Commodities
Goldman’s VAR climbs to $98 million in Q1
Commodity and interest rate risk push average VAR to its highest reading since 2020
Emission impossible? Why voluntary offsets may not be scalable
As finance looks to shape decarbonisation in its own image, critics wonder if its efforts are misplaced
Asia moves: Senior hires at Citi, Crédit Agricole and more
Latest job news across the industry
Firms opt for unified regulatory reporting architectures amid the latest wave of new requirements
Zoi Fletcher speaks to Fabien Romero, executive director at S&P Global Market Intelligence's global regulatory reporting solutions, about the importance of unified architecture for global transaction reporting requirements
OTC nickel contracts stuck despite trading resumption
Contracts still unable to settle using new prices, but Isda template may solve the issue
Super backwardation trips up commodity carry trade
Wrong type of curve derails quants’ commodity carry trade for worst spell in decades
CCPs urged to widen collateral net as commodities spike
Broader acceptance of emissions certificates and letters of credit could relieve margin pressure
‘Dead’ derivatives market leaves big Russia dealers unhedged
VTB and Sberbank face directional exposure to local corporates after mass unwinds by foreign banks
US watchdog urges banks to uphold cross-border trust
Federal regulators assess financial spillover from Russian offensive as volatility surges and sanctions bite
Derivatives exposures up 26% at BP
Oil giant posts fourth consecutive yearly increase in 2021
Markets Technology Awards 2022 winners' review
The Markets Technology Awards were as fiercely contested as ever this year, a testament to the volume, strength and variety of technology firms playing a key role in today’s markets
Shell derivatives exposure rose by $15bn in 2021
Over 93% of the oil giant’s derivatives instruments were designated as current
Mizuho’s F&O clearing unit doubled client margin in 2021
Japanese bank overtakes Credit Suisse, UBS and Interactive Brokers to become seventh-largest FCM in required margin
Top 10 op risk losses for 2021 hog $15bn total
Despite more fraud and crypto crime, firms’ op risk losses fall in number and in volume. Data by ORX News
Mizuho’s F&O clearing unit boosts client margin by $1.05bn
In contrast, Morgan Stanley reports largest drop over same period
Theory for optimizing capacitated commodity storage with case studies in natural gas
In this paper the author's develop theoretical concepts of optimal injecting and withdrawing for a capacitated commodity storage and give case studies in natural gas.
Debate erupts over bitcoin’s US reg status
Commodity, currency or security? Experts question cryptocurrency’s asset class after El Salvador move
JP Morgan, Goldman lead US banks in cutting VAR-based charges
On aggregate, requirements connected to commodity positions fell the most, down 28% from end-June
Managing physical and financial risk in today’s volatile commodities markets
This webinar examines what firms are doing to modernise their IT systems to get better control on their risk measures and key performance indicators across their physical and financial businesses.
Lack of quants dims chance of structured product boom in China
Quants in high demand as banks explore new products, and local rules call for onshore specialists
Forecasting natural gas price trends using random forest and support vector machine classifiers
In this paper, different machine learning approaches are applied to forecasting future yearly price trends in the natural gas Title Transfer Facility market in the Netherlands.
Leaked EU proposals show FRTB divergence on carbon trading
EC takes up Isda call to cut standardised risk-weight; unclear if it applies to non-EU markets
Making the cut: EU eyes Isda’s carbon trading proposals
EBA fears suggested treatment of emissions would be misaligned with rest of FRTB
JP Morgan’s VAR falls to lowest since 2018
Gauge of trading risk drops 20% quarter on quarter, driven by commodities and equity desks