Energy Risk Modelling
Telephone: +47 22 99 42 00
Radisson Blu Royal Hotel Copenhagen Hammerichsgade 1 DK-1611 København V Denmark
Tuesday 6 March 2018
09.00-09.30: Registration and coffee
09.30-17.00: Workshop with exercises 19.00 Dinner
Wednesday 7 March 2018
Seminar: EUR 1795
The price for the whole
event includes workshop, documentation, lunch and coffee breaks.
will also be included. VAT is
not included in the price.
We have reserved some rooms.
Price per night is 1.845 DKK including breakfast. Please contact
Morten Hegna for booking.
If you have any questions, please contact:
Morten Hegna, Montel AS
+47 917 57 662
Professor Sjur Westgaard
Department of Industrial Economics and
Norwegian University of Science and Technology
NO- 7491 Trondheim, Norway
Phone: +47 73 59 31 83 or +47 971 22 019
in-depth workshop is dedicated for risk management professionals,
analysts and traders wanting to gain insights into risk modelling of
Improve your risk management
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.
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 and loads.
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. In the last years
it's also been crucial to analyze how renewables such as wind and solar
influence the price formation. 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.
return characteristics of energy spot futures markets.
data addin from Montel
Cases from European spot and futures markets
(Nordic, German, UK, and more)
Volatility and correlation
Value at risk
Factor models for electricity markets.
model spot price and spot price distributions. How fundamentals like
fuel prices, forecast of demand and supply, wind and solar
the price formation. How the sensitivities to fundamentals changes over
time and over the levels of electricity prices.
study: The German Electricity Market.
Static regression analysis, Rolling regression analysis, Quantile
Statistical trading models for energy futures
strategies involving one energy commodity
Spread trading strategies
between energy markets (calendar spread and cross commodity spreads)
Measuring performance and risk in trading positions
Modeling volatility and correlation in energy markets
Moving average models for volatility and correlation
Models based on implied volatility
Models based on intradaily data
'Value at risk' models for energy commodity portfolios:
Parametric VaR models (Risk Metrics and others)
models (Historical simulation/Filtered historical simulation)
Semi-Parametric VaR models (Quantile regression)
Stress testing and
VaR Model risk
Backtesting of VaR models
Modelling joint wind and price risk with copulas.
Pitfalls of correlations
Introduction to copulas
different marginal distributions, assymetric tail behaviour and complex
Simulation and risk analysis using copulas
Case: Danish 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
- Course slides
- References to books and article within energy
The course will be held in English
Terms and conditions
Payment due within 20 days from received invoice. If you are prevented
from coming, a colleague can take your place. If you have to cancel your
registration one month before the event, an administration fee of 10%
will be charged. If the cancellation takes place one month and closer to
the conference, total amount will be charged. However, you will receive
a free place to a future Montel-event. Cancellations have to be in
View more Montel events here
Who should attend?
About the lecturer:
Professor Sjur Westgaard is a MSc and Phd of
Industrial Economics from Norwegian University of Science and Technology
and a MSc of Finance from Norwegian School of Business and 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. He is one of the founder and editor of Journal of Commodity
Markets. He is also an associate editor of Journal of Energy Markets and
Journal of Banking and Finance. His main research interest include risk
modelling of energy markets. He has recently also been a project manager
for two energy research projects involving the research counsil of
Norway, power companies, and academic institutions in Europe.