Develop Alternative Hedging Strategies
Company
Large oil and gas state-owned company with integrated exploration, production, refining, transportation, and petrochemicals operations.
Challenge
Develop alternative hedging strategies to avoid extreme adverse outcomes and preserve required revenues and margins subject to company risk policy guidelines and restrictions.
SATURN
- Simulated stochastic market prices and estimated company potential revenues, margins, and risk exposures.
- Identified and analyzed hedging strategies including futures, swaps, calls, puts, and synthetic options.
- Delivered advanced simulation-based risk metrics to evaluate the impacts of each hedging alternative.
Impact
- Enabled the management team to compare hedging alternatives and make an informed decision with confidence.
- Empowered company to identify minimum cost hedge that offered maximum risk reduction.
- Enabled company to meet strict short and long-term risk policy requirements and develop repeatable methods.