Purpose - Many energy firms currently compensate their risk managers with bonuses based on their ability to outperform a budget benchmark. This creates the incentive for a manager to “let it ride” (LIR) when prices move adversely to the benchmark, thus exposing the firm to further adverse...

Purpose – The Basel II Accord requires that banks and other authorized deposit-taking institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure value-at-risk (VaR). The risk...

Purpose – Many energy firms currently compensate their risk managers with bonuses based on their ability to outperform a budget benchmark. This creates the incentive for a manager to “let it ride” (LIR) when prices move adversely to the benchmark, thus exposing the firm to further adverse...

Purpose – The Basel II Accord requires that banks and other authorized deposit‐taking institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure value‐at‐risk (VaR). The...