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
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.
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.
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.
explore QR Risk management solutions
QR Risk is a holistic high-performance power and multi-energy risk management software solution with these key apps
MTM via configurable cash flow modeling. Full Monte Carlo VaR and ES expected shortfall (average loss should loss occur). Limits.
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 & fair value reporting, adjusted to expected Loss. FAS 133, 161, 157, IFRS 7, 9, Dodd-Frank. “Prospective" &"Retrospective" effectiveness.
- QR Risk is perfectly suited for small to medium energy players, utilities, cooperatives, energy retailers and marketing firms seeking a cost-effective, robust, flexible and fully automated risk platform that actually works, and doesn’t require lengthy implementation, nor expensive maintenance teams.
- This no-coding risk management solution allows users to combine in a user-friendly web-dashboard, the elements needed to configure the relevant stochastic risk models, along with all needed input data and detailed cash flow mapping.
- QR Risk salient feature is to be ready-for-use on day one. No development, customization or specialized hardware are needed. You can build, validate and deploy custom risk valuation models for any portfolio, and set them for automatic execution in record time. Leverage numerous pre-configured risk metrics, stochastic risk models and reports, and utmost configuration flexibility to adapt these models to any portfolio without resorting to coding.
QR Risk Management 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.
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 percentile), 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.
- QR Risk methodology is via full Monte Carlo simulation of all instruments. Nonlinear and path dependent instruments undergo very advanced proprietary numerical techniques to lower the dimensionality curse of Monte Carlo. The performance achieved is real-time.
- QR Risk comes with a proprietary parallel processing supercomputing architecture parsing computational risk jobs at the root level, isolating and preserving all their attributes (such as correlations) in a virtual sandbox and dispatching them across all available CPUs to scale up the computational power by simply adding more CPUs.