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Reading the Term Structure of Futures Prices
Over the last few years, natural gas prices in the U.S. have been pounded by a variety of factors. Front and center are the continuing breakthroughs in horizontal drilling and hydraulic fracturing. On...
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Show me
JP Morgan’s $2 billion loss on credit derivatives traded by its Chief Investment Office (CIO) has moved the debate over implementation of the Volcker Rule to the front page. Many claim that these...
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Show me, per Dodd-Frank
The finance lawyer who blogs at Economics of Contempt has a very nice summary of what is required for JP Morgan to claim that the trades at the CIO unit are allowed under the Volcker Rule because they...
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Griffin’s Risk Management Superpower
The third installment of the feature film series Men in Black features the alien Griffin. Griffin possesses the critical ArcNet shield that can protect the earth against the impending Boglodite...
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Alice’s Adventures in Australia
Liam Denning at the Wall Street Journal has a nice piece today on why Chevron has chosen not to hedge its apparent exposure to fluctuations in the value of the Australian dollar. The apparent exposure...
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Is wholesale power trading as profitable a line of business as they say?
Gregory Meyer, in today’s Financial Times, reports that banks are scaling back their trading in U.S. wholesale electric power markets. In his companion article, he quotes me saying that The banks had...
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Prop Trading at JP Morgan
JPMorgan’s management released its Task Force Report (Report) on the trading losses at its Chief Investment Office (CIO). It’s very clearly written tick-tock and provides a good account of how various...
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Games with Risk Controls
FT Alphaville has been running a series of blog posts digging in to items raised in the investigation of the fiasco at JP Morgan’s Chief Investment Office. The series is called The Belly of the Whale....
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CSI: prop trading investigation squad.
Does JP Morgan’s derivative portfolio hedge its other lines of business? This picture says ‘no’. Does JP Morgan’s use derivatives to make prop trade bets on interest rates. This picture suggests ‘yes.’...
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Dumbing down
John Kay’s column in the Financial Times yesterday uses the episode with the Swiss franc as a reminder about model risk.
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