Sectors of application

Commodity markets/Financial markets/Industry (with exposure to the energy and/or financial markets)

Your challenges

  • Valuation of different types of contracts and assets on volatile commodity markets
  • Quantification and management of the risks associated with commodity markets (price, volume, liquidity risk) and financial markets (interest rate risk, FX, inflation, counter-party risk)
  • Evaluation of the efficiency and transaction costs of a given hedging strategy
  • Selection an optimal composition of a portfolio for a given risk-return profile

Our strengths

  • Widely respected expertise in financial mathematics and stochastic control
  • A strong track record of developing sophisticated tools for operational support different business lines of EDF Group: exposure monitoring for EDF Group and hedging strategy simulation, risk indicator calculation, mark-up calculation, asset-liability management
  • Open source libraries for resolution and simulation of stochastic optimization problems found in finance and applied in energy market context (StOpt library)

Our offer

  • Software applications for market risk management and valuation well adapted for commodity markets:

     - Off-the-shelf solutions

     - Custom solutions specifically designed for a client business process

  • Advisory services
  • Audit of quantitative models and business processes used for risk management and valuation
  • Training on quantitative methods and tools for risk management and valuation
Contact us

Use case examples

EDF : Calculation of consolidated risk indicators for the entire EDF Group, consulting on hedging strategies, valuation of exotic contracts, asset/liability management of the net financial debt portfolio (risks related to interest rates, exchange rates and liquidity).

EDF Luminus :  Development of a tool for Value-At-Risk calculation, enabling the operational process to be greatly simplified.

Industrial gas specialist : Software solution for physical portfolio modelling and valuation in the commodity market.

 

Going further with EDF R&D

Testing Facilities

Watch and read everything about our testing facilities

Training your staff

Learn new methods, tools and deepen your knowledge.

For more information, contact us at retd-enquiries@edf.fr