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2017년 September 18일

Understanding your exposure: Crack Representation

In risk modeling and systems context, positions are reported as swaps, namely, price exposure at vertices defined by commodity (or price curve) and month. In reality, […]
2017년 September 17일

IT Portfolio management for CTRM: functional scalability

Should we buy a solution or go in-house? Which language and tools? How can we match business requirements with technology? What about future extensions? These are […]
2017년 September 17일

A Software Framework for Risk Management using R

In this post, I would like to describe one very simple strategy – a framework based on a single software called R, an open source software […]
2017년 September 17일

Managing Daily VaR in Commodity Trading

VaR plays an important role as a risk measure, and many traders state that they are employing VaR as primary risk management tool. Also, most of […]
2017년 September 17일

Price Outlier Detection using Cluster Analysis

Previously, I wrote about an autoencoder based price outlier detection algorithm. In this post, I will introduce another useful algorithm, cluster analysis based detector. Clustering is […]
2017년 September 17일

Risk and Hedging with Blending Optimization

Blending Optimization is widely used by refineries and traders for scheduling and product blending decision making. In a financial context, one apparent benefit is enhanced profit. […]
2017년 September 17일

Detecting Commodity Forward Price Anomaly Using Deep Learning Autoencoder

Forward price curves play such an important role in commodity trading and risk management. These prices directly impact MtM P&L, risk measures such as VaR, which […]
2017년 September 17일

Time-bomb in your book: risk in option-embedded trades

Last week, the oil price has plunged down to 2-year low. Soon we will be hearing stories about winners and losers, not only in their betting […]
2017년 September 17일

Co-linearity and Negative Covariance in VaR calculation

VaR is calculated as a square root of portfolio covariance, up to some coefficient. Then the covariance should be positive, or zero, otherwise we can’t calculate […]
2017년 September 17일

Visualization of Price Hierarchy

There are so many prices used in commodity trading, and we frequently need a way of organizing these prices to simplify the task of trading and […]
2017년 September 17일

A way of VaR attribution

For me, one of the most frequently asked question from the client is, “What caused the change in VaR numbers?” When asked, I just skim over […]
2017년 September 17일

Missing Data in VaR Calculation

How do you treat your missing data? VaR calculation requires a lot of price data. Some are auto-feed, and others are collected manually. And there are […]