Commodity markets have entered a new phase of turbulence. Geopolitical shocks, fractured supply chains, and the global energy transition have amplified price swings, turning curve calibration into a front-line challenge for every risk manager.
Accurate forward curves are no longer a back-office detail. They shape P&L, hedge effectiveness, and capital efficiency.
This whitepaper reveals how to calibrate commodity curves with precision, capturing roll conventions, seasonality, and market-specific nuances that traditional systems often overlook. You’ll see why, in today’s cross-asset world, calibration must go beyond matching futures quotes to deliver true consistency across pricing, risk, and valuation frameworks.
Discover how a unified, high-performance approach strengthens cross-commodity operations, supports XVA and PFE calculations, and keeps your models aligned with the real market.
What You’ll Learn
- Build unified commodity curves that align with cross-asset risk and XVA frameworks.
- Avoid costly calibration pitfalls that distort P&L, hedging, and capital metrics.
- Apply advanced techniques to handle roll conventions, seasonality, overlapping tenors, and daylight savings adjustments.
- Achieve pricing consistency across commodities, power, gas, and spreads with a proven, scalable framework.
Accurate calibration isn’t just about getting the numbers right. In today’s interconnected markets, the calibration process itself has become a source of competitive advantage. Institutions that can rebuild accurate, cross-asset curves rapidly and consistently, even under simulated conditions, will be better positioned to navigate volatility, optimise capital, and maintain confidence in their models.
