Monte Carlo simulation is a tool used widely to assess the physical and financial uncertainty of energy portfolios due to changes in key risk drivers under different possible states of the world.
Despite significant methodological, computational and technological advances in market and portfolio energy risk modelling in recent years, many firms are still using ‘first-generation' decision-support simulation models that suffer from known material deficiencies.
Click here to view the article.
- Quant Finance Master’s Guide 2019
- People moves: SocGen adds in prime services, Deutsche fills new rates hole, HSBC makes model move, and more
- Cross-currency swaps could hasten RFR shift in Australia
- Podcast: Kenyon and Berrahoui on the pitfalls of PFE
- EU parliament OKs no-action powers but leaked doc signals delay