Energyforum
Credit Risk Mitigation of Energy and Commodity Positions
27-28 October 2008, Berlin
Day 1: Tuesday, October 27
All sessions held by Andrea Roncoroni
8:30-9:00 Registration
9:00 -11:00 Energy Risk: Identification and Measurement
- Market risk and risk typology: risk matrix approach
- Building an integrated system of risk management
- Mark-to-market value of a complex energy position
- Measuring approaches: analytical, historical and simulated methods
11:00-11:30 Coffee & Tea
11:30 -13:00 Price Scenario Simulation
- Spot prices, forward prices and the cost of carry
- How to build a model for price simulation
- How to simulate future scenarios using Monte Carlo methods
- Case-study: Simulation of seasonal energy prices and P&L assessment
13:00-14:00 Lunch
14:00 -16:00 Potential Future Exposure (PFE)
- The risk components of a complex energy portfolio
- Potential Future Exposure (PFE) of energy and commodity positions
- Case-study: Dynamic Principal Components Analysis (DPCA)
16:00-16:30 Coffee & Tea
16:30 - 18:00 Pricing and Hedging Energy and Commodity Deals
- Flow pattern hedging using trading strategies involving forwards
- Optimal forward hedging time under Value-at-Risk constraints
- A RAROC-based risk management: energy tariff fixing and hedging
- Case-study: How to build the optimal static hedging security
Day 2: Wednesday, October 28
All sessions held by Andras Fulop
9:00 -11:00
Counterparty Credit Risk
-Current Credit Risk Environment
-Definition of counterparty credit risk in derivatives
-Difference of counterparty risk from the credit risk of a loan
-Characteristics of credit risk in the energy sector
-Evaluating the default risk of a counterparty (Credit Ratings, CDS spreads, Equity Prices)
11:00-11:30
Coffee & Tea
11:30 - 13:00
Credit Risk Mitigation I:
-Credit Value Adjustment (CVA)
-Case-study: Computing CVA for an OTC energy derivative contract
-Managing credit risk with credit documents (collateralization and netting)
-Case-study: Computing CVA with netting
13:00-14:00
Lunch
14:00 - 16:00
Credit Risk Mitigation II: Credit Default Swaps (CDS)
-Definition of a CDS
-Market structure and liquidity of CDS
-Pricing a CDS
-Counterparty risk in CDS's, the CDS Big Bang
Case-study: Using a CDS to hedge counterparty exposure
16:00-16:30
Coffee & Tea
16:30 - 18:00
Portfolio Credit Risk
-Default Correlation
-Factor models of credit risk
-Credit VAR
-Case Study: Computing portfolio counterparty credit risk measures using simulation
or
