Energyforum
Modelling & Measuring Energy Risk
28-30 November 2007, London, UK
Optional Pre-Conference Workshop
Thursday November 28
9:00-17:00
PART I
Model Calibration and Practical Hedging of Energy Deals
Recent advances on modelling energy and commodity price dynamics
- Alternative methods for filtering low and high frequency periodical trend components
- Measuring the market price of risk affecting energy forward prices
- A general method for building forward models for commodity price dynamics
Workshop leader:
Dr. Andrea Roncoroni is Associate Professor of Finance at ESSEC Business School and Visiting Fellow at Bocconi University (Milan). He holds PhD's in Applied Mathematics and Finance. His research interests cover Energy and Commodity Finance, Financial Econometrics and Derivative Structuring. He consults for private companies (Gaz de France, Dong Energy - DK, Fideuram AM - IT, EDISON Trading - IT) and lectures for private and public institutions. He regularly publishes on academic journals (e.g., J.of Business, J.of Banking and Finance, Intl.J.of Business) and financial book series (e.g., "Implementing Models in Quantitative Finance: Methods and Cases", Springer, 2007).
PART II
Pricing and risk assessment of non hedgeable structured products
- Pricing non attainable contingent claims (traditional approach vs incomplete market pricing)
- Value based risk measures vs flow based risk measures
-
Valuation and risk management under capital constraints
case A) load serve contracts
case B) Virtual Power Plants
case C) Virtual Gas Storage
Case-Study: A RAROC-based valuation of Full Requirement Deals.
Workshop leader:
Dr. Stefano Fiorenzani is the Risk Manager of EGL Italia. Previously, he has worked as head of Risk Analytics in Essent Trading (NL) and as head of Modelling and Structuring in Edison Trading (IT). He has a PhD in Mathematical Finance from the University of Brescia (IT) and an MSc in Financial Economics from the University of Wales (UK). Currently, his activity concentrates on optimization and risk assessment methods for real assets, virtual assets, and structured financial products, with a major focus on alternative techniques for dealing with incomplete illiquid markets. He has published research papers on major energy journals and a recent monograph on energy finance ("Quantitative Methods for Electricity Trading and Risk Management", Palgrave Macmillan, 2006). He has collaborated with academic institutions such as the University of Milan Bicocca, Politecnico of Milan and the Athens University of Economics and Business.
The workshop will take place at Birkbeck, University of London, room number 102
Welcome to an intense workshop in an inspiring atmosphere!
Info Brochure
