The customer ECC is the clearing house of the electricity exchange EEX. One of ECC’s tasks is to hedge the derivatives traded on the electricity exchange by depositing financial collateral. For the successful implementation of this risk management, ECC must first determine the amount of collateral.

As part of the analysis, ECC develops various risk scenarios and examines the influence of the scenarios on the future electricity price. In addition to the development of suitable and meaningful scenarios, suitable input parameters and a modelling of the electricity market must be carried out so that a well-founded analysis and determination of the financial collateral can be made.

E-Bridge advised the client on the development of the scenarios and carried out modelling of the electricity market. The scenarios were developed based on the evaluation of the E-Bridge database, which includes more than 200 studies and thus covers different dimensions of the European electricity market. These scenarios were then checked for completeness and plausibility. Subsequently, the input parameters for the electricity market model were defined.

In parallel, the project team evaluated the results of the modelling of the European electricity market. The extensive modelling results were evaluated by the experts and prepared for utilization by ECC. This involved the development of a method for deriving the hourly prices of the model into derivative products. The aim was to determine the influence of risk scenarios on the electricity price.

The detailed evaluation of the developed stress scenarios served the customer for further risk analyses. Since the stress scenarios were able to plausibly depict and model extraordinary events, the customer obtained a holistic picture of the possible consequences of a stress scenario. The results helped the customer to improve its assessment of potential risks and requirements for reliable hedging of potential stress situations.