Our energy markets advisory services provide our clients with strong basis for decision making and solutions to optimize the risk vs. return aspect of their business. All solutions are backed with software, tailored to our clients’ needs. We offer services in electricity and gas markets.
The following services can be offered to clients in electricity markets:
Pricing as a function of risk factors
Utilities and suppliers are exposed to tail risks of different risk factors, such as credit risk, price risk, quantity risk etc. We offer both in-house set-up of appropriate methodology or turn-key software solution. As a consequence the client is able to determine risk adjusted price margin for households and corporates with respect to key factors of risk: credit rating, demand profile, uncertainty of demand.
Producer/supplier portfolio optimisation
Depending on the characteristics of the portfolio of production capabilities one can choose various strategies of selling the electricity (produced from different sources of the portfolio) on the market. Each strategy has a different risk return profile depending on a type of risk measure chosen in determining the optimal solution. We help our clients evaluate their current strategy and help them determine both static and dynamic robust sell side strategies.
Valuation of transmission rights
Nowadays transmission rights are used almost exclusively for hedging physical demand and supply in adjacent countries, thus auction prices do not reflect the optionality of the product. We have developed a trading algorithm for valuing transmission rights. In its current state, the market offers close-to and clear-cut arbitrage opportunities.
CHP plant optimization
Mathematical optimization of CHP plant production in order to yield maximum return given risk.
Power plants and mines valuation
We use the real options approach to power plant and mines valuation as it is more relevant compared to classic valuation approaches – this is due to the fact that a significant portion of a plant’s or mine’s value stems from the real option that is embedded in it.
The following services can be offered to clients in gas markets:
Gas Portfolio optimization
We set up a methodology for modelling and estimating price processes for different segments of the market. Based on the statistical properties of demand process we determine the optimal combination of different contracts maximising risk/return profile of the client. We determine the optimal sales portfolio that in the long run, given the prices and trends of various products (forwards, futures, options), maximizes the return given risk or minimizes fluctuations of earnings in time.
Gas storage valuation (pricing)
Our proprietary algorithm helps clients determine the potential of gas storage, taking into account all the relevant market characteristics (seasonality, dynamics of futures curve, etc.). We also help our client determine the best strategy of taking long/short positions in different markets combined with positions in the gas storage to determine the optimal risk return profile based on the structure of the company’s liabilities.
LNG terminal valuation
Using option methodology we determine the value of liquefied natural gas (LNG) downstream terminal and calculate the financial value of the project.
One of the easiest solutions to save on cost is being able to better predict either own consumption or demand of the porftolio of your customers. With our vast experience in the filed of modelling the demand, we can greatly enhance the return of our clients without increasing the risk of their business.