news
  • Jun 2018

    Publication in The APPEA Journal
  • Jun 2018

    AFMA-Electricity Financial Markets Delivery
  • May 2018

    Energy Edge presenting at 2018 APPEA Conference
  • Apr 2018

    Energy Edge presenting at 2018 AMPLA Conference
  • Mar 2018

    AFMA-Electricity Financial Markets Delivery
  • Dec 2017

    Energy Edge paper accepted for 2018 APPEA Conference Paper
  • Nov 2017

    AFMA-Electricity Financial Markets Delivery

contact

  • Level 19, 127 Creek St
  • Brisbane, 4000
  • Australia
  • PO Box 10755
  • Adelaide Street
  • Brisbane, 4000
  • Australia
  • 07 3211 8399phone
  • +61 7 3211 8399international

Credit Risk Tool

The Energy Edge Credit Risk Tool provides a sophisticated credit analysis and measurement software package for wholesale commodity trading. The software covers a vast range of instruments, commodities, credit support structures and configurable options within an advanced simulation framework.

Capabilities

  • Contract Coverage: The system handles a wide range of derivative contracts, including swaps, caps, futures, swaptions, book-building, averaging index, captions, forward, forward options, callable instruments and more.
  • Credit Support Features: The CRT is endowed with configurable credit support specifications. It includes deal linkages under distinct ISDA, static support and dynamic credit support with thresholds, triggers and rounding.
  • Commodity Capabilities: The CRT is configurable for various new instruments and treatments. The system handles discretely and continuously delivered commodities such as electricity, gas, environmental products and FX. Deals can be specified in various currencies and FX conversions conducted.
  • Simulation Features: The CRT methodology is simulation based, with a proprietary market price simulation engine which covers multiple price models and generates spot, forward, cap, and futures price trajectories.
  • Credit Risk Methodologies: Advanced credit risk analysis approaches are applied, which include settlement and revaluation metrics at configurable pillar points, netting logic and incorporation of credit support offsets. Metrics such as exposure, expected losses and loss given default are produced.
  • Advanced Scenario Management: Users are able to conduct highly configurable credit risk scenarios, including whatif contracts, whatif counterparties, whatif price scenarios, even to the level of whatif reconfiguration of instrument settlement rules.

For more information about Credit Risk Tool please contact Energy Edge