Risk interpretation is continually evolving: Knowing what information to incorporate or ignore in quantitative modeling--and how to avoid bad assumptions--is vital. In this interactive, hand-on seminar the participants will learn a comprehensive power risk management methodology that addresses risk from the strategic perspective of the enterprise level all the way down to the detailed management of specific individual risks.
Participants will learn how to make value-at-risk work in practice - how to design, implement and use scalable production value-at-risk measures on the trading floor. Real-world challenges are discussed relating to measurement and computation of energy-related uncertainty and risk.
Through group exercises and case studies, participants will discuss best practices and identify key fundamental relationships, perform exercises to update models; vet standard quant models and examine emergent techniques in risk mitigation and stress testing; and apply different calculation approaches needed for different applications and understand how the underlying statistics can make or break energy risk calculations.
This is a hands on seminar you are encouraged but not required to bring a computer.
Day One
8:30am - 12:00am                Risk 101: Tools, Templates & Calculations
10:30am Break
This session will focus on understanding basic risk management analysis using specific tools to evaluate a particular company's approach. Discussion includes and 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
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12:00noon                                          LUNCH
1:00 pm - 2:30 pm                Principals of Enterprise Wide Risk Management
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:
· What is risk worth? Moving beyond value at risk to value of risk
· Impact of current regulations on use of derivatives for risk management
· Regulated Cost Recovery of Capital Asset Investment for Reliability and Risk
· Keys to Successful Enterprise Wide Risk Management
· Strategic Risk Management and Planning
· Modeling known known's, known unknowns, and unknown unknowns
· Risk Committee and Policy Essentials
2:30 pm                                             BREAK
3:00 pm - 5:00 pm                Energy Derivatives, Pricing and Hedging  Â
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
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Day Two
8:30am - 10:30am               Hedge Optimization to Increase Cash Flow and Minimize Risk
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
Exercise: Regression Analysis of Hedge Effectiveness
Exercise: Delta and Dynamic HedgingÂ
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10:30am                     BREAK
10:45am - 12:00pm  Analytics of Managing Commodities Risk as Markets
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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
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12:00noon                                          LUNCH
1:00pm - 3:00pm                  Case Studies:  Risk Mitigation/Modeling              Â
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:
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Exercise: Valuing Physical Energy Assets using Financial Engineering Tools
Exercise: Calculating the value of Energy Storage for Renewable Energy Intermittency Risk
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3:00pm         workshop ends
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This live group seminar is eligible for 14.0 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.
Among those who will benefit from this seminar include energy and electric power executives; attorneys; government regulators; traders & trading support staff; marketing, sales, purchasing & risk management personnel; accountants & auditors; plant operators; engineers; and corporate planners. Types of companies that typically attend this program include energy producers and marketers; utilities; banks & financial houses; industrial companies; accounting, consulting & law firms; municipal utilities; government regulators and electric generators.
This fundamental level group live seminar has no prerequisites. No advance preparation is required before the seminar.
PGS seminars are known for their clear explanations and in-depth content. Register for a PGS class today, and join the over 10,000 energy professionals who have already attended one of PGS's proven programs.