Risk modelling picture

Energy Risk Modelling

Telephone: +47 22 99 42 00
E-mail:
events@montel.no

Registration

Venue

Copenhagen

Radisson Blu Royal Hotel Copenhagen      

Hammerichsgade 1 DK-1611 København V

Denmark

 

Time schedule

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

09.30-15.00 Workshop

  

Price
Seminar: EUR 1795

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.

 

Accomodation

We have reserved some rooms.

Price per night is 1.995 DKK including breakfast. Please contact Morten Hegna for booking.


Information

If you have any questions, please contact:

Morten Hegna, Montel AS
E
-mail: mortenh@montel.no

Phone: +47 35 52 28 25


or  
Professor Sjur Westgaard
Department of Industrial Economics and Technology Management
Norwegian University of Science and Technology
 
NO- 7491 Trondheim, Norway
Phone: +47 73 59 31 83 or +47 971 22 019
E-mail: sjur.westgaard@iot.ntnu.no

web: www.iot.ntnu.no/users/sjurw

 

 



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.  

    


Workshop programme:

   

Wednesday 10 May:

 

Risk and return characteristics of energy futures markets. Cases from Intercontinental Exchange, Nasdaq OMX Commodities and European Energy Exchange

 

Risk measures:

Value at risk

Expected shortfall

 

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

- Notes

- Articles

- Data

- Excel applications

- References to books and article within energy risk modelling

 

The course will be held in English




Registration

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 writing.















 
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Who should attend?
Analysts

Traders
Portfolio managers

Production planners
Risk managers

 


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. His main research interest include risk modelling of commodity markets. At the time being he is a project manager for two energy research projects.