![[Translate to English:] Einsicht gewinnen](/fileadmin/redaktion/bilder/header/qrs-header_quantitative-modelle.svg "[Translate to English:] Einsicht gewinnen")
Quantitative modeling
Quantitative models of market price analysis and risk measure and control
With emphasis on non-influencable external factors such as market prices, hydraulic inflow, weather conditions, QRS models do not only produce estimations but also their uncertainties. Moreover, they show the force of relationships, which improves the efficiency of hedging activities against the risks.
Special features
In-house implementation of all IT tools you require for managing risks, from the market data warehouse to price curves and market statistics, risk indicators, multi-step hedging of physical asset positions (procurement and commerce). Tools that help finding decisions in portfolio management on a rational basis, such as portfolio decomposition into any combination of market products or to find hedging quantities along a hedging tunnel.
Simplified models for long term analysis of business models in yearly steps. Creation and comparison of scenarios while considering interactions between dependent input figures.
Market price models
Forward market prices
- Monthly forward price curve based on Fourier series and free of arbitrage against quoted prices of quoted quarter and annual products
Structured prices
- Hourly price curve spanning several years using spline functions and a structure based on spot price history, free of arbitrage against the underlying monthly forward price curve
Short term hourly price curve free of arbitrage against any set of quoted products
Price chart analysis
- Forward market price chart analysis for indicating a market position
Hedging
- Portfolio decomposition into standard products with consideration of market liquidity
- Residual position valuation using an hourly price curve for recommendation to over- or under-hedge
- Staggered hedging operations on a series of due dates over long intervals to ensure uniform progress of the value covered
Risk indicators
Market risks
- Delta-normal analytical method using a full correlation matrix and with Cornish-Fisher widening to address the fat-tail issue
- Use of lagged returns for volatilities and correlations for lower dispersion
- Historical method based on PnL history
- Indication of the position with the main contribution to risk for most efficient mitigation measures
Credit risks
- Consideration of correlations between individual risk factors in the risk aggregation
- Inclusion of a maximum likely increase of the present exposure based on volatility