Modelling & Measuring Energy Risk
on the Nord Pool Market
26-28 September 2007, Oslo, Norway

9.00–9.30 Registration and coffee

9.30–9.40 Chairman Professor Fred Espen Benth opens the conference

Chairman Professor Fred Espen Benth
Fred Espen Benth Fred Espen Benth is professor in financial mathematics and deputy manager at the Centre of Mathematics for Applications (CMA), University of Oslo. He has numerous publications in scientific journals and is used as a consultant by the energy, finance and insurance industry in Norway. Before becoming a professor, Benth worked 3 years as a consultant for the oil industry at the Norwegian Computing Centre and researcher at the universities in Mannheim, Aarhus, Oslo and Trondheim.


9.40–10.25 Quantification of risks on the Nordic electricity market

  • Alternatives to risk assessment
  • Perspectives on the Nordic electricity market
  • Preferable properties of a “good” risk measure
  • Communicating the results

Iivo Vehviläinen, Gaia Consulting
Iivo Vehviläinen Dr. Iivo Vehviläinen is an expert in energy and climate questions with extensive background in business  operations and development at Gaia and prior to that at Fortum. He has a wide-ranging expertise on risk management and financial economics. He holds a doctor of science degree in financial mathematics from the Helsinki University of Technology.

10.25–10.45 Coffee and tea

10.45–11.30 Properties of electricity swap returns in the Nordic electricity market

  • Marginal distributions
  • Correlations
  • Fat tails
  • Implications for VaR

Dennis Frestad, Agder University College
Dennis Frestad Dennis Frestad is currently finishing his PhD at the Norwegian School of Economics and Business Administration (NHH). Prior to the PhD-studies, he spent more than eight years working with risk management at Agder Energi AS, Norway.

11.30–12.15 A model for simulation of Nordic Electricity Spot Prices

Kjersti Aas, Norweigan Computing Center

Kjersti Aas is Assistant Research Kersti Aas
Director at the Statistics Departement of Norwegian Computing Center (NR) and she is the head of the group working with financial risk management. She has a large experience in doing applied contract research within the field of statistical modelling in banking, insurance, energy and commodity markets. Kjersti has given several courses on the statistics of these markets in Norway. She is also doing more basic research, and her two last papers have recently been published in Journal of Financial Econometrics and Journal of Risk, respectively.


12.15–13.00 Market price of risk and risk management for a non-Gaussian Ornstein-Uhlenbeck spot price model

Thilo Meyer Brandis, Technical University of Munich
and CMA
Dr. Thilo Meyer-Brandis holds a Master in Mathematics
from the University of Oslo, a Cesma MBA from E.M.Lyon and a PhD. in financial mathematics from the University of Oslo. He also has experience from Paris where he worked as a quantitative analyst within the financial industry.

13.00–14.00 Lunch

14.00–14.45 Modelling the forward curve in the Nord Pool market

  • Spot models vs. direct modelling of the forwards
  • No-arbitrage restriction and model implications
  • Smoothing of the forward curve
  • Pricing of options

Fred Espen Benth, CMA

14.45–15.30 Electricity prices in hydro dominated systems

  • Characteristics of price modelling in hydro dominated systems
  • Decision under uncertainty - relation to options
  • Reservoir pricing - techniques and challenges
  • Analogies with carbon price modelling

Andre Damslora, Point Carbon
Andre Damslora Dr André J. Damslora is Chief Quantitative Analyst at Point Carbon, Norway. André Damslora has 15 years of experience with mathematical modelling and statistics with application to energy markets, fixed asset management and technology research. Prior to joining Point Carbon he worked for Norsk Hydro, Enron and American Electric Power. His current focus is on modelling energy commodity markets, including emissions.

15.30–15.50 Coffee and tea

15.50–16.30 Area price risk

  • Modeling and forecasting of area prices
  • Explicit vs. implicit auctions and their impact on
    cross-border trade:
    – Current status
    – Future development
  • Area price risk hedging:
    – Nordic Contracts for Differences
    – Financial transmission rights

Tarjei Kristiansen, Statkraft
Dr. Tarjei Kristiansen is a senior analyst on continental
markets for Statkraft Energi AS. He has been a senior consultant on electricity market issues and market modelling at KEMA Consulting GmbH and a hydropower scheduler at Norsk Hydro ASA. Dr. Kristiansen holds a PhD in Electrical Power Engineering from the Norwegian University of Science and Technology and a doctoral fellowship from the John F. Kennedy School of Government at Harvard University. He frequently publishes papers on European electricity markets, modelling and financial transmission rights in the US.

16.30–17.15 Modelling locational prices in the Nordic electricity market

  • Optimal nodal pricing - a theoretical benchmark
  • Effect of simplifications made by Nord Pool
  • Optimal zonal prices

Endre Bjørndal, Norwegian School of Economics
and Business Administration
Endre Bjørndal Endre Bjørndal is an associate professor at the Norwegian School of Economics and Business Administration (NHH). He has participated in several research projects related to efficiency measurement of electricity transmission and distribution companies, as well as modelling locational prices in the Nordic electricity market. His teaching activities are in the areas of management science and operations management.

