Market and credit risk management for energy portfolios

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1 Course highlights Understand the strengths and weaknesses of the keymarket and credit risk metrics Incorporate physical assets into value-at-risk calculations Combine physical assets and complex contracts into cashflow based risk metrics Use cashflow-at-risk to measure the effectiveness of hedging strategies Credit risk metrics for energy training.risk.net/mcrm Market and credit risk management for energy London September 2013

2 Course Overview Market and credit riskmanagement for energy Are you finding it difficult to report on relevant market and credit risk metrics with accuracy through your current risk systems? By attending this course, you will gain a thorough understanding of the range of market and credit risk metrics and their advantages and disadvantages for handling complex energy. We look at the unique characteristics of energy markets, physical assets (including power plants, gas storage facilities, and pipelines), and complex contracts (including, virtual storage, power purchase agreements, power and gas swing contracts). You will learn what the best-of-class market and credit risk measures are for joint of physical assets and financial contracts, as well as how to use these metrics to measure the effectiveness of hedging strategies. Venue To be confirmed please check website for details Learning outcomes What constitutes a best-in-class risk management division within an energy company? The types and relevance of available risk metrics How to generate forward curve scenarios with single and multi factor models Pros and cons of the different value-at-risk dash before risk (VaR)metrics How to simplify physical assets and complex contracts for inclusion into VaR calculations Analysis of the different types of cashflow based risk metrics: cashflow-at-risk, profit-at-risk, gross margin-at-risk, revenue-at-risk and earnings-atrisk Analysis of credit risk measures including potential future exposure and credit VaR Target audience Heads of risk management Heads of market and credit risk Heads of risk control Heads of risk reporting Risk managers Risk analysts Book now call +44 (0)

3 About the tutors Dr Chris Strickland, Director, Lacima Group Chris Strickland is Co-founder and Director of Lacima Group, a specialist provider of energy risk management, valuation and optimisation software and advisory services. He is an Associate Research Fellow at the School of Finance and Economics, University of Technology Sydney, Australia and the Financial Options Research Centre, University of Warwick, UK. Chris consults extensively with senior executives globally in the areas of energy risk management, strategic assessment and implementation of risk systems. Previously Chris worked for RBC Gilts Ltd., Kitcat and Aitken & Co in London. Chris is the co-author, with Dr Les Clewlow, of the books Energy Derivatives Pricing and Risk Management and Implementing Derivatives Models and coeditor of the book Exotic Options: The State of the Art and has a regular series of articles in Energy Risk Magazine. He has a First Class Honours degree in Pure Mathematics (Liverpool, UK), an MSc in Mathematics (Warwick, UK) and a PhD in Finance (Warwick). Chris is a member of Energy Risk s Hall of Fame. A group of individuals whose commitment and contribution to energy markets makes them a foundation of this business who took early ideas and concepts and shaped them into real markets that today have had a significant impact on the world s trade. Pierre Lebon, Senior Consultant, Lacima Group Market and credit riskmanagement for energy Pierre specialises in energy and commodity risk management consulting and the implementation of software solutions. He holds a Bachelor of Science from Notre Dame de Boulogne and a Masters of Financial Engineering from Leonard de Vinci University, Paris. Pierre has extensive experience in the implementation of valuation, optimisation and risk management software solutions in energy organisations. As a consultant, he has worked closely alongside risk management, trading, and portfolio optimisation teams and specialises in the analysis of physical assets such as gas storage, long term gas contracts and power plants. Book now call +44 (0) About Lacima Group Lacima is a specialist provider of software and advisory services dedicated to valuation, optimisation and risk management for global energy markets. We help you to maximise your profit potential and make more informed decisions by providing tools that yield more accurate valuations, hedging analysis and risk exposure analysis for of financial contracts and physical assets. Clients of our software and services include structuring, valuation and risk teams in vertically integrated energy companies, energy retailers, financial institutions and large energy consumers in Europe, North America and Australasia. Our software solutions have been developed and implemented by peer-recognised experts in energy analytics, offering an unparalleled level of expertise and personalised support. For further information, visit or info@lacimagroup.com

4 Market and credit riskmanagement for energy Can t find what you re looking for? Incisive Training values our delegate feedback and is always looking for new ideas and suggestions for interesting topics you would like to see produced as a training course. If you would like to submit a subject area or have a topic you would like to see covered at one of our training events please contact Helen Orry helen.orry@incisivemedia.com Coming up in 2013 Developing and Implementing the Advanced Internal Ratings Based Approach London 9 & 10 September 2013 New York 23 & 24 September 2013 training.risk.net/airblon training.risk.net/airbny Funding Valuation Adjustment: Present and Future Challenges London 4 September 2013 New York 10 September 2013 training.risk.net/fvalondon training.risk.net/fvanewyork Operational Risk Management London 17 & 18 September 2013 training.delegates@incisivemedia.com Counterparty Risk: Funding and Discounting CVA & FVA London 18 & 19 September 2013 New York 25 & 26 September 2013 training.risk.net/counterpartylon training.risk.net/counterpartyny Assessing the impact of Emir and Remit on Energy Companies London 19 & 20 September 2013 training.risk.net/emir Book now call +44 (0)

