KySim helps to fully capture the option value which is embedded in energy assets and contracts. With KySim, valuation is more accurate, market hedges are more effective and risks metrics are more reliable.
KySim has been developed for simulating multi-commodity spreads: spark spreads, dark spreads and any other commodity spread. The combination of correlation and cointegration ensures both price returns and price levels remain at fundamentally correct levels.
KySim calculates statistical inputs based on historical time series. An intuitive multi-factor model has been implemented with long-term, short term and seasonal factors. The inputs can be compared with and overwritten by implied volatilities, derived from option prices.
Price simulations are accessible to the user per price path, giving full transparency over the outputs and the possibility to assess the quality of individual scenarios.
Power markets contain specific structures which do not fit in a pure statistical approach. Power prices are determined by the movement of gas, coal and CO2 prices. Via a country specific merit order power prices remain connected to the underlying commodities. On top, the impact of the Carbon Floor on the power price can be specified explicitly.
The combination of sound statistics with fundamental elements leads to realistic power price scenarios, needed to correctly value power assets.
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KySim contains advanced methodologies for simulating commodity prices. Volatilities can be calculated, or entered based on option prices.
KySim is fully embedded in the KYOS Analytical Platform. Automated data feeds ensure you have up-to-date price simulations available, ready to be used in energy asset optimization, hedge optimization, valuation or risk calculations.
KySim has been developed with the best statistical methods. This includes time-varying volatility, correlations, cointegration, mean-reversion, jumps and regime-switches. Market price parameters are calibrated on historical data. KySim is uniquely dedicated to energy price dynamics, away from pure financial market models, e.g. using cointegration and a fundamental methodology for power prices, spark and dark spreads.
KYOS Energy Consulting offers a wide range of services to support companies with managing their (renewable) production position. Our expert services range from a one-off deal valuation to a complete solution for the risk management of a portfolio of renewable generation assets and contracts.Read more ›
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