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Artelys Risk: consulting services in Risk
Management
Artelys provides assistance in the enhancement of risk management
processes, with respect to valuation and hedging as well as
communication to corporate or regulatory bodies. Relying on
the know-how gained in the energy and finance industries,
Artelys Risk consulting services address three types of issues:
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The risk assessment of a portfolio of physical and/or financial
assets;
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The valuation of portfolio - design of management strategies;
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The dynamic optimization of portfolio composition.
Risk assessment - extreme risks
This aims to design and compute risk measures: Value-at-Risk
like indicators, stress-testing simulations, Extreme Value
Theory applications.
In this field, devising the right level of safeguards against
extreme risks is one of the prominent contributions of Artelys.
The hallmark of extreme risks is their magnitude combined
with a very low frequency: a ten-yearly market price variation
for instance. The proposed approach is based on the analysis
of historical data, on statistical modelling, notably different
methods to fit the distribution tails, and the design of stress-test
scenarios with their associated probabilities. These statistical
analysis are supported by the results of the so-called EVT
framework which enable to estimate the probability of events
that exhibit only a very small number of occurences.
A dedicated tool was developed for this type of analysis
: Artelys EVA
The valuation of portfolio - comparison of
management strategies with different timescale
The objective is to price a portfolio depending on the management
timescale and with the comparison of different strategies.
To do so, the following steps are used:
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Analysis of the available data and of the management criteria;
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Modelling of the assets prices dynamic;
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Design of a set of parameterized strategies;
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Selection of an optimal strategy.
It is then possible to improve the management of physical
or financial assets that are not quoted on a market and whose
value is uncertain in the short or medium run. Once random
factors are modelled, the problem is to strike a balance between
a short term sale and keeping the medium term risk under control.
The dynamic optimization of portfolio composition
The aim is to optimize the timing of the position adjustments
with methods suited to large scale combinatorial and stochastic
optimization problems. These techniques enable to model the
risk factors and to work out a robust portfolio management
that both meets return objectives and risk constraints.
Following a review of the data and of the management constraints,
Artelys' consultants perform a sensitivity analysis and design
a robust optimization process.
Contact
For more information, please contact
us at:
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Tel: +33 1 44 77 89 00
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E-mail: info@artelys.com
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