Energyforum
Modelling and Measuring Energy Risk
24-26 November 2008, London
Optional Post-Conference Workshop
Wednesday November 26
MEASURING EXPOSURE OF ENERGY PORTFOLIOS USING THE FlowVaR METHODOLOGY
9:00 - 11:00
HOW TO SELECT YOUR MODELLING FRAMEWORK: SPOT-CONVENIENCE YIELD VS. FORWARD MODEL
- Spot prices, forward prices, and convenience revenue
- Static arbitrage, forward replication (cash&carry), convenience yield
- Spot-convenience yield models: Gibson-Schwartz, Nielsen-Schwarz, Trolle-Schwartz
- Forward models: Jamshidian, Andersen, Roncoroni-Id Brik
-Case-study: How to perform a Principal Components Analysis on seasonal data
11:15 - 12:45
HOW TO MEASURE AND MANAGE ENERGY PORTFOLIO RISK
- Energy load serving deals
- Hedging energy portfolios using forward positions
- Simulating forward price scenarios
-Case-study: How assess and hedge load deals risk using RAROC measures
14:00 - 16:00
MEASURING FUTURE EXPOSURE USING FlowVaR
- Definition of FlowVaR
- FlowVaR computation using Montecarlo
- Estimating future market prices
- Traded Value
- Driving potential future exposure
- Introducing credit risk measurement
Case-study: Swap example
16:15 - 17:45
IMPLEMENTING FlowVaR
- FlowVaR vs credit risk measures
- Implementing Principal Components Analysis
- Derivation of forward curve scenarios
- Alternative approach ICA
Case-study: strip of options
