CaeSaR

CaeSaR is a tool for determining your risk exposure. It applies to positions in financial power contracts and for a given position and set of market prices, the risk interval, scenario risk, liquidation value and daily margin call are determined. In addition, the greeks (sensitivity measures) are shown (optional).

CaeSaR’s usefulness is due to its dynamic features – you enter any position you like, change it as you like, enter the market prices you like and CaeSaR determines your risk and daily margin call. You can include bilateral and non-standardized contracts in your portfolio. And you can change the parameters of the scenario risk model behind it all. As a result, CaeSaR can be used to provide answers to a wide variety of questions:

Daily margin call

Simulate your daily margin call. Know ahead what it will be for tomorrow. Explore the impact of contemplated trades.

Risk interval

Simulate how the risk intervals are affected by market price changes. Determine risk intervals for bilateral and non-standardized contracts corresponding to those NECH would have assigned, had these contracts been accepted for clearing.

Managing trading clients

Keep track the scenario risk and daily margin call clients trading through you are exposed to and give them earlier notice if extra securities will be required.

Money management

Optimize the amount of money tied in security requirements. Use the simulation opportunity.

Bilateral instruments

Include your bilateral positions and determine the risk of the whole of the portfolio. CaeSaR applies the same model to all contracts and includes bilateral contracts in timespread netting on the same conditions as standardized contracts.

In-house risk limits

Use the same risk model structure as the clearing house – possibly with different parameter settings – as your in-house risk measurement standard. With CaeSaR, you can adjust the scenario risk model parameters to your own preferred confidence/risk level while keeping the model as a whole unchanged. This gives you the opportunity to “think risk” the way NECH does and still get the parameter flexibility of methods such as Value-at-Risk.

Risk management

Use CaeSaR as a risk management tool to monitor your current risk exposure. The scenario risk and the greeks put together enhance your over-all view.