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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:

• The risk assessment of a portfolio of physical and/or financial assets
• The valuation of portfolio - design of management strategies
• The dynamic optimization of portfolio composition.

 

Risk assessment - extreme risks: Artelys EVA

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.

 

The valuation of portfolio - comparison of management strategies with different timescale: Artelys Risk Manager

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:

• Analysis of the available data and of the management criteria
• Modelling of the assets prices dynamic
• Design of a set of parameterized strategies
• 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.