Risk Analytics

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The risk analytics module is an optional module of the EnergyOne Trading system.
Designed for use by Middle Office staff for risk and valuation purposes, it offers a comprehensive set of tools based on established energy industry risk and valuation methodologies.
Full functionality for energy markets
A comprehensive set of Risk and Middle Office functionality is included, out-of-the-box, including:

  • Comprehensive multi-commodity forward curve management utilities and libraries
  • Profiling
  • Mark to Market
  • Counterparty Credit Exposure Management and Reporting (including limits)
  • Sensitivity testing
  • Stress/scenario testing
  • “At Risk” measures, including including intraday VaR, EaR and extended scenario analysis
  • Simulation Pricing  and Valuation capability
  • Full, easy to use and configurable reporting functionality by portfolio, commodity, trade and counterparty level.
  • Scheduled and adhoc extract reports for financial (e.g month end) and analytical reporting purposes

Middle Office Functionality
Fully integrated and flexible hierarchical security system providing role-based access and functional controls throughout the system, including:

  • Fully integrated limit management incorporating limits at the following levels:
    • Dealer transaction limits (face value, volume, capacity, tenor) by instrument type and product (electricity, environmental products and SRAs)
    • Portfolio physical position limits (against forecast generation, forecast load)
    • Environmental Product limits against forecast generation and retail compliance obligations
    • Portfolio concentration limits by instrument type
    • Risk limits for counterparty credit exposures
  • Configurable limits for all key trading measures
  • Hard and soft configurable limits for workflow control
  • Full and Configurable counterparty credit risk control and reporting
  • Full audit capability, version control data
  • Alerts
  • Utilities to easily allow authorised users to configure:
    • New markets/geographies/commodities
    • New portfolios/books/groups
    • New contract types (including complex or exotic trade types, load following, profiled etc)
    • New contract settlement rules (including multi-market settlement rules)
    • New market time bases (e.g. 3-hourly, hourly, half-hourly).
    • New Users/counterparties
  • Advanced reporting (portfolio, hedge, position, audit).
  • Hedge accounting

Integration with 3rd party risk systems
EnergyOne Trading offers out-of-the-box interfacing with 3rd party risk systems, such as the class-leading Lacima system. This enables clients the option of using an alternate risk/valuation system, other than the built-in module, if this is preferred.
New contract settlement rules (including multi-market settlement rules)
Market settlement rules (gross pool, net pool, next day)

Relevant Product Modules

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energyOneTrading

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