Do you have a general optimization
framework for structured
energy & flexible assets?
The energy industry presents significant business challenges for physical asset managers. Owners of generation capacity must determine how to price optimally, dispatch and hedge structured energy assets in a consistent way. They are faced with tough decisions on how to extract maximum profitability from flexible assets, how to master dimensional optimization challenges, and which long-term infrastructure investments make most sense. Such decisions require comprehensive expertise, from single pricing and hedging frameworks able to handle a variety of structured deals with embedded optionality to the validation of sophisticated hedges according to new regulatory requirements.
Sophisticated market modeling
These urgent issues can be addressed with sophisticated market modeling and advanced optimization technology from swissQuant Group. Each structured deal presents its own set of complexities. By separating the technical challenges into their core modular components, we have constructed a generalization covering most types of optimal pricing, dispatch and hedging of structured energy deals and portfolios.
EStruQ is a powerful optimization
technology for structured
EStruQ builds on approximate dynamic programming technology. It rapidly allows originators to evaluate the attractiveness of a structured deal and for plant managers, traders and risk managers to consistently dispatch and hedge the asset once it is on the book. The modular solution is quickly assembled and reusable and can be integrated with your own modules. This allows to purchase the modules independently and only when needed. We also provide white-box solutions allowing for full knowledge transfer to your own energy Quant professionals.
Complex payoffs, illiquid products and
Structured deals are tailored contracts for commercial counterparties with specific needs. They are characterized by complex payoff and may be written on illiquid products and flexible assets. Origination is the process of sourcing and negotiating these contracts. However, the difficult challenge of valuing and hedging these deals, as well as the design of rules for exercising optionality, usually falls to the trading or analytics teams. EStruQ is your comprehensive solution for consistently handling these challenges.
Market Models & Monte Carlo Simulation
Short Term Spot & Load Forecasting
Pricing Swing Options & Tolling Agreements
Optimal Dispatch for Flexible Assets
Dynamic & Proxy Hedging Strategies
EStruQ empowers your front & mid office
with advanced structuring tools
Multi-Market ModelingStatistical & Fundamental
We provide off-the-shelf statistical & fundamental models for most relevant energy, emissions & currency markets, built with sophisticated automatic factor selection algorithms. We can easily incorporate your own market models or develop models for new markets on request.
Realistic Scenario GenerationFiltered Historical Simulation
Our spot-scenarios maintain realistic intra-day profiles. Our forward curve simulations preserve historically observed seasonalities and market dynamics. Filtered historical simulation ensures market correlations and interdependent shock-structures are preserved.
Structured Contract ModelingPhysical, Financial & Regulatory
We build on our large financial expertise in providing mappings for the most convoluted deals and compliance regulations into implementable optimization constraints. This includes plant modeling and all relevant technoeconomic value-drivers for the asset.
Policy UniverseHedge Strategies, Dispatch Rules, Optionality, etc
We construct a universe of acceptable policies over which we optimize and represent almost any structuring requirements.
Constrained Linear Optimization of Policies over ScenariosApproximate Dynamic Programming
Our leading-edge optimization is the core of EStruQ. Separation of the simulation and optimization problems allows optimization over scenarios. Use of expected shortfall measures (CVaR) ensures optimization under coherent risk constraints. Approximate dynamic programming techniques allow large scale problems to be handled.
ReferencesWe are one of the largest independent Quant teams in Europe having repeatedly demonstrated competence in power markets by successfully completing dozens of high-impact projects for large energy producers, regional utilities, traders and government agencies as illustrated by the following projects:
A leading European Energy Trading firm uses our sophisticated market modeling and portfolio optimization framework for proxy hedging renewable energy contracts in illiquid energy markets. The solution handles FX-risk, emissions trading, crossbordercapacity charges and feed-in-tariffs.
For the Swiss Federal Office for Energy (BfE) we conducted a comprehensive study on the economic viability of Pump-Storage Hydro in Switzerland involving multi-market modeling and optimal engagement (Day-ahead-, Intraday- and SDL-markets). The result will be used as input for federal decision making and national regulatory policy for energy markets.
For potential investors of Nant-de-Drance and existing shareholders of Linth Limmern we independently performed third party valuations of these assets, requiring full techno-economic modeling and simulation of the facilities and relevant markets.