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Ultimate next-generation power & energy risk management solutions & services

  • Cost effective robust and efficient energy risk solutions.
  • Automated energy risk analytics: forward curves, stochastic models, Monte Carlo simulation.
  • Comprehensive holistic energy & power risk: market (MTM, VaR), exposure, and credit risk.
  • Light and robust energy & electricity risk management cloud service.
Contact us to explore a free POC trial.

QR Risk is a next generation fully automated power and energy risk management solution that works on day one, on the cloud or on-site. Robust market, exposure & credit risk models.

Challenges

Clients’ profile. Utility, generation, retail marketer or energy firms seeking a fully automated, cost-effective, robust and ready-for-use energy risk platform that actually works and can be easily integrated with any ETRM. No lengthy implementation or costly consultants.

Targets:
1. Energy firms having an in-house ETRM which lacks effective risk analytics, and wishing to eliminate outside tools and Excel spreadsheet calculations, in favor of a robust risk solution.
2. Energy power entities have reached the limits of in-house risk systems in terms of speed, memory, execution, or implementation of more advanced risk solutions.

QR Risk Management solutions

QR Risk is a holistic high-performance power and multi-energy risk management software solution with these key apps
Market Risk

Market Risk

MTM via configurable cash flow modeling. Full Monte Carlo VaR and ES expected shortfall (average loss should loss occur). Limits.

Exposure & Credit Risk

Exposure & Credit Risk

Expected & worst case (VaR) loss via Monte Carlo. Counterparty credit scoring & rating, limits, netting. Expected & Potential Future Exposure (PFE) via Monte Carlo.

Hedge Accounting

Hedge Accounting

Hedge accounting & fair value reporting, adjusted to expected Loss. FAS 133, 161, 157, IFRS 7, 9, Dodd-Frank. “Prospective" &"Retrospective" effectiveness.

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Risk Management Advanced Ecosystem

  • Microservice architecture enables accelerated custom configuration of trading optimization solutions for any asset.
  • API-friendly ecosystem allows flexible integration and data exchange with third party & in-house systems. Functionalities are constantly enhanced and extended to meet clients requirements.
Contact us to explore a free POC trial.

QR Risk Management Features

Next generation risk management solution
  • 1 and 2-factor stochastic risk driver models, mean-reversion, proportional noise, automatic model parameter estimation.
  • Full Monte Carlo risk valuation.
  • All analytics are integrated, eliminating the need for outside tools, modeling and Excel spreadsheets.
  • 24/7 automation of complex tasks from model calibration to execution and reporting.
  • No coding risk. Configure the risk models, indicators and valuation parameters in a user-friendly web-dashboard.
QR Risk Dashboard offers extensive display and visualization of risk statistics. For every risk indicator, the following statistics are computed on a daily basis at any desired percentile (e.g., 98 percentiles), until the end of the time horizon:
  • Tail Gain/best case at a set percentile, e.g., 98%.
  • Expected or Conditional Gain, the average above the Gain Tail. This is the average gain, should gain occur.
  • Tail Risk or VaR, worst case at a set percentile, e.g., 98%.
  • Mean or expected Value is the average or MTM.
  • Expected Shortfall (ES) or Conditional VaR (CVaR), is the average below the VaR Tail. That is the average loss, should a loss occur.
Comprehensive risk metrics
  • Market Risk. Mark to market, VaR, ES, expected shortfall or average loss, should loss occur. Greeks for options.
  • Counterparty exposure expected and worst case (VaR) loss per counterparty.
  • Credit risk. Counterparty credit ratings, limits, collaterals, transition matrix, netting agreement, credit scoring. Expected Exposure and full Monte Carlo valuation of Potential Future Exposure (PFE) at any percentile.
Configurable Risk Valuation. The following key risk valuation parameters can be set for each risk valuation run:
  • Holding time horizon, e.g., 3 days for VaR or a quarter for Liquidity risk.
  • Number of Monte Carlo Simulations.
  • The percentile, e.g., 95%, or risk tails computation.
  • Realized/unrealized valuation, or sum of both.
  • Integrate values forward (increasing risk in time), or backward as positions unwind (decreasing risk).
  • Custom time-bucketing for risk valuation, monthly, quarterly and yearly.
  • Incremental risk valuation is implemented on the fly to measure the impact on a risk indicator in real-time due to adding or removing a transaction.

Benefits

  • Stay ahead of regulatory and internal risk valuation and reporting requirements within one single holistic risk management solution for market, counterparty exposure and credit risk.
  • QR Risk is seamlessly integrated with QR Trading. Alternatively, it can be used next to any in-house trading and transaction repository system to provide enterprise risk functionality.
  • Cost effective pricing. You pay one single annual subscription license fee for QR Risk, whether used as a service or implemented on the cloud or on-site. The fee comprises the license, maintenance and upgrade releases. Your system is upgraded regularly so that you always have access to the latest release. Your stochastic risk models are regularly visited by our expert team and fine-tuned and optimized when needed.
  • Two flexible delivery options. Risk as a Service where our risk analytics expert team and QR Risk platform do everything, and you receive, via API and electronic means, intraday risk reports, 24/7. Software as a Service (SaaS) where we implement QR Risk software on a private cloud of your choosing, or on-site, and you control the data and the risk models.
  • QR Risk is a universal risk platform whose state-of-the-art architecture allows the creation of complex stochastic risk models and corresponding Monte simulation engine. Once created, the stochastic risk models self-calibrate once a day as new data arrive, before any execution.

Let's talk about your needs

We look forward to exploring the range of options for your projects. Please write to us and one of our project managers will get back to you at once.