Modelling & Measuring Energy Risk
20-22 May 2008, Barcelona, Spain

 

Day 1:

8.30-9.00 Registration and coffee

9.00-9.10 Chairman opens the conference

Chairman Dr. Cyriel de Jong, Director Maycroft Consulting

9.10-10.10 Swing option valuation with a stochastic strike price

  • Swing optionality in gas Take-or-Pay contracts
  • Strike prices based on monthly average realized fuel prices
  • Jointly modeling gas prices and commodity prices
  • Extending the Least-Squares Monte Carlo for the valuation of swing: Optimal exercise in multi-commodity framework
  • Empirical results

Dr. Cyriel de Jong, Director Maycroft Consulting

10.10-10.40 Coffee and tea

PCA FOR OIL FUTURE PRICES

10.40-11.40 Can the Dynamics of the Term Structure of Petroleum Futures be forecasted? Evidence from Major Markets

  • NYMEX and ICE petroleum term structures: Switching between contango and backwardation.
  • Possible candidate predictors of the evolution of the term structure of petroleum futures.
  • Using Principal Components Analysis (PCA) to forecast the dynamics of petroleum futures curves.
  • Out-of-sample performance of the PCA model versus 'traditional models'.
  • Does the choice of the forecasting horizon matter?

Dr. George Skiadopoulos, University of Piraeus

11.40-12.40 Electricity portfolio stochastic optimisation under CVaR constraints

  • Importance of correct risk constraints application and the danger of using a non-appropriate risk constraint
  • Importance of stochastic optimisation and its relation to risk constraints
  • Case study of a nuclear and hydro asset where the company is interested in hedging in the forward market while using the spot market too and considering correctly their risk profile
  • Complementarity of thermal and hydro in the risk profile of a company

Niko A. Iliadis, Senior Analyst, EnerCoRD

12.40-13.40 Lunch

13.40-14.40 Arbitrage free cointegrated models in gas and oil future markets

  • Natural gas and crude oil term structure modeling
  • Cointegration and Vectorial Error Correction Model
  • Arbitrage free modeling and asset pricing

Céline Jérusalem, Project Manager, Gaz de France

14.40-15.10 Coffee and tea

15.10-16.10 How to determine a VAR limit for energy trading business; a hands on guideline

  • Required return on equity investments 
  • Discounting future cash flow, expected future profit 
  • Does following have an impact on VAR limits:
    o increase or decrease of volatility 
    o change of owners equity
    o calculation methodology
  • Risk adjusted return on capital

Rudolph Kroll, Corporate Risk Manager, Delta NV

SPARK SPREAD TRADING

16.10-17.10 Spark Spread Trading and volatility term structure of the underlying commodities

  • Spark spread definitions: Asset based vs. market based
  • Spark spread dynamics: Which spreads are mean reverting and why?
  • Deriving Value at Risk for spark spread positions from volatility and correlation term structure
  • Spark spread trading strategies

Franz Zehner, senior consultant, Maycroft Consulting

17.10-17.20 Questions

19.00 Wine tasting and Conference dinner

 

 

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