humphreys and Andy Dunn outline a method to help energy companies minimise potential model risk and thereby avoid costly errors in valuing deals.
Optimise this
One of the reactions to recent energy trading difficulties has been a shift away from speculative activities towards portfolio optimisation, but what does the term really mean, ask Tim Essaye and Brett Humphreys
Stress tests and risk capital
For many financial institutions, "stress tests" are an important input into processes that set risk capital allocations. In the current regulatory environment, two distinct model-based approaches for setting regulatory capital requirements include stress…