Energy Risk Modelling Course

19 and 20 June 2012 London

Danubius Hotel Regent Park London - http://www.danubiuslondon.co.uk

Two-day course for traders and analysts wanting to gain insights into risk modelling of energy markets.

Liberalisation of power and fuel markets has fundamentally changed the way power companies do business. Competition has created both strong incentives to improve operational efficiency and the need for effective risk management. More volatile energy markets, combined with complex trading and hedging portfolios consisting of both long and short positions has increased the need for measuring risk of individual contracts as well as contract portfolios. Enterprise risk management (ERM) at a corporate level has become increasingly important. Understanding the dynamics and determinants of volatility and risk in energy markets will therefore be essential.

COURSE CONTENT:

Day 1
- Energy markets at the Intercontinental Exchange, Nasdaq OMX Commodities and European Energy Exchange
- Risk and return characteristics of energy markets
- Risk measures
- Value at risk
- Expected shortfall
- Factor models for electricity futures / Sensitivities to gas, oil, coal, carbon and other energy markets
- Data/Excel cases for each model

Day 2
- Statistical trading models
- One energy commodity
- Spread trading strategies
- Modelling - volatility and correlation in energy markets
- Pricing and hedging of energy derivatives (forwards, futures, swaps)
- "Value at risk" models for energy commodity portfolios
- Historical simulation
- Risk metrics
- Monte Carlo VaR
- Other alternative models
- Data/Excel cases for each model

REGISTRATION/FURTHER INFORMATION: The participant receives:
- Course slides
- Notes
- Articles
- Real time data from Ice
- Excel applications
- References to books within energy risk modelling

For registration and more information, see http://events.montel.no/risk12/default.asp