Energy Risk Modelling
Radisson Blu Royal Hotel Copenhagen
Hammerichsgade 1 DK-1611 København V
Wednesday 10 May 2017
09.00-09.30: Registration and coffee
09.30-17.00: Workshop with exercises 19.00 Dinner
Thursday 11 May 2017
The price for the whole event includes workshop, documentation, lunch and coffee breaks. Conference dinner will also be included. VAT is not included in the price.
We have reserved some rooms.
Price per night is 1.995 DKK including breakfast. Please contact Morten Hegna for booking.
If you have any questions, please contact:
Morten Hegna, Montel AS
Phone: +47 35 52 28 25
This two-day in-depth workshop is dedicated for risk management professionals, analysts and traders wanting to gain insights into risk modelling of energy markets.
Improve your risk management practice.
Liberalisation of power and fuel markets has fundamentally changed the way power companies do business. Competition has created both strong incentives to improve operational efficiency and the need for effective risk management.
Learn how to measure and model risk in energy portfolios.
More volatile energy markets, combined with complex trading and hedging portfolios has increased the need for measuring risk of individual contracts as well as for whole portfolios. Enterprise risk management (ERM) at a corporate level has also become important. Understanding the dynamics and determinants of volatility, correlation and risk in energy markets will therefore be essential.
Learn how to model electricity spot prices.
In addition to modelling risk in futures positions, it is important to investigate the drivers of spot prices and how they influence the price distribution and hence risk. In the last years it's also been crucial to analyze how renewables such as wind and solar influence the price formation.
Learn how to model the complexity between prices and loads.
The profit function for a power company is dependent on loads and
prices. Hence it is also of interest how to model the complexity between
prices and loads. In this course we will particular investigate the
relationship between wind production and prices.
Wednesday 10 May:
Risk and return characteristics of energy futures markets. Cases from Intercontinental Exchange, Nasdaq OMX Commodities and European Energy Exchange
Value at risk
Factor models for electricity markets.
How to model spot prices by linear regression. How to model spot price distribution by quantile regression.
The Nordic Electricity Market
The UK Electricity Market
The German Electricity Market (here we will also investigate how wind and solar influence the price formation).
Thursday 11 May:
Modeling volatility and correlation in energy markets
- Moving average models for volatility and correlation
- GARCH models
- Models based on implied volatility
'Value at risk' models for energy commodity portfolios:
- Historical simulation
- Risk metrics
- Monte Carlo VaR
- VaR using quantile regression
Modelling joint wind and price risk with copulas.
- Non-linear modelling of Danish wind and price data with copulas
- Simulation of profit functions based on wind production and prices
Data/Excel cases are given for each lecture and handed out together with power point presentations before the seminar starts.
The participant will receive:
- Course slides
- Excel applications
- References to books and article within energy risk modelling
The course will be held in English
Who should attend?
Economics. He has previously worked as an investment portfolio manager for an insurance company, a project manager for a consultant company and as a credit analyst for an international bank. Currently he is professor at the Norwegian University of Science and Technology and an Adjunct Professor at the Norwegian University of Life Sciences – Center for Commodity Market Analysis. His teaching involves corporate finance, derivatives and real options, empirical finance and financial risk management. His main research interest include risk modelling of commodity markets. At the time being he is a project manager for two energy research projects.