Over the last few weeks, we’ve released a new Whitepaper, initiated a “Knowledge Series” of Articles on Commodity Risk Management. Both have received pretty good responses so far. A lot of people have written to us appreciating the publications on Commodity Risk Management, and buoyed by this response we’ve embarked on yet another E-Book. This blog post is about our upcoming E-Book and the other recent publications we’ve released.
Upcoming E-Book: The Complete Handbook of Commodity Risk Software Requirements
If you are looking for a Commodity Risk System to manage your market and credit risks, you must have a well-documented set of requirements for the system. This E-Book is the most comprehensive set of such requirements and all that you’ll ever need. It covers the Commodity Risk Management system requirements that would be suited for most companies, with minor customizations. It is written with an objective to save precious time and effort by companies on such requirements and give them a huge head-start in this initiative. You can simply refer to the requirements in this document and tweak it a bit to suit your business, and it’s done !
Here’s what you can expect to learn from this E-Book:
- Broad overview of Risk Systems
- Requirements for Risk Measurement – Market Risk and Credit Risk
- How to comply with Regulatory Reporting
- What kind of Risk Reporting and Risk Control should you have
- Risk Analytics requirements
- Technology challenges and how to manage them
- Integration requirements for a stable system
Please note that this E-Book will be made available only to people from Energy / Commodity companies, so please request download with your official email id.
This E-Book has not yet been released and is expected to be out by July 10th, 2014. However, you can pre-order it by clicking the button below and we’ll make sure that you receive this E-Book the day it is released !
Whitepaper: Stabilizing Monte Carlo VaR Results
This Whitepaper addresses one of the most debated issues in Risk Management – The Stability of Monte-Carlo VaR Results. As Risk practitioners are acutely aware, Monte-Carlo is a preferred method when valuing non-linear, path-dependent instruments including complex derivatives. However, unstable VaR results is a very pervasive issue due to the inherent sampling variation in Monte-Carlo. The assumption made by this model about the stochastic process due to its dependence on random sampling leaves it vulnerable to unstable results. The variance in end results can sometimes be so huge, that it renders Risk Management meaningless for most decision-makers.
This Whitepaper shows how unstable the VaR numbers can be, and how as we increase the number of simulations (we’ve used RiskEdge Software for this analysis), the stability of VaR results improves by a factor of SQRT (N); where N is the number of times the simulations have been increased by.
We analyzed variance reduction / stability improvement using Relative Standard Deviation (RSD) for 3 VaR measures – Portfolio VaR, Individual (or Asset) VaR, and Component (or Contribution) VaR. The results indicate that the variance reduction is broadly in line with SQRT (N) formula.
Knowledge Series: Understanding Volatility
In the first part of our Knowledge Series, we present one of the most critical, but also the least understood concept in Commodity Risk Management – Volatility. In this article, we tell you how to calculate volatility, the common pitfalls to avoid, and the various methods to calculate it.