Power Risk Analysis Workshop shows you how to create a comprehensive power risk methodology; one that addresses risk from the enterprise level all the way down to individual risks.
You will learn how to make Value-at-Risk work in practice - how to design, implement and use scalable production Value-at-Risk measures. Real-world challenges are discussed as they relate to measurement and computation of energy-related uncertainty and risk.
In group exercises and case studies, you will examine best practices and identify key fundamental relationships, perform exercises to update models; vet standard quant models and emergent techniques in risk mitigation and stress testing.
You will learn when and how to apply the appropriate calculation approaches for different applications and understand how the underlying statistics can make or break energy risk calculations.
Please bring your laptop.
The opening session focus on understanding basic risk management analysis using specific tools to evaluate a particular company's approach. Discussion includes an overview of the key terms and definitions for energy risk management; understanding and evaluating how companies approach commodities and capital markets risk; hedging vs. optimization; legislative/regulatory outlook for derivatives; ratings, and credit implications, including:
Exercise: Statistical modeling and confidence intervals - Energy Budgetary Risk
Exercise: Monte Carlo simulation and correlating random numbers
Exercise: Comparing the three approaches to calculate VaR for a skewed portfolio
Exercise: Cornish-Fisher expansion to correct gamma error Â
In this session, we focus on the fundamental principles of enterprise wide risk management from strategic corporate goals to risk identification and reporting. The discussion includes methods and challenges of risk identification beyond financial instruments, to corporate wide earnings at risk measures. Real-world challenges are discussed relating to measurement and computation of energy related uncertainty and risk. Participants will learn:
Understanding the valuation of options and derivatives; best practices to keep analysts on point, considerations in the option and derivative markets and how these elements impact the valuation on these instruments. Participants will learn different calculation approaches needed for different applications and understand how the underlying statistics can make or break energy risk calculations, including:
Exercise: Portfolios and volatility - getting the units right
Exercise: Energy and energy volatility forecasting
Exercise: Monte Carlo modeling of risk factors
Exercise: Calculating the value demand uncertainty risk
Exercise: Building a weather hedge
Case Study - Hedging Energy Exposure
Case Study - Layered Hedging Strategy
Utility hedge design has generally focused on creation of balanced physical positions largely independent of market prices. Although disciplined rules applied to cover physical exposure work well, they fall far short of optimal hedging. Unleash the latent value of generation assets and load obligations by turning risk management into an affirmative business tool that drives value and reduces uncertainty in budgeted cash flows. This is a hands-on session that builds on lessons learned in previous sessions and will walk attendees through exercises on portfolio hedging for actual utility portfolios, including:
Â
This session will outline the knowledge and skills needed to pursue a comprehensive risk strategy in today's ever-changing commodities marketplace. Through practical exercises from the power sector, the instructor will walk participants through the process to develop a strategy that is comprehensive enough to take account of traditional fundamental drivers of price volatility while being flexible enough to cope with the new demands of the emerging regulatory framework. Key elements include:
Exercise: Building a NYMEX gas portfolio VaR calculation from scratch
The focus is on how to make value-at-risk work in practice—how to design, implement and use scalable production value-at-risk measures on real trading floors. The relationship between risk and value is further developed as we apply financial engineering principals to strategic capital asset problems. Participants will discuss best practices/identify key fundamental relationships as well as perform exercises to update models; vet standard quant models and examine emergent techniques in risk mitigation, strategic valuation and stress testing, including:
This live group seminar is eligible for 17.0 CPE credits. Be aware that state boards of accountancy have final authority on the acceptance of individual courses for CPE credit. As of January 1, 2002, sponsored learning activities are measured by program length, with one 50-minute period equal to one CPE credit. One-half CPE credit increments (equal to 25 minutes) are permitted after the first credit has been earned in a given learning activity. You may want to verify that the state board from which your participants will be receiving credit accept one-half credits.
Credit risk analysts
Market risk managers
Energy traders and managers
End-users of derivatives in corporations
Risk consultants
Risk and audit committee members
Finance department professionals
Compliance managers
Power Risk Analysis Workshop presumes that participants are familiar with standard basic option pricing theory or risk modeling, such as Monte Carlo simulation. Please bring laptop.
PGS in Partnership with SNL Energy seminars are known for their clear explanations and in-depth content. Register today, and join the energy professionals who have already attended one of these proven programs.