Contigo Software Limited, a provider of ETRM software solutions for the UK and Europe, has enhanced the risk management capabilities of its enTrader® ETRM product with the introduction of a Monte Carlo VaR (Value at Risk) module, that provides an alternative way to calculate VaR for a trading portfolio. VaR is a standard measure for assessing risk that is widely used across the trading world. VaR estimates the risk of loss for trades and positions, with a given probability, for a set of market conditions, over a set number of days. Monte Carlo VaR uses simulations to predict volatility by modelling the probability of changes in the market conditions that cannot be easily predicted. The Monte Carlo VaR module from Contigo is fully managed in-house and complements the existing Delta Normal VaR functionality within enTrader. As part of the Energy One Group, Contigo’s Monte Carlo VaR functionality leverages the proven Risk Engine of Energy One to calculate the volatilities and correlations and perform the price simulations. The results are then viewable within enTrader. This significant integration between Contigo and Energy One’s capabilities combines energy trading and risk analysis expertise from across the group. Simon Wheeler, CEO of Contigo Software, comments:… continue reading
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Source: CTRM Center