The client concluded that the architecture, functionality, implementation timeline and/or business model of existing software solutions on the market were not a good fit for its services model of portfolio management. Due to the uniqueness and emerging nature of portfolio management, the client needed a customized solution. The client asked us to translate the models and tools we developed for the concept testing phase into a tailored portfolio management system to support their trading, structuring, pricing and risk management processes. This was accomplished by developing a customized set of software modules including:

• Trading system – Allows entry and management of physical and financial power trades for numerous contract types. Supports scheduling and billing activities as well as customer data (load, meter) management.
• Hedging tools – Supports the design and analysis of different hedging strategies using standard contracts. The tool includes internal hedging algorithms, but also supports customized hedging strategies. Strategies are analyzed by examining the market and volumetric risk of proposed contracts.
• Risk management tools – Supports the calculation of market and credit risk of the entire portfolio, including illiquid retail contracts. The risk quantification uses Value-at-Risk (VaR) methods designed for the physical energy environment. Risk reports can be generated for senior management at the client and also for portfolio management customers.
• Retail pricing tools – Supports structuring and pricing of retail contracts based on historical load data and firm models. Includes the packaging of interruptibilities into contracts.