The risk management unit of A2A performs risk analyses in support of corporate and product strategies, including electrical power. The analyses help to facilitate and monitor daily trading activities and support longer-term strategy-setting for A2A, which is one of the largest utility companies in Italy.
A2A uses a risk management platform to gather historical and current market data, apply sophisticated nonlinear models, perform Monte Carlo simulations, quantify value at risk (VaR), and present results graphically to A2A analysts and traders. The entire platform was developed using MATLAB® and companion toolboxes.
“MATLAB is built for the kind of complex computations that we need to make,” says Simone Visonà, risk manager at A2A. “MATLAB has opened more trading opportunities for A2A because it enables us to rapidly compute a fair price and market risk for new contracts.”