04 June

Energy Risk Modelling June 2024

This popular two-day in-depth workshop is dedicated for risk management professionals, analysts and traders wanting to gain insights into risk modelling of energy markets.

Register for Energy Risk Modelling June 2024

This popular two-day in-depth workshop is dedicated for risk management professionals, analysts and traders wanting to gain insights into risk modelling of energy markets.

Learn how to measure and model risk in energy portfolios

More volatile energy markets, combined with complex trading and hedging portfolios have increased the need for measuring risk of individual contracts and whole portfolios, as well as at corporate level (Enterprise risk management). Furthermore, understanding the dynamics and determinants of volatility, correlation and risk (value at risk and expected shortfall) in energy markets is essential.

Registration is now open.

For questions, please contact

morten.hegna@montelgroup.com

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+47 917 57 662

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Day 1

09:15-10:00 Introduction to energy markets. Risk and return characteristics of energy futures and spot markets.

10:15-11:00 Risk measures: Volatility and Correlation, Value at Risk (VaR), Expected Shortfall (ES).

Empirical risk characteristics of electricity spot and futures markets. Risk characteristics in energy calendar spreads and energy cross commodity spreads.

11:15-12:00 How to model and predict electricity price distributions and risk using quantile regression with fundamental supply and demand factors.

How fundamentals like fuel prices, forecast of demand and supply, wind and solar influence the price risk.

12:00-13:15 Lunch

13:15-14:00 Modeling volatility and correlation in energy markets. Moving average models for volatility and correlation.

Uni- and multivariate GARCH models. Models based on intra-daily data. Models based on implied volatility.

15:15-16:00 Case studies recent trading losses in oil, natural gas and electricity futures and option markets

(China Aviation Oil, Amaranth, Bank of Montreal, Optionsellers.Com)

Day 2

09:00-09:15 Recap from day 1

09:15-10:00 VaR and ES models for energy commodity portfolios

Risk Metrics, Filtered Historical Simulation, Cornish Fisher Approximations, Extreme Value Theory, and Quantile Regression.

10:15-11:00 Backtesting of VaR and ES models.

Stress testing and scenario analysis.

11:15-12:00 Modelling energy forward curves using Principal Component Analysis (PCA).

Modelling and forecasting energy portfolio risk using PCA and quantile regression.

12:00-13:15 Lunch

13:15-14:00 Enterprise Risk Management (ERM) for energy companies

Investigate how relevant risk factors (volume, prices, exchange rates, interest rates and credit spreads) in combination influence the distribution of future cash flows. Analyze the risk reducing impact of alternative hedging

14:15-15:00 Counterparty credit risk and costs of capital (xVA) for financial derivatives

15:15-16:00 Modelling risk with complex underlying risk factors

Case study: Cash flow at risk for a wind power producer. Using copulas with different distributions for prices and wind production, assymetric tail behaviour and complex non-linear dependency.

Energy Risk Modelling June 2024

Register for Energy Risk Modelling June 2024

For questions, please contact

Morten Hegna

Day 1

09:15-10:00 Introduction to energy markets. Risk and return characteristics of energy futures and spot markets.

10:15-11:00 Risk measures: Volatility and Correlation, Value at Risk (VaR), Expected Shortfall (ES).

11:15-12:00 How to model and predict electricity price distributions and risk using quantile regression with fundamental supply and demand factors.

12:00-13:15 Lunch

13:15-14:00 Modeling volatility and correlation in energy markets. Moving average models for volatility and correlation.

15:15-16:00 Case studies recent trading losses in oil, natural gas and electricity futures and option markets

Day 2

09:00-09:15 Recap from day 1

09:15-10:00 VaR and ES models for energy commodity portfolios

10:15-11:00 Backtesting of VaR and ES models.

11:15-12:00 Modelling energy forward curves using Principal Component Analysis (PCA).

12:00-13:15 Lunch

13:15-14:00 Enterprise Risk Management (ERM) for energy companies

14:15-15:00 Counterparty credit risk and costs of capital (xVA) for financial derivatives

15:15-16:00 Modelling risk with complex underlying risk factors

16:00-16:15 Discussions and conclusions from the course

Speakers