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

 

Pre-conference workshops:
Tuesday May 20:

Workshop 1: 9.00- 12.30
Workshop 2: 13.30-17.00

You can choose to attend one workshop or both.
Lunch will be served in between the workshops.

WORKSHOP 1:

Objective

To make the audience familiar with the state of the art techniques that are used to measure the energy market risk by the Value-at-Risk (VaR) approach. The techniques will be explained in details. Emphasis will be placed on the implementation. To this end, case studies will be presented.

Who should attend?

This course is designed specifically for professionals working in the field of energy market risk management. If your daily activities involve calculating, backtesting and reporting Value-at-Risk for energy products, then you can not afford to miss this course!

Attending the workshop will be particularly useful for:

  • Energy Futures & Options Traders
  •  Institutional Investors
  • Financial Services Authorities
  • Consultants in Energy Risk Management
  • Heads of Market Risk
  • Energy Risk Managers
  • Energy Market Risk Modeling Specialists

9.00: Methods to Calculate and Backtest the Value-at-Risk (VaR)

  1. VaR: Motivation & the Internal Models Approach
  2. Alternative measures of Risk: Conditional VaR (CVaR, Expected Shortfall)
  3. Properties of the Prices/Returns of energy products
  4. Variance-Covariance Methods: Linear portfolios (futures), Non-linear portfolios (Options)
  5. Historical Simulation Methods
  6. Standard Historical Simulation
  7. Filtered Historical Simulation
  8. Monte Carlo (MC) Simulation Method: The idea behind MC simulation, Capturing mean reversion and jumps in energy asset prices, MC simulation and correlated asset prices
  9. Extreme Value Theory
  10. Peaks over Threshold method
  11. Backtesting a VaR model: The Basel Accord and other criteria: Christoffersen's tests (Independence Testing, Unconditional & Conditional Coverage)
  12. Loss function using the Expected Shortfall

10.45: Morning Break with coffee and tea

11.00: Estimating the Inputs in a VaR Model

  • Volatility and Correlation Estimation: Moving average, Exponential moving average, GARCH models.
  • Estimating diffusion and jump diffusion processes in continuous time.
  • Case studies: Application of VaR Methods to: Petroleum futures, Freight indices

Workshop leader:

George Skiadopoulos is Assistant Professor in the Department of Banking and Financial Management of the University of Piraeus. He is also an Associate Research Fellow at the Financial Options Research Centre (FORC) of the University of Warwick. He holds a Ph.D. in Financial Derivatives from the University of Warwick, and an M.Sc. in Econometrics and Mathematical Economics from the London School of Economics.

During the period 1995-99 he worked as a Research Fellow in FORC. There, he focused on the topic of option pricing and hedging under implied volatility smiles undertaking projects supported by the Centre's Corporate Members such as Deutsche Morgan Grenfell, Foreign and Colonial, HSBC, Kleinwort Benson Securities, Price Waterhouse& Coopers, Robert Fleming, SBC Warwburg, Tokyo Mitsubishi International, and the Central Bank of Austria. From 1999 until 2000 he worked in the Research and Development Department of the Athens Derivatives Exchange (ADEX). He has also acted as a consultant to leading Greek financial institutions such as Alpha Bank, Commercial Bank, and ADEX (ADEX Research Fellow in Financial Engineering, 2002-2003).

His research interests include option pricing and hedging under the presence of implied volatility smiles, Value-at-Risk, volatility and energy derivatives. He has published in academic journals and books, such as the Energy Economics, European Financial Management Journal, International Journal of Theoretical and Applied Finance, Journal of Alternative Investments, Journal of Banking and Finance, Journal of Futures Markets, Journal of Risk Finance, RISK, Review of Derivatives Research, he is a speaker in international conferences, and an instructor in a number of executive training courses.

 

Register to this conference now!

 

WORKSHOP 2:

13.30-17.00: Pricing and Hedging Energy Structured Deals

  • Pricing non hedgeable products: traditional approach vs incomplete market pricing
  • Risk assessing portfolios of structured products
  • Pricing and hedging under capital constraints
  1. Case A) Profiled Load Contracts
  2. Case B) Virtual Power Plants
  3. Case C) Virtual Transmission Lines

The workshop will be divided into equal parts theory and analysis of the cases.

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.