CCRO: VaR Business Application and Governance

  • Welcome to the CCRO Survey on VaR Business Application & Governance

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  • Statement of Purpose

    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.

    Aggregated responses will be shared anonymously to support peer comparison and industry benchmarking.

  • Background: Respondent Information

  • I. Organizational Profile & Scale

  • 1. Which commodity sector(s) are included in your VAR measurement? (Check all that apply)*
  • 1.a. If applicable based on Q1, please complete relevant sub-section: "Energy — Oil & Gas" (Check all that apply)
  • 1.b. If applicable based on Q1, please complete relevant sub-section: "Energy — Power & Gas Market Role" (Check all that apply)
  • 1.c. If applicable based on Q1, please complete relevant sub-section: "Agriculture" (Check all that apply)
  • 1.d. If applicable based on Q1, please complete relevant sub-section: "Metals, Minerals, and Mining" (Check all that apply)
  • 2. Which best describes the primary business activities covered by the VaR program you are responding for? (Check all that apply)*
  • 3. What is the approximate revenue of the entity or business unit for which VaR is produced?*
  • 4. What is the approximate size of the positions included in VaR measurement?*
  • 5. Which types of instruments are in your commodity portfolio? (Check all that apply)*
  • 6. What is the commodity scope of your portfolio? (Check all that apply)*
  • 7. What is the geographic scope of your portfolio?*
  • 8. What characteristics describe the portfolio that VaR measures? (Check all that apply)*

  • II. VaR Business Applications & Governance

  • 9.a. How is VaR used for Strategic & Financial Planning? (Check all that apply)*
  • 9.b. How is VaR used for Trading Controls & Limits? (Check all that apply)*
  • 9.c. How is VaR used for Performance Monitoring? (Check all that apply)*
  • 9.d. How is VaR used for Compliance & External Requirements? (Check all that apply)*
  • 9.e. How is VaR used for Internal Communication & Reporting? (Check all that apply)*
  • 10. Who receives VaR Reports in your organization? (Check all that apply)*
  • 11. How is VaR reported to senior management? (Check all that apply)*
  • 12. How frequently is VaR reported to a Risk Committee or similar governance function? (Check all that apply)*
  • 13. Who sets VaR limits or thresholds in your organization? (Check all that apply)*
  • 14. How is VaR primarily used in your organization?*
  • 15. What is included in VaR reporting? (Check all that apply)*
  • 16. By what method(s) does your organization disaggregate VaR results? (Check all that apply)*
  • 17. How are VaR limits or thresholds derived within your organization? (Check all that apply)*
  • 18. How frequently are VaR limits reviewed and updated?*
  • 19. What level of management approval is required for VaR limit changes?*

  • III. Portfolio Scope & Components

  • 20. Do you apply different VaR methodologies across position types?
  • 21. Do you use different approaches for commodities, curves, orasset classes? (Check all that apply)
  • 22. Where is VaR least effective in your organization? (Check all that apply)*

  • IV. Alternative Risk Metrics & VaR Limitations

  • 23. Which other market risk metrics do you actively use? (Check all that apply)*
  • 24. What factors have driven your organization to use alternative or complementary risk metrics alongside VaR? (Check all that apply)*
  • 25. What operational or implementation challenges have you experienced with VaR? (Check all that apply)*

  • V. Final Questions

  • 27. Would you be interested in participating in a follow-up discussion or roundtable on VaR best practices?*

  • The CCRO Survey on VaR Business Application & Governance has been completed! Thank you for your participation.

    Please press the submit button to finalize and send your responses.
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