Experts in energy modeling, consulting and training!

KYOS offers specialized advise on trading and risk management in energy markets. Our expert team has years of experience in quantitative modelling and advisory services in commodity markets. Our sophisticated solutions are developed to support decision making, investment proposals and risk calculations. KYOS has a clear focus on the following areas: Products, Consulting and Training.

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    Kyos Consulting - News & Highlights

    KyVar - Value-at-Risk

    KyVaR software calculates the Value-at-Risk (VaR) on commodity and energy portfolios. VaR is a generally applied concept to express the market risk on a position or portfolio of positions. The VaR measures by how much the market value of the position may change over a given horizon. Furthermore, the VaR is the amount that will not be exceeded with a certain confidence level. Commonly used horizons are between 1 day and 1 month. Commonly used confidence levels are 95 and 99%. For example, a 10-day 95% VaR of 1 mln EUR means that the drop in market value over a 10-day period (for the current portfolio) will not be more than 1 mln EUR in 95% of the cases. This also implies that there is a 5% probability that the loss in market value exceeds the 1 mln EUR, and then even be equal to 2 or 3 mln EUR.

    KYOS VaR engine performs the following tasks:

    • Read and merge all positions, historical prices, and other relevant info in a robust, consistent way.
    • Translate all prices into a common currency.
    • Calculate historical volatility and correlation for the products with a number of user-defined settings and choice of methodology.
    • Calculate the Value-at-Risk on the selected portfolio(s).

    VaR methods

    KyVar applies the parametric (‘Normal’) method and Monte Carlo method.

    VaR for multiple commodities

    We implented VaR engines for:

    • Energy portfolios (power/gas/coal/oils/CO2)
    • FX portfolios
    • Grain portfolios
    • Cocoa portfolios
    • Freight portfolios