Energy Risk Trading, Risk Measurement and Risk Control
If you are involved or interested in the energy industry at any level, you need to understand the various risks, their measurement, control and management in these volatile and often erratic markets This training provides you with a good overview of economic, modelling, organisational and procedural topics to successfully gauge and manage your energy exposure. Key learnings will be exemplified with concrete, practical examples of the concepts discussed: The markets for trading energy products in electricity, gas and oil, with other energy commodities being mentioned as appropriate; The specific sources of risk in energy markets, and how to identify, measure und price those risks practically in the mid- and front-office; Trade examples and risk management options for market, credit, liquidity and operational risks; Procedural and organizational best-practice considerations to control and profit from energy risk in your organization; Hands-on practical examples for the topics discussed. You will also be able to ask specific questions relating to your work and organization and discuss them with the trainer and other attendees.
"How energy products are purchased and traded • Overview of electricity, gas, LNG, oil and coal markets
• Trade flows, stakeholders, market structure overviews, trading tool examples"
"The causes and magnitude of risks in energy markets • The risk universe: Identifying market, credit and other market-related risks
• Risks that are managed in wholesale markets"
Designing a risk management program top-down
• Corporate strategy
• Corporate policies and organizational setup
• Operating unit/company level policies
• Functional separation
• Board involvement
• Desk level limits and procedures
• Trading risk management and capital allocation
Modelling and quantifying market, credit, liquidity risk
• VaR Modelling for market risk in electricity, gas and oil
• Associated concepts for market risk: PaR, cVaR, stress testing
• CreditVaR modelling for credit risk
• Correlations between market and credit risks
• Modelling liquidity risk
• Converting one risk into another
Putting a price on risk
• Holistic risk pricing for market, credit and liquidity risks, with a walk-through for each
• Putting parameters into the models
Trading and managing market risk
• Market risk activities for a physical energy company
• Market risk strategies
• Trade examples for each activity
• Hedging and hedge ratio calculation
• Market risk controls in practice
• Risk transfers in a typical utility
Credit risk management
• Credit risk activities for a physical energy company
• Trade and management examples
• Credit risk mitigants
• Master agreement introduction
• Credit risk controls in practice
Liquidity risk management
• Liquidity risk activities for a physical energy company
• Mitigation, management and trade examples
• Liquidity risk controls in practice
Operational risk control
• Operational risk overview and examples
• Operational risk controls in practice
Use of options, particularly to manage physical optionality
• Physical optionality
• Trade examples
• Option pricing and greeks
• Delta-hedging
Operational readiness for managing risk with exchange-traded instruments
• Operations of an exchange
• Cleared trade flow
• Margining for exchange traded instruments
• Checklist for setting up to trade exchange-traded instruments
• Compensation structures in risk management
Hedge accounting
• Introduction to hedge accounting in the context of energy risk hedging
• IAS 39 and IRFS 9 requirements