Risk Management and Control

  • Energy Focussed
  • Multi Commodity
  • Multiple Location
  • All relevant Instruments

e·VaR, with its anciliary sub-modules 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 evaluate the "real" Risk in a portfolio.

As Energy in many cases is non-storable and is location specific, and often energy contracts cascade to altogether different products, it does not lend itself very well to be handled in the way conventional Risk methodologies allow. This is where e·VaR differs. It has been conceptualized ground-up, to handle these commodity specific characteristics from first principles, to reflect the impact of rsks an energy portfolio is exposed to.

Key Benefits

The fundamental risk models behind e·VaR employ a variety of techniques to take into account the dual behaviour of energy contracts, which exhibit completely different characteristics in the Spot market, vis-à-vis the Forward market. The resulting complexity in modelling the volatility and correlations is handled via a proprietary model, built around isolating and quantifying the impact of the two distinct risks.

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A choice of fast and comprehensive Risk computation models - Analytical, Monte Carlo, Historic Simulations.

Risk Indicators

Variety of Risk numbers are presented - VaR, CVaR, PaR, IVaR, Expected Shortfall, etc. Risk under Market Stress conditions.

Smart Bucketing

Portfolio smartly deconstructed into a managable number of syntheticically defined highly correlated products.

Risk Mitigation

Market liquidity based Hedging advice generated for optimal Risk Reduction and Mitigation measures.



All energy relevant commodities - Power, Gas, Fuels, Carbon, etc.


Linear and non-linear instruments. Forwards, Futures, Spot, Swaps, Options, etc.


Functionality easily accessible via PriceHubBridge API for third-party calls.


What-if scenario evaluation in real time. Verify Trading decisions.


Intergated tools to validate Risk computations against Realized PnL.

Key Features

  • Specifically designed to handle Energy asset portfolios with Shape Risks - Load Profiles from Customers and Generation Profiles from Assets.

  • Cashflow bucketing in absolute as well as relative terms. Particularly relevant for portfolios with power and gas positions, which show varying short and long term behaviour.

  • Analytical and Stochastic Models. Wide range of simulation parameters and market assumptions. Expected Shortfall computation.

  • Long and Short Term Volatilities considered individually to reflect the corresponding risks.

  • User definable What-If scenario evaluation. Risk based Limits Management.

  • Highly efficient multi-threaded architecture for Monte Carlo Simulations.

  • VaR calculations under user configurable Stress conditions. Realistic reflection of potential loss figures.

  • Fast Computation achieved through Smart modelling.

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