Case Study: A2A cuts VaR run time from 1 hour to 30 seconds and halves development time with MathWorks (MATLAB)

A2A Develops Comprehensive Risk Management Solution for Energy Markets

A2A, one of Italy’s largest utilities, needed a more reliable, scalable way to support trading and corporate strategy across electricity markets. Calculating VaR with spreadsheets (about an hour for ~60 factors), managing errors from shared files, and the need to handle 500+ risk factors and hourly pricing made off‑the‑shelf tools impractical, so A2A turned to MathWorks and MATLAB with companion toolboxes to build an integrated analytical environment.

Using MathWorks’ MATLAB plus Database, Datafeed, Econometrics, Statistics & Machine Learning, Optimization, Financial Toolboxes, MATLAB Compiler/SDK, and Spreadsheet Link, A2A implemented a production risk‑management dashboard to import/preprocess data, calibrate nonlinear models, run Monte Carlo and VaR analyses, and deploy analyst apps. The solution reduced VaR calculations from about an hour to ~30 seconds, halved development time (core system completed in ~18 months), enabled handling ten times more risk factors, and cut new pricing‑model delivery from years to weeks or hours.

A2A

Simone Visonà

Risk Manager