19.00 Conference dinner


8.45–9.30 Multivariate Commodity Analysis and  Implications for Risk Management

  • Fitting a multivariate hyperbolic distribution to
    energy related commodity futures (power, oil, gas,
    coal, carbon)
  • Compute risk measures for commodity portfolios
    based on multivariate hyperbolic distributions
  • Analyse the exposure of power plants representing
    such portfolios

Rüdiger Kiesel, University of Ulm
Rüdiger Kiesel Professor Dr. Rüdiger Kiesel is Director of the Institute for Mathematical Finance at the University of Ulm. Previously he has been a Lecturer and Reader for actuarial science and financial mathematics at Birkbeck College, University of London and London School of Economics, where he is still visiting professor. His main research areas are currently design and analysis of credit risk models, valuation and hedging of derivatives (credit- and energy-related), methods of risk transfer and structuring of risk (securitization), risk management (in the context of Basel II and Solvency II) and the stochastic modelling of financial markets using Lévy-type processes.

9.30–10.15 A simultaneous multifactor analysis of Nord Pool, EEX and Brent prices with resulting risk measures

  • Simultaneous analysis of the dynamics in Nord Pool
    and EEX power prices and Brent crude prices
  • Estimation of a multifactor model with filtering of
    panel data using futures, forwards and options
  • Resulting risk measures for an energy portfolio
    sensitive to Nord Pool, EEX and Brent prices

Thomas Lyse Hansen, SNG Rådgivning
Thomas Lyse Hansen Thomas Lyse Hansen holds a M.Sc. in mathematical economics from Aarhus University and a Ph.D. in finance from Copenhagen Business School. He has worked with quantitative finance, real options and commodity price risk management for Energi Danmark and DONG Energy before establishing the consulting company SNG Rådgivning where he is currently working in the above mentioned areas as a Partner.

10.15–10.45 Coffee and tea

10.45–11.30 The Importance of Co-Dependence for Pricing Multi-Commodity Derivatives From correlation to co-dependence

  • Copula functions
  • Simulating correlated prices
  • Simulating co-dependent prices
  • Co-jumps
  • Application 1: Spread options pricing
  • Application 2: Risk assessment of commodity

Andrea Roncoroni, ESSEC Business School
Andrea RoncoroniDr. Andrea Roncoroni is Associate Professor of Finance at ESSEC Business School in Paris. He is also Co-director of the Master in Energy Finance (MEF) at polytechnic School of Milan and regular Lecturer at Bocconi University (Milan). He holds PhD’s in Applied Mathematics and Finance. His research interests cover Energy Finance, Financial Econometrics and Derivative Structuring. He consults for private companies (Gaz de France, Fideuram AM, EDISON Trading) and lectures for public institutions (University Paris Dauphine, Italian Stock Exchange, International Energy Agency, Italian Authority for Electricity and Gas).


11.30–12.15 A VaR approach with GARCH volatility and  the NIG distribution

  • Properties of spot and forward returns
  • GARCH volatility
  • The Normal Inverse Gaussian distribution
  • Back testing VaR

Rikard Green, Lunds Universitet
Rikard GreenRikard Green is currently doing a PhD in Finance at the Department of Economics, Lund University. In 1999 he completed his Masters degree in Finance. Thereafter he worked as a Financial Research Analyst at the Foundation for International Business and Economic research in New York City. Prior to starting his PhD studies he worked as an Electricity Market Analyst at E.ON Energihandel Nordic AB.

12.15–13.00 Implied versus historical volatility – a case study in the German market

  • Risk management perspective
  • Perspective of a quantitative Analyst
  • The challenges with data sources and implied
  • Characteristics of volatilities
  • Best strategies for predicting volatility

Josef Bogensperger, Verbund
Dr. Josef Bogensperger studied electrical engineering at the University of Technology Graz (Austria). From 1996-1999 he worked as consulting engineer for VERBUNDPLAN in Eastern Europe & Central Asia. Since 1999 employee of APT, he first worked as Risk Manager then as Head of Back Office. In July 2004, Dr. Bogensperger moved to his present position as Head of Risk Management.

13.00–14.00 Lunch


14.00–14.45 Modelling CO2 prices

  • Statistical analysis of historical CO2 prices
  • CO2 price models
  • Dependence between CO2 and power/gas prices
  • Power/gas price models with CO2 components

Ola Lindqvist, Norwegian Computing Center
Ola Lindkvist Ola Lindqvist works as a research scientist at the Norwegian Computing Center (NR) in Oslo. Ola works with finance and energy related research and has previous experience from structuring and risk management in Norsk Hydro Oil & Energy before joining NR.

14.45–15.30 Coffee and tea

15.30–16.15 Modelling the relations of the power market with the CO2 emission trading market

  • Power market modelling:
    Power prices, generation, trade, consumption
    and emissions
  • Modelling of the EU ETS
  • CO2 price analysis
  • CO2 -a driving factor of the power market?
  • Carbon price outlook

Franziska Sinner, ECON Analysis
Anne-Franziska Sinner Anne-Franziska Sinner is a carbon market analyst of Econ’s climate change and energy policy group. She has experience with model-based scenario analyses of the energy market, as well as the carbon market. Recent work includes analysis of the effects of the EU carbon dioxide emissions trading scheme, particularly on its interactions with the electricity market, and with analysis of climate and energy policy.

16.15–16.30 Questions and Closing
of the Conference

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