Market Risk Management and Curve Repository Case Study

This case study details the collaboration between SEFE Marketing & Trading and Digiterre, focusing on two key projects: the Market Risk Management (MRM) system and the Attributes in Real Time Curves (ARC) platform. The MRM project aimed to create a centralized risk management platform that incorporated advanced Monte Carlo Value at Risk (VaR) models to enhance the accuracy and efficiency of trading and risk management for gas and power markets. The project was executed in two phases, with a strong emphasis on agile methodologies, enabling timely delivery and improved platform performance. The ARC project sought to develop a highly performant curve repository that efficiently managed and attributed pricing data across various systems. Both initiatives have significantly improved operational efficiency and user experience, establishing a robust foundation for ongoing trading activities. The successful implementation of these platforms has been crucial in optimizing portfolio management and addressing market exposure challenges.