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
The target is the Hedging Strategy Optimisation, i.e. determine the mix of derivative contracts to achieve an optimal risk / return outcome:
• Profit & Loss
• Margin calls
• Exposure calculations
• 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.
20 freelancers are bidding on average $2396 for this job
Hi We can help you we are math graduated with master degree in financial Math, we can provide you with the best solution, please check PM for more details Best regards