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
- 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
- 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)