Sectors of application
Commodity markets/Financial markets/Industry (with exposure to the energy and/or financial markets)
Your challenges
- Valuation of different types of contracts and assets on volatile commodity markets
- Quantification and management of the risks associated with commodity markets (price, volume, liquidity risk) and financial markets (interest rate risk, FX, inflation, counter-party risk)
- Evaluation of the efficiency and transaction costs of a given hedging strategy
- Selection an optimal composition of a portfolio for a given risk-return profile
Our strengths
Widely respected expertise in financial mathematics and stochastic control- A strong track record of developing sophisticated tools for operational support different business lines of EDF Group: exposure monitoring for EDF Group and hedging strategy simulation, risk indicator calculation, mark-up calculation, asset-liability management
- Open source libraries for resolution and simulation of stochastic optimization problems found in finance and applied in energy market context (StOpt library)
Our offer
- Software applications for market risk management and valuation well adapted for commodity markets:
- Off-the-shelf solutions
- Custom solutions specifically designed for a client business process
- Advisory services
- Audit of quantitative models and business processes used for risk management and valuation
- Training on quantitative methods and tools for risk management and valuation
Use case examples
EDF : Calculation of consolidated risk indicators for the entire EDF Group, consulting on hedging strategies, valuation of exotic contracts, asset/liability management of the net financial debt portfolio (risks related to interest rates, exchange rates and liquidity).
EDF Luminus : Development of a tool for Value-At-Risk calculation, enabling the operational process to be greatly simplified.
Industrial gas specialist : Software solution for physical portfolio modelling and valuation in the commodity market.
