e·VaR: Risk Management and Control

e·VaR, e·Stress and e·IVaR collectively provide an end-to-end Risk Valuation framework
for Energy companies. The three have been specifically designed for portfolios that comprise
of complex energy instruments, where most existing risk models fail to represent Real Risk.

Its salient features include:

 
arrow Cashflow bucketing in absolute as well as relative terms. Particularly relevant for power portfolios that show distinct short and long term behaviour.
arrow Analytical and Monte Carlo Models.
arrow Long and Short Term Volatilities considered individually to reflect the corresponding risks.
arrow Special Handling for Energy Asset Class Portfolios with Profile Risks (Load Profiles from Customers and Generation Profiles from Assets).
arrow User definable What-If scenario evaluation.
arrow Expected Shortfall computation.
arrow User definable portfolios.
arrow Fast Computation achieved through smart modelling.
arrow No force-fit on legacy Financial models.
 

e·Stress: Risk under Stressed Conditions

This is an add-on module of e·VaR that allows a Risk Manager to run What-If scenarios, and compute Real Exposure under stressed conditions. The methodology employs Monte Carlo simulations for valuing market positions under correlation breakdown and extremely volatile price scenarios.

e·Stress allows the Risk Manager to define stress conditions, and to calculate Value at Risk under these conditions. This is particularly relevant, as during periods of market stress, historical correlations and volatilities no longer represent current price behaviour. e·Stress provides data for managing capital adequacy levels and in efficient resource allocation.

 

e·IVaR: Incremental Value at Risk

This is another add-on module of e·VaR that allows a Risk Manager to implement a Risk based Limit system on the Trading operations. This has been built specifically for the Power market, but can be extended to any commodity. Risk Exposure is calculated and presented in terms of market liquid products, and boundaries can be drawn defining the trading limit zones.

e·IVaR can be configured down to report for an individual Trader, or could be scaled up to aggregate for the entire trading desk. Real time positions can be tracked and the available limits updated online.




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