Storage Valuation

Extrinsic Valuation of Energy Storage

Increase profitability and reduce risk by choosing Quantego’s stochastic storage optimization. Calculate optimal hedging decisions, assess exposure to market risk, and obtain an extrinsic value of storage that matches your risk preferences.

What's inside the software?

KEY FEATURES

  • Extrinsic value of storage
  • Optimal injection and withdrawal decisions
  • Integrated model of storage operation and hedging
  • Joint stochastic process of spot and futures prices
  • Value-at-risk optimization

  • Highly customizable model and interactive dashboard
  • Rapidly deployed and securely hosted on AWS VPC
  • Automate repeated optimization tasks
  • Fully integrated in the QUASAR® Cloud platform

 A detailed model of price evolution, hedging, and storage operation

Quantego’s storage valuation models offer the full range of methodologies: spot-based valuation, rolling intrinsic valuation, extrinsic valuation, which gives energy traders a complete view of the value of storage based on a broad set of different models.
  • Options for stochastic price models include (a) a one-factor, mean-reverting spot price model, (b) a risk-neutral model of term structure dynamics (multivariate Black model), (c) Quantego's empirical model of the daily evolution of the price forward curve.
  • The operational decision model captures (a) calendar-based storage limits, (b) fill-dependent injection and withdrawal rates (ratchets), (c) trading in monthly, quarterly, yearly futures and spot.
  • The model integrates hedging decisions and storage operations by modeling the trade-off between risk aversion and market impact cost of futures products with limited liquidity.  

  A ready-to-use graphical user interface

The model is available as ready-to-use yet highly customizable software solution deployed through QUASAR® Cloud.

Users can import and manage input data, execute optimization runs, calculate storage value, value-at-risk, delta positions, create interactive charts and reports, as well as export result data and easily share it across the organization. QUASAR® Cloud can be obtained as subscription service or set up on-premise via AWS VPC. Learn more about QUASAR Cloud

  The world's most powerful stochastic programming solver

The model is driven by the powerful QUASAR® stochastic programming solver that combines the latest advancements in machine learning and mathematical optimization. QUASAR®’s highly efficient algorithms can solve the most complex stochastic-dynamic programming problems with hundreds of time stages, thousands of variables and millions of possible outcomes at an unprecedented speed. Learn more about QUASAR

 

Success Story


Our storage valuation model for incomplete markets for natural gas has been published in the European Journal of Operational Research. Instead of risk-neutral pricing, the model uses a physical model of the possible evolution of the price forward curve. Extensive backtests of the model on historical future price data from Henry Hub showed higher profits are possible with our model than with a rolling intrinsic approach.

What are the benefits?

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Profitability increase and risk reduction

  • Forward-looking injection and withdrawal decisions
  • High time resolution captures the true value of storage
  • Calibrate price exposure to risk preferences
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Risk management and compliance

  • Follow best practices in energy storage valuation
  • Detailed disclosure of value-at-risk and cash-flow-at-risk
  • Back-to-back storage and portfolio optimization
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Automated monitoring and reporting

  • Daily injection and withdrawal recommendation
  • Storage value and distribution analysis
  • Comparison of different models
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Hosted on QUASAR® Cloud

  • Unify multiple models and its data on one platform
  • Customizable model and reports
  • Automate repeated optimization tasks
  • Share model output as interactive reports across the organization

What our clients say

The business environment of energy utilities and energy traders is changing constantly, which makes dealing with uncertainty a daily challenge. To cope with this change, flexible and user-friendly tools are required. QUASAR’s Jupyter integration combines productivity, flexibility, and usability in one tool, which makes it a pleasure to prototype and analyze models for everyday’s work tasks.
Dr. Elke Moser
Research and Analysis at Energieallianz, Vienna, Austria

More Information and Resources

Check out our blog with more resources, such as white papers, customer success stories and academic publications.

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