Energy Trading & Risk Management

The team’s ETRM experience covers more than 40 clients. This spans the major energy commodities and fuels including emissions and ranges from vertically integrated utilities to merchant generators, independent trading operations and brokers. We have particular expertise in helping asset heavy energy companies, operating in liquidity constrained markets, manage and optimise volume uncertainty and flexibility. Our generation experience covers thermal (including CHP), nuclear and wind generation.

Risk Governance, Policy & Controls

  • Design of risk governance structures for both centralised (integrated) and decentralised business models.
  • Setup of risk organisation at both group and business unit level (including interfaces and reporting lines).
  • Specification of detailed roles and responsibilities covering risk committees (e.g. RMCs), the risk management function(s), specialist corporate functions, managing specific risks (e.g. treasury, economic regulation, and environmental policy), internal audit as well as the business units.
  • Development of risk policies and supporting procedures and operational manuals covering market, credit and liquidity as well as operational and wider business risks.
  • Definition and development of risk reporting from Board level risk dashboards to daily and real time operational reports for traders and risk managers.

Risk Analytics and Modelling

Leading-edge expertise in helping utilities with asset-heavy portfolios measure and report market and credit risks, as well as cashflow uncertainty stemming from cash margining. In addition to standard risk metrics for trading portfolios (parametric and Monte Carlo VaR and CVaR), particular expertise in developing metrics and models that:

  • Do not rely on standard pricing assumptions such as log-normality of prices, and are capable of handling irregular price behaviour such as jumps and spikes.
  • Recognise illiquidity of markets and assume open positions are held open to delivery i.e. measure Profit-at-Risk (PaR), Earnings-at-Risk and/or Cashflow-at-Risk.
  • Model physical assets and the volumetric uncertainty associated with physical assets, and which can incorporate feedback loops where by physical events such as generator outages move market prices.

Diagnostic Reviews

Review of risk management practices on behalf of Risk Management Committees,internal audit or senior management/board. This is informed by up-to-date and in-depth understanding of best practice principles and risk-related regulations, as well as typical industry practices through our continual engagements with energy companies and utilities across Europe.

Transaction and Contractual Assurance Reviews

Transaction and contractual assurance reviews based on our extensive experience in development and valuation of contracts, as well as acting as an expert witness and supporting Monitoring Trustees for auctions.

Contract Design

Development of regulated and unregulated power and fuel contracts on behalf of market players, trading platforms and governments/regulators. Experience includes forwards/futures, CfDs, PPAs, GSAs, tolling agreements and wholesale structured products.

Having been involved in key market reform processes around the world, our senior consultants also have in-depth experience in supporting both goverments and market participants on the development and assessment of regulated (directed) power contracts.

Contract Valuation

We have experience in the valuation of contracts on a mark-to-market or mark-to-model basis in the context of acquisitions/disposals, auction bids or for internal performance and risk measurement purposes. In particular, we have experience in valuing embedded (real) optionality in contracts or assets.