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SOLUTIONS

We offer software solutions to complex problems from the field of stochastic optimization, time series modelling, predicitive modelling, real options analysis etc. Our solutions are based on Matlab, R, Excel or Java.

SOLUTION I: PRICE MARK-UP

In order to calculate the price (mark-up) which the electricity retailer sets to its customers, the electricity retailer has to take into account several risk factors such as credit risk, uncertainty in customer’s demand etc.. (Example: Electricity price markup output)

Solution 1

Solution 1

SOLUTION II: PROPRIETARY TOOL FOR VALUING TRANSMISSION RIGHTS

Crossborder transmission capacity

Software tool is based on our proprietary trading algoritm that calculates fair value price based on dynamics of underlying instruments (yearly, quarterly). As the analyses of backtesting show, we are able to achieve above average returns if investment decisions are based on buying undervalued options on the market.

Solution 5

Solution 2

SOLUTION III: RISK MANAGEMENT ADVISORY

High volatility of foreign exchange rates prices of energents and prices of electricity can cause higher volatility of P&L and higher liquidity need for corporates. Thus, we developed the following solution for risk exposure:

Solution 3

Solution 3

SOLUTION IV: ASSET ALLOCATION TOOL

Optimal asset allocation depends on number of factors and client‘s preferences regarding risk and investment strategy. In our customized solution we include:

  • —   Optimization performed based on historical data
  • —   Multiple options of investement strategy
  • —   Optimization can be evaluated based on number of measures (yield, volatility, VaR, etc.)
  • —   Possibility of inclusion of specific legislative requirements regarding return, exposure, duration, etc.

 

Solution 4

Solution 4

Solution 5

Solution 4a

SOLUTION V: OPTIMIZATION OF POSITION CLOSING STRATEGY

Our second solution is a fully automated Matlab module which identifies undervalued or overvalued products. It serves as a decision tool for position closing and enables an in-depth analysis and comparison of historic price trend.

Solution 2

Solution 5