The Purpose of this new CCRO initiative
CCRO members have raised recurring questions about how Value at Risk (VaR) is used and implemented across energy and commodity organizations. This survey is intended to build a simple fact base on current VaR practices across the global energy industry, including governance, reporting, analytical methodologies, and key modeling assumptions.
As commodity portfolios evolve to include a broader mix of products, geographies, and exposures, VaR is often applied across positions that differ in liquidity, price transparency, volatility, tenor, and market structure. The goal is to capture how organizations address these realities in VaR design and how VAR used to inform decision making and governance.
This CCRO member initiative is intended to:
Document current VaR practices across the global energy industry through the survey.
Enable anonymous benchmarking across peer organizations, geographies, and business models.
Inform CCRO members and survey participants with a detailed summary of observed practices based on survey results.
Develop recommendations regarding the use of VaR versus other market risk metrics
Step One - Our Value at Risk Methodology & Application Survey
This survey benchmarks current practices in commodity market risk management related specifically to the use of and calculation of Value at Risk (VaR). It focuses on organizational deployment, modeling approaches, data inputs, and governance of VaR.
Responses will be shared anonymously to support peer comparison and industry benchmarking.
Part A) VaR Business Applications & Governance
For the leadership team of the risk function…
The following questions delve into a high-level view of how you currently use VaR as a tool for management decision-making and for risk control.
Part B) VaR Methodology
For the quantitative team and/or model builders
The following questions relate to your company’s current VaR modeling and quantitative methods. Respondents should be deeply familiar with the internal VaR model(s) from a maintenance or development perspective. Please do consult internal quantitative teams as needed.