Energyforum
Modelling & Measuring Energy Risk
20-22 May 2008, Barcelona, Spain
Day 2:
8.50-9.00 Chairman Professor Hélyette Geman opens the conference
9.00-10.00 Pricing disruption risk in an energy portfolio
- Types and examples of disruptions potentially affecting energy portfolios
- The difference between risk and uncertainty and the concept of ambiguity; the approaches to model decision making under ambiguity
- A dynamic pricing model for a natural gas portfolio under market, volumetric, and disruption risks
- Numerical illustration of the model on a real-life natural gas portfolio
Dr. Steve Ohana, Birkbeck, University of London
10.00-11.00 Modelling the correlation matrix of natural gas futures returns
- Correct correlation matrix important in derivatives valuation, portfolio optimisation and risk management
- Examples of pitfalls when calculating the sample correlation matrix
- Model 1: Parametric correlation function approach
- Model 2: Historical factor approach
- Fitting the models to data
- Results and model evaluation
Mats Kjaer, Manager, Quantitative Analytics, Barclays Capital, London
11.00-11.30 Coffee and tea
SEASONALITY AND STOCHASTICITY IN FORWARD CURVES
11.30-12.30 Seasonal and Stochastic Features in Energy Commodity Markets
- Revisiting the Theory of Storage for seasonal commodities
- Managing a book of forward positions: using the average forward price and stochastic cost of carry premia as drivers of the forward curve
- Contrasting the examples of crude oil and natural gas
- The role of uranium prices in the merit order of European electricity production
Professor Hélyette Geman, Birkbeck, University of London and ESSEC Business School
12.30-13.30 Lunch
13.30-14.30 Modeling co-integrated gas and power spot markets: a case study
- Exemplary system: APX (power), TTF and Zeebrugge (gas), spot and forward
- Gas markets are physically connected
- Analysis of short-term (correlations) and long-term connections (co-integration)
- Define proper error-correction model
- Empirical results
Dr. Stefan Schneider, Quantitative Analyst, E.ON Energy Trading
15.30-16.30 Forecasting the impacts of CO2 allocation prices on power markets
- Modelling the interactions of CO2 constraints with other European policies:
- Targets for generation from renewable energy sources
- Implementation of the Large Combustion Plant Directive
- Development of the Internal European Market
- Modelling the details of the EU's fuel-switching potential:
- Accounting for differences in plant efficiencies and their locations in the EU grid
Nazim Osmancik, Senior Consultant, IPA Energy+Water Economics
CARBON TRADING AND GAS STORAGE
16.30-17.30 Carbon trading, swing contracts and gas storage - what's the link?
Storage, swing, and emissions limits all fit under the general heading of resource depletion problems. Recognising the similarities between these allows the use of similar solution techniques. We discuss several such methods, ranging from the simple price duration curve approach to the more exact and powerful stochastic dynamic programming. Examples are presented from each category.
Dr. Tristram Scott, Quantiative Energy Models
17.30-17.45 Questions and Closing of the Conference
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