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ALBITS- Energy Pricing & Risk Management Software Distinguishing features Pricing model

ALBITS- Energy Pricing & Risk Management Software Distinguishing features Pricing model Statistical Significance Derivative pricing Forward Curve Risk gauging parameters of VaR Options Greek Hedge Ratio Optimization Energy Book Manager. Key differentiators. A L B I T S.

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ALBITS- Energy Pricing & Risk Management Software Distinguishing features Pricing model

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  1. ALBITS- Energy Pricing & Risk Management Software • Distinguishing features • Pricing model • Statistical Significance • Derivative pricing • Forward Curve • Risk gauging parameters of VaR • Options Greek • Hedge Ratio Optimization • Energy Book Manager

  2. Key differentiators A LBIT S • ETRM Process Capture: Pre deal Analysis; Deal capture; Scheduling Operations; Invoicing; Settlement; Risk Computations; Reports. • Energy Trading: The Pricing model identifies market imperfections and the trading opportunities. In case of deep out of money options & swing options, such opportunities become striking. • Energy Risk Metrics: The system computes risk metrics based on sampling distribution of underlying energy assets. i.e. WTI crude does not follow Normal distribution, hence parametric VaR is inappropriate risk measure. • Data Visuals: Histogram, Scatter plot, Function plots, Orthonormal plots. • Data Analysis: Distribution sampling, Distribution fitting; Normality test; Discretization; Correlation matrices; Multicollineraity test; Factor analysis; Discriminate analysis. • Data Modeling & Tests: Stochastic Models, Regression; ANOVA; CCR; Fourier transforms. Parametric & non parametric test. • Wide choice of technology: Programming languages, Database management systems, Web Integrations, BI Tools.

  3. Stochastic Pricing for WTI A LBIT S Pricing Model in .NET

  4. Stochastic Pricing for WTI A LBIT S Pricing Model in MATLAB

  5. Statistical Significance A LBIT S t-Test: Two-Sample Assuming Unequal Variances Ho: Model predicted price= Cushing Spot Price At 5% level of significance, p- value is >α(.05) Conclusion: Ho is true

  6. Distribution Fitting A LBIT S

  7. Forward Curve for WTI Crude oil A LBIT S Model generated Forward curve based on simulated price path for WTI till April 2012.

  8. Derivative Pricing A LBIT S Plain Vanilla Options Call Option price: $14.97

  9. Derivative Pricing A LBIT S Gasoline-WTI Crude Crack Call option Option price: $ 4.8078

  10. VaR- Value at Risk A LBIT S • Monte Carlo simulations • Variance-Covariance model • Conditional VaR/Tail VaR

  11. Options Greek A LBIT S Greek measures the sensitivity of the value of a portfolio to a small change in a given underlying parameter *Calculated for Plain Vanilla example

  12. Hedge Ratio Optimization A LBIT S Optimal Hedge Ratio

  13. Energy Book Manager A LBIT S Manages Versatile Energy portfolio

  14. Albedo Energy Consulting Undertake Projects for: ETRM system designing; Software development; Coding; Testing, Implementation & System integration. • ETRM Business process capture • Energy price Modeling • Forward curve simulations • Energy Risk models • Energy Portfolio optimization models • Energy complex derivatives Valuations & Structuring • For discussion contact: info@albedoenergy.co.in

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