New answers tagged commodities
I wouldn't say that there is a single industry standard. Also, I'm not sure you should try expressing all risks in a single number, or at least be aware of it's deficiencies. If you're interested in VaR, you could consider doing historical VaR for example (be sure to correct for seasonality effects and the curve rolling down with the passage of time). One ...
Though not exactly spelling out models for natural gas. For natural gas trading I like the book as it explains a lot about how the industry works, and might help you develop models: Trading Natural Gas: Cash, Futures, Options and Swaps Hardcover – January 1, 1997 by Fletcher J. Sturm
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