Risk-management tool for the electricity utilities.
Features include:
1) Modeling of
the power market
Stochastic prices for all energy commodities
using mean reversion processes, optionally with
price spikes, and the full correlation structure
between the commodities.
Performance independent of granularity of the
price forward curves
2) Risk-based valuation
of risk components
Pricing of individual risk components using
analytical solutions and numerical integration
methods
Highly exotic financial instruments adjusted to
the needs of the energy markets
3) Calculation
of risk measures and risk capital needs
Risk-based value of an energy portfolio,
which can be easily defined by the customer, taking
into account the correlation of all commodities
Various risk-measures such as Value-at-Risk, sensitivities,
etc.
4) Detailed Reporting
Flexible aggregation along multiple dimensions
(contracts, business units, etc.)
Diversification effects on each aggregation level
for all risk-measures
Cash-flows on various aggregation levels
