Monte Carlo simulation for Excel for risk analysis

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Bids
22
Avg Bid (USD)
$2351
Project Budget (USD)
$1500 - $3000

Project Description:
We are a Power Retailer operating on a deregulated energy market, and we need to develop a tool for evaluation of risk exposure on the existing and / or forecasted portfolio using Monte Carlo simulation for Excel..

The tool has to allow us to:
- define risk scenarios, such as hedging contracts, books, demand curves, price indexes, selling contracts
- define the algorithm variables
- etc
The target is the Hedging Strategy Optimisation, i.e. determine the mix of derivative contracts to achieve an optimal risk / return outcome:
• Mark-to-market
• Profit & Loss
• Margin calls
• Exposure calculations
• VaR
• CVar
• PaR etc.

In other words, given different scenarios and variables, we’d like to perform a simulation to determine the possible outcomes, and how likely are they to occur.

Skills required:
Excel, Finance, Financial Markets, Matlab & Mathematica, Statistics
About the employer:
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