Transparency and Analytics to Mitigate Risk & Seize Market Opportunities
Allegro Development Corporation, a leading provider of energy trading and risk management (ETRM) software, today released updates of Allegro Position and Allegro Price, components of the Allegro 8 platform that provide risk position reporting, effective portfolio valuation with accurate market pricing, and tools to support development of optimal trading and risk strategies.
Allegro’s Position component is a powerful mark-to-market (MtM) valuation engine that drives effective risk modeling with transparency into positions, disaggregation and insight into underlying risk factors. Allegro’s Price component houses all pricing, forward price, implied and historical volatility, currency, and correlation data and offers enhanced visual representation of market information. Customers can calculate, calibrate, and view mark-to-market forward price curves and implied volatility matrices and correlations. With volatility and correlation data presented in matrix form and the ability to drill-down to different levels of granularity, customers can better leverage information to make more effective market decisions.
As commodity portfolios grow in volume and complexity, Allegro continues to provide accurate valuation of assets and positions. Additional business benefits of these updated components include:
- Increased profitability and ability to capture market opportunity with accurate valuation
- Support for decision making with liquidity reporting, foreign currency Value at Risk (VaR), intraday valuation, and other valuation diagnostics
- Increased valuation precision with automated generation of uniform monthly, daily, and hourly forward price curves, and implied volatility matrices across the full spectrum of strikes and time buckets
- Ability to define complex pricing formulas and take advantage of minimum variance hedge analysis
- Easily mitigate cross-currency risk with currency exchange risk reporting, including the calculation of volatility conditional on currency exchange rate averaging
- Ability to implement and monitor position limits to prevent credit breaches
- Improved accuracy and efficiency of end of day processes with market data validation prior to valuation