Monte Carlo simulation for Excel for risk analysis

This project received 22 bids from talented freelancers with an average bid price of $2351 USD.

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Project Budget
$1500 - $3000 USD
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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.

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