This paper documents the existence of a significant forecast error on crude oil futures. We interpret it as a risk … considered business cycle indicator. An out-of-the-sample prediction exercise reveals that futures adjusted to take into account … this time-varying component produce significantly better forecasts than those of unadjusted futures, of futures adjusted …

causing sizeable losses. I propose a model, based on granular data, to simulate losses from a banks’ trading book in case of … banks over the same underlying. I employ the model to assess current capital and margin rules in covering risks from broker’s …