Energyforum
New to Trading and Risk Management on the European Power Market
4-5 June 2008, Amsterdam
Day1:
Market structure and Risk management
8:30-9:00 Registration
9:00 Session starts
Explanation of the physical markets
- Physical flows
- Transport problems
- Who are the players?
- Difference between brokers, traders, dealers, market makers, liquidity providers, marketers and wholesale energy merchants
10:30-11:00 Coffee & Tea
Explanation of the financial markets
- Exchanges and the OTC market
- Market participants and their role
- Arbitrage
- Trading (propriety trading vs. portfolio trading/optimization)
- Financial products (dark, spark, crack spreads and their clean versions, futures, options)
Connection between physical and financial markets
- Development: integration results in overlap
- Market coupling
12:30-13:30 Lunch
Afternoon session: Jerry de Leeuw
Introduction to risk management
- Physical vs. financial trade
- Liquidity risk
- Currency risk
- Credit risk
- Market risk
- Transport risk
- Weather risk
- Geo-political & regulatory risk
15:00-15:30 Coffee & Tea
Value at Risk (VaR)
Hedging tools & strategies
Derivatives
- Forwards/Futures (versus spot trading)
- Options (protection: caps & floors)
- Swaps
- Weather derivatives
Agreements & conditions
Collateral & margin
Volatility
Skew
Forward curves
Backwardation
Contango
17:00 Wrap up of the day
Day2:
European exchange and models for the power price
Morning session - Peter Kosater
9:00 Session starts
Introduction Exchange EEX
- History EEX
- Rough overview: Legal structure / involved bodies and entities
- Exchange vs. OTC
- Current developments at EEX
Spotmarket (Main topic): Hourly Power Auction
- Introduction
- Bids (Hourly, Block)
- (Establishment of) MCP
- Example(s)
10:30-11:00 Coffee & Tea
Derivatives
- Introduction
- Phelix Futures and Options on Phelix Futures (Products)
- Variation Margin
- Continuous Trading (orders and matching): Examples
- Trading Strategies: Examples
Clearing
- Introduction (ECC as Central Counterparty)
- Physical settlement
- Financial settlement (Margining Spot & Derivatives)
12:30-13:30 Lunch
Afternoon session: Peder Thomas Petersen
The dynamics of the power price
- Why are power markets so volatile?
- Nordic vs. continental power markets
- Applied statistics to model the power price
- Fundamentally based pricing models
- Taking the best of both in hybrid models
The relation between the fuel prices and the power price
- Dark and Spark spread
- Pricing spread optionality
- The implication of fuel switching opportunity
15:00-15:30 Coffee & Tea
Valuation of a virtual power plant contracts
- Discounted Cash Flow vs. real options
- Valuation of auctioned cross boarder transfer capacity
- Pricing power plants with different production technology
What will influence the future prices?
- The potential challenges for the power markets in the foreseeable future
- Valuation of the impact of different scenarios
17:00 Wrap up and closing of the course