We have developed leading risk management principles, practices, and models, as well as provided our clients with pertinent advice and tools necessary to adopt this system of knowledge.
We work closely with our clients to enhance their ability to measure risk, manage it and report on it.
We keep abreast of the latest theories and applications in financial and commodity risk and are continuously sharpening our set of mathematical tools to support you in making informed decisions through:
- Forecasting key variables impacting the bottom line, using carefully adapted mathematical models, with a combination of statistical and fundamental approaches
- Simulation of supply, demand, prices and risk factors using appropriate models that capture the dynamics of the underlying risk, and implemented in a variety of platforms to facilitate integration with your IT systems
- Optimization of scheduling, operations, cost and other key processes using state-of-the-art, fast algorithms, that are commensurate with the complexity of your needs
- Valuation of financial instruments (derivatives) and complex energy deals with embedded optionality (gas swing, storage, power tolling, VPP)
- Decision-making under uncertainty models such as stochastic dynamic programming, multi-stage linear programming, least-square Monte Carlo that implement dynamic hedging methods to protect value creation from market instability
- “Big Data” analytics utilizing smart algorithms to uncover hidden patterns and to draw valuable information and insights, thereby increasing your business intelligence
Through different engagements in financial and commodity markets, we have strived to add real value using a pragmatic, flexible and real-world approach, founded on robust financial theory and quantitative modelling.
Click below to learn more about some featured delivered projects.
Simulating trading strategies for a hedge fund
This scenario-based simulation of trading strategies’ P&L and key performance ratios, incorporates the effect of capital re-investment ratio depending on past levels of draw-down.
Simulating market prices for a re-insurance company
This is a methodology and a framework used in the front and middle offices to carry out:
Simulating Market Prices
- a real-world vs. risk-neutral simulation of market prices using both binomial and mean-reverting jump diffusion models.
- a simulation of one path, or a thousand paths with distributions across paths or time
Pairs trading for an investment bank
This is design and an implementation of a winning cross-commodity statistical arbitrage strategy which identifies pairs sharing long-term dependency measured by the speed of mean-reversion and exhibiting enough volatility to take advantage of the spread swings around the identified trend.
Pairs trading using cointegration
Power price forecasting for a retailer
This is a pertinent forecasting model that combines fundamental with statistical approaches to predict spikes in power prices in the Dutch market.
Optimizing power dispatch and hedging for a producer
This simulation-based framework enables a power producer to make optimal hedging and spot dispatch decisions under market uncertainty.
Optimizing a power retailer's portfolio
This simulation-based framework enables a power retailer to make optimal choices between procuring energy from the spot market or through bilateral contracts given a portfolio of clients and their corresponding price-quota curves.
Optimizing energy procurement for a consumer
This simulation-based framework enables an energy-intensive consumer to make optimal decisions under market uncertainty between self-production, futures hedging and open position in the spot market.
Optimizing a refiner's margins
This scenario-based analysis enables a refiner to build an optimal hedging structure using a combination of futures, options and naked positions.
Optimizing gas procurement for a retailer
This is a risk-return comparative analysis for different alternatives in gas procurement that suggests optimal portfolio allocation between these alternatives, while simultaneously indicating the best times to source gas during the year and their corresponding optimal volumes.
Fitting a volatility curve for a gas trader
This is a methodology and an application that allows the front office to calibrate their volatility parameters based on historical forward curves. The application renders a 3-dimensional representation of historical gas forward curves and a calibration using HJM 2-factor model.
We selected a sample of software applications implemented for different clients and reproduced demo versions that, whilst offering minimal functionality, indicated the implemented solution using interactive real-time computations in the cloud.
Click below to learn more about these solutions.
Simulating trading strategies
This interactive online application allows you to configure ratios of capital re-investment, depending on past draw-down levels, and then simulate market prices using two different models. The distribution of your portfolio P&L, key performance indicators and a complete daily report of portfolio P&L are shown.
Simulating market prices
This interactive online application allows you to choose parameters to simulate a mean-reverting jump diffusion model or a simpler binomial model for visualizing different kinds of distributions.
Optimizing power production
This interactive online application allows you to upload different generation capacity characteristics with unit availability. Taking into account simulated future spot prices and user-input forward contract agreements, it produces optimal levels of contracting for a power producer.
Power production optimizer
Optimizing retail's procurement & sales
This interactive online application allows you to upload clients demand forecast, future pool price scenarios and forward contract information. It generates optimal volumes to procure from both the forward and the spot markets in order to satisfy uncertain clients demand.
Energy retail optimizer
Optimizing consumer's procurement
This interactive online application allows you to upload energy demand forecast, future pool price scenarios, forward contract information and available self-generation characteristics. It generates optimal volumes to procure from both the forward and the spot markets in order to satisfy an expected demand.
Consumer's procurement optimizer
Optimizing refinery margins
This interactive online application utilizes your data, such as crack-spread forward curve, ATM call and put option premiums, and simulates futures spot prices. It allows you to make decisions on a hedging scheme that maximizes expected revenues, given a level of risk.
Refinery margins optimizer
Fitting volatility curve
This interactive online application uses your data, such as historical forward curves and seasonality partitions. The application renders a 3-dimensional representation of historical forward curves and then calibrates model-implied volatilities to historical ones.