VaR and CVaR calculations for power trading books require Monte Carlo simulations across correlated price factors including power, gas, carbon, and weather, but most desks run these models overnight rather than intraday. Counterparty credit exposure and margin requirements shift rapidly when markets move, leaving hedges that were sized correctly at open materially under-hedged or over-hedged by mid-session.
Built For
Risk Manager responsible for hedging a 2 TWh/year power trading book across spot, forward, and options instruments with EMIR margining obligations
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Risk Manager
Calculates intraday VaR and CVaR across correlated power, gas, and carbon price factors and recommends dynamic hedge ratio adjustments.
Energy Trader
Executes hedging recommendations and monitors open hedge positions against evolving market conditions throughout the trading session.
Finance/Settlement
Tracks margin calls, collateral posted, and counterparty credit utilisation across EMIR-cleared and bilateral hedging instruments.
Intraday VaR and CVaR calculation across correlated power, gas, and carbon price factors, with dynamic hedge ratio adjustment recommendations and real-time counterparty margin requirement monitoring.
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Current clean spark spread is EUR 8.40/MWh, above your EUR 6.00/MWh dispatch threshold. Gas at EUR 34.20/MWh, carbon at EUR 62.50/tCO2. Recommend dispatch for hours 16-20 where day-ahead prices spike above EUR 95/MWh.
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