EDF - Risk-BU

This policy aims at:

• defining the general framework within which different entities of the Group carry out their operational activities (energy generation, optimization and
• distribution), as well as articulating it with EDF Trading;
• consolidating the exposure of the different subsidiaries and entities under EDF's operational control in the various structured markets related to energy;
• implementing a coordinated hedging policy at Group level.

The principles of operational management of the energy market risk are subject to monitoring indicators, to limits and to sensitivity scenariosof positions, ensuring the control of risks
In this context, the software Risk-BU and CARMEN have been developed since five years by EDF R&D in coordination with the Corporate Risk Management Division which is the the project owner.
The goal of these software is to compute the risk indicators defined by the Corporate "energy market risk" policy.
These software are distributed by EDF R&D and used in their energy risk management process by different business units and subsidiaries of the Group in France and abroad: EDF Energy, Everen, EDF Hungaria, SSE, EDF Belgium, Fenice etc.
The software Risk-BU allows to model a portfolio (customers contracts, generation assets, hedging contracts and financial contracts) and to simulate the portfolio management for different prices scenarios. Simulation results are used to compute risk indicators : mark to market,Greeks (delta, gamma, etc..), Value at Risk (VaR), Earnings at Risk (EaR).
The software CARMEN allows to calibrate the markets parameters (volatilities, correlations) require to simulate consistent prices scenarios in Risk-BU.