RiskMonitor®
Enterprise-Wide Energy Risk Management Application
The work of enterprise-wide risk analysis is so complex in itself, that it requires flexible and simple-to-use risk management tools. RiskMonitor® is a combination of a robust analytical engine and powerful user friendly applications.
RiskMonitor® is a advanced Risk Management application. Supported by the Dynamic Data Warehouse™ (DDW) and Integration Center™, it enables energy firms to become global forces in all energy markets.
RiskMonitor® is readily configurable to an energy firm’s specific requirements for quantifying Market and Credit risks. RiskMonitor® integrates several methodologies of Risk calculations, including Variance/Covariance, Monte Carlo Simulation, Multi-factor Analysis and Historic Simulation, and provides foundation for generating a consistent measure of risk across all product lines, whether buying and selling energy, from natural gas and crude oil to electric power and everything in between. Based on DDW, RiskMonitor® permits global (firm wide) and local (desk level) risk calculations and analyses on a timely and consistent basis.
RiskMonitor® includes flexible Time Series Evaluation Engine that is driven by user-defined statistical parameters for dynamic manipulation of numeric streams of prices, factors, etc., available from the market database subset within the DDW. Multiple super large covariance and correlation matrices are calculated, historically stored and maintained in the DDW. Users may choose between system-calculated or commercially available market data sets.
Users may select individual valuation models (preprogrammed, proprietary or external) to apply when valuing any instrument mark-to-market. Each model, in turn, can accept a default or custom set of parameters, thereby providing complete flexibility when defining deal portfolios. This enables users to develop expertise across many energy markets and to identify arbitrage opportunities while managing risks.
RiskMonitor® provides multidimensional analysis capability via dis-aggregation of a whole portfolio risks and exposures into those of its components to the lowest level of granularity.
CREDIT RISK
For Credit Risk, RiskMonitor® quantifies current and potential exposures, based on user-defined parameters and flexible term structures, which may be specified for all instruments within a deal portfolio.
RiskMonitor® includes capability for handling aggregations, based upon various forms of netting agreements, and incorporates factoring from collateral and guarantees. User-defined or rating agency generated default tables may be applied to measure Default Risk.
Risk Limit Control
RiskMonitor® includes a powerful Risk Limit Control subsystem, which allows to set limits on numerical attributes (risk exposures, positions, market values, etc.) Limits can be set up to monitor risks by trader, country, counter party, business line, product, or other user-defined criteria.
Risk Limit Control subsystem will alert users before limits are reached, and serve as an early warning against the upcoming danger. The capacity to drill down through multiple levels of limits is imbedded within the Risk Limit Control subsystem and allows you to thoroughly examine your data down to transactional or position level, and to quickly pinpoint the source of an anomaly.
REPORTING
Management and Regulatory reporting is an inherent part of RiskMonitor® functionality. The on-line reporting facility creates complete reports (standard or customized) in on-screen and hard-copy formats at any level of dis-aggregation.
ADDITIONAL FEATURES
RiskMonitor® addresses your energy portfolio into your choice of books (e.g. Natural Gas, Petroleum, Electric Power, and any other commodity) as well as by Product and Region. The Integration Center allows your firm to quickly adapt the application to these and other trading needs. Consistency of data is maintained within regulatory and internal reporting through the DDW.
The support for Natural Gas, NGLs, Refined Products and Power instruments includes: Fixed Price Cash Triggers, Futures, including NYMEX Electricity, Listed Options, OTC products and a full range of exotics, Fixed/Floating EFP’s, Price and Basis Swap, Crack Spreads, Physical Strips, Blendings, Physicals/Block Trades, OTC Electricity Options, Power Swaps - fixed and floating, Transmission Fees.
RiskMonitor® can run on most Client/Server platforms and utilizes RDBMS technology along with a state of the art Graphical User Interface (GUI), that is object oriented, intuitive and user-friendly. Experience has shown that relatively little training is needed for a user to feel comfortable with the system’s controls.
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