EnerRISK-Risk Management System
EnerRISK is a software platform for calculating the Value at Risk (VaR) of a trading portfolio.
The base is formed by a relational data base in which the products traded at the stock exchange are stored via input or via interfaces connected to data providers.
In the current Version 1.O the VaR of linear portfolios is calculated according to the procedure published in the RiskMetrics-Technical Document by J. P. Morgan/Reuters. For Version 2.O the support of non-linear portfolios is planned.
Functions for energy trade enterprises
- Calculation of the VaR on the basis of portfolios or portfolio groups
- Integration in the operative energy trade management system
Functions for energy providers/suppliers
- Risk management in the framework of procurement and medium–term planning
Features
- Calculation of a Price Forward Curve by help of exchange data
- Mapping of standard products quoted on the exchange to Constant Mature Forward Products
- Calculation of the Variance Covariance Matrix of the single Constant Mature Forwards
- Calculation of the VaR for linear portfolios
- Display of the VaR in the trade system immediately after the input of a new business deal
Technical requirements
Server
- Oracle 8.1.7 or higher/SQL Server 2000
- Windows 2000
- Oracle Client 9i
- Oracle OLEDB Provider 9i
Client
- Windows 2000 or XP
- Internet Explorer 6.0
- Oracle OLEDB Provider 9i
Download: EnerRISK Product Folder
