Hedging and Portfolio Optimization Summit Presentation KYOS

27 February 2017

logo annual intelligent hedging and portfolio optimisation summitThe Intelligent Hedging and Portfolio Optimization Summit was held on 23 and 24 February 2017 in Amsterdam, the Netherlands. Its aim was to bring leading energy market professionals together to discuss portfolio optimization, investment planning, risk management, forecasting, and price volatility forecasting issues. Presenters from 14 companies shared their ideas on these topics and discussed the challenges the energy market is facing.

Evaluation of dynamic hedging strategies

Cyriel de Jong from KYOS also presented at this summit. The audience appreciated his “Evaluation of dynamic hedging strategies” and participated actively in the Q&A session afterwards. In short, his presentation focused on hedging and portfolio optimization and covered:

  • Earnings-at-Risk applied to energy portfolios
  • A least-squares approach to the calculation of dynamic delta hedges
  • A risk minimization approach to the calculation of dynamic hedges
  • Transforming hedges to tradable contracts
  • Case study results

If you are interested to view his full presentation, please click on this link.

Value-at-Risk model

KYOS offers state of the art models to gas and power companies to value their assets and contracts.  In addition, the AtRisk software measures your energy and commodity risks,and aids you in your hedging and portfolio optimization strategy, both on the short and longer term. How much will your market value change within the next 10 days? The Value-at-Risk (VaR) provides direct insight in potential portfolio losses on short term. Locate easily the drivers of your VaR and check if they are not breaching your pre-determined limits.

Furthermore, for information on a longer horizon we have the Cashflow-at-Risk and Earnings-at-Risk (CfaR and EaR) model, which shows you the cash flow predictions and the worst-case scenario of your total expected earnings. What is the best strategy to protect your assets? To minimize these risks, our models offer recommendations for optimal hedging. These two models complement each other perfectly. The AtRisk models use Monte Carlo simulations where a full array of future prices is used to calculate a distribution of outcomes.

Would you like to know more? Contact us for a free demonstration! We are more than happy to show you our models. You will get a better understanding how they will advance your business too. Just leave your details in the section underneath this post.