Portfolio analysis With the Portfolio Analysis module, E-Risk®POWER offers a professional tool for medium- and long-term planning. This is supported by an Hourly Price Forward Curve in order to calculate missing monthly, quarterly or annual forward market prices on the basis of monthly and quarterly historical market prices. This allows for the optimum evaluation close to the market of non-traded products and structures in order to manage the portfolio in a way that monitors the risk. As a result, each portfolio - or, optionally, individual items and structures such as schedule agreements - can be broken down into annual, quarterly and monthly products (peak / off-peak) in order to have a well-founded basis for contract negotiations and to keep a check on the risk when administering the portfolio.
Risk analysisIn E-Risk®POWER the risk analysis is based on a linear evaluation of volatility. The risk analysis is carried out by means of a sensitivity analysis on a market-to-market basis. As part of the sensitivity analysis by E-Risk®POWER, an evaluation is carried out of the behaviour of the portfolio value during changes in the market price. Whilst the fluctuation range of the market prices is explicitly input into the sensitivity analysis by the cost controller, in the integrated Value at Risk (VaR) analysis the fluctuation range is determined on the basis of the probability selected by the cost controller.
Profits and losses from receivable items arising as a result of price changes are calculated daily. The changes in value of the individual items are calculated on the basis of the daily settlement price. An Hourly Price Forward Curve supports the sensitivity analysis by allowing tighter risk analysis in terms of time.
| | Limit managementAs the portfolios are arranged hierarchically, the company limits can be defined in a single portfolio, in which in turn all the portfolios being managed are arranged. Consequently it is possible to define guarantee lines and guarantees, financial and physical exposures and trading volumes, differentiated by time periods.
The credit default risk can be mapped chronologically through different stages and defined time periods. Monthly slices over and above these are analysed market-to-market (MTM). In the case of supply replenishment and/or quantitative risks, the analysis is carried out at the latest market price. Additionally, a cashflow analysis based on trading partners supports the consideration of future risks. The utilisation of the relevant limit definitions is marked in colour according to the stage of utilisation. Profits and losses from the individual items that arise as a result of price changes can be calculated live in real time via the market prices (pricing server) or daily.
ReportingThe reporting concept of E-Risk®POWER is based on different perspectives on portfolios and trading. With the aid of the Portfolio and Trading Views it is possible to analyse trends, make comparisons and identify causes and interrelationships in respect of company data. At the same time the Portfolio Views provide support through an integrated formula concept; they allow direct access to the database and thus represent a unique, central location for the development and maintenance of formulae and individual functions. Various standard reports, which can be exported into many well-known table calculation and text processing formats and a whole range of common data exchange formats such as PDF, are also integrated.
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