5 Market and credit risk management for energy Day Registration and coffee 0900 Market and credit riskmeasures What constitutes a best-in-class risk management division within an energy company? The types and relevance of available risk metrics At-risk metrics versus scenario analysis Underlying markets oil, gas, power and other commodities Assets and contracts Physical assets (power plants, gas storage, pipelines) Financial contracts Forwards, swaps, options, asians Gas storage, swing, tolling agreements, power purchase agreements Generating the scenarios Single and multi-factor models Model risk Traded versus non-traded books 1030 Morning tea and coffee break 1100 Workshop: scenario generation 1230 Lunch 1330 Value-based riskmetrics Analysis of value-at-risk (VaR) for energy and commodity Delta VaR (parametric, analytical) Delta-gamma VaR Historic simulation Monte-Carlo simulation Extreme value theory Incremental and marginal VaR Vega VaR Confidence levels and holding periods Stress testing versus VaR metrics Simplifying physical assets and complex contracts into VaR calculations Gas storage Power and gas swing contracts Power plants Back testing strategies 1530 Afternoon tea and coffee break 1600 Workshop : historical, delta and simulation VaR, incremental VaR 1700 End of day one Book now call +44 (0)

6 Market and credit risk management for energy Day Registration and coffee 0900 Cashflow based riskmetrics Going beyond VaR for asset heavy The different types of cashflow based risk metrics Cashflow-at-risk, profit-at-risk, gross margin-at-risk, revenue-at-risk, earningsat-risk Deriving cashflows for physical assets and complex contracts Power plants thermal, wind and hydro Full dispatch or approximate as spreads? Gas storage and gas swing contracts Consolidating cashflow-at-risk across power and gas Sensitivity analysis Using cashflow-at-risk to measure the eiectiveness of hedging strategies 1030 Morning tea 1100 Workshop 3: cashflow-at-risk for of assets and financial contracts, analysing hedging strategies 1230 Lunch 1330 Credit riskmetrics Key components of credit risk models Assessing creditworthiness Capital allocation and performance measurement Credit Value Adjustments Potential future exposure (PFE) Credit VaR what is your definition? Credit risk models Credit metrics Modelling credit rating changes Simulation of counterparty market values Recover rates Portfolio calculations Liquidity Analysis 1500 Afternoon break 1530 Workshop 4: calculating PFE for energy contracts 1700 End of course Book now call +44 (0)

7 Market and credit risk management for energy Registration & payment details I would like to book: Price Early Bird Standard (before 16 August 2013 ) (after 16 August 2013) London * 2599 Energy Risk magazine subscribers save 20%. Please add your subscriber discount below: *Price excludes VAT@20% (Discounts cannot be combined) London 4364/13 Please complete the form below in BLOCK CAPITALS. Title Family name Job title / Position Department Company Address Post/zipcode Telephone (direct) Telephone (main) Fax Approving manager Training manager First name City Country Please note that payment must be received prior to the start of the event. A pro-forma invoice will be forwarded to you automatically should you not provide details with your booking. I have enclosed a cheque made payable to Incisive Financial Publishing Ltd. Please debit my: Amex Visa Mastercard Maestro Issue number Card no: Expiry date CVS Account address if different from above I have read and agree to the terms and conditions: Signature Date Incisive Financial Publishing Ltd. VAT No: GB For companies in EU member states only. Please write your VAT/TVA/BTW/IVA/ MCMS/MWST/FPA number here: Payment is required prior to the event. If you require an invoice please inform us stating whether you need an original or a fax copy. We accept company cheques, credit cards and bank transfers. Please allow a minimum of seven working days for a bank transfer to reach us and phone or fax us when it has been sent. Please state the event name and delegate name to which it relates. Book now call +44 (0) fax +44 (0)

8 Your fee Your registration fee includes morning/afternoon refreshment, lunch and your documentation pack. Book online or fax the completed form with your credit card details, or follow up the provisional reservation with a cheque made payable to Incisive Financial Publishing Ltd. In order that we process your registration with maximum efficiency, we request that a copy of this booking form accompanies your payment. Subscriptions If you currently don t subscribe to Risk magazine please contact karen.griffith@incisivemedia.com for more information Accommodation Please see website for more information Customer Services Market and credit risk management for energy London Office mail ConferenceAdministration, Incisive Media, Haymarket House, Haymarket, London, SW1Y 4RX, UK call +44 (0) fax +44 (0) training.delegates@incisivemedia.com US & Canada Office mail ConferenceAdministration, Incisive Media, 55 Broad Street, 22 Floor, NewYork, NY10004, USA call +1(646) fax +1 (646) training.delegates@incisivemedia.com Warning: Risk is a registered trademark, and the title, contents and style of this brochure are the copyright of Incisive Media. We will act on any infringement of our rights anywhere in the world. Incisive Media. Cancellation: A refund (less 10% administration fee) will be made if notice of cancellation is received in writing three weeks before the event. We regret that no refunds can be given after this period. A substitute delegate is always welcome at no extra charge. Disclaimer: The programme may change due to unforeseen circumstances, and Incisive Media reserves the right to alter the venue and/or speakers. Incisive Media accepts no responsibility for any loss or damage to property belonging to, nor for any personal injury incurred by, attendees at our conferences, whether within the conference venue or otherwise. *All discounts must be redeemed when booking, discounts will not be valid or applied after this time. Incisive Financial Publishing Ltd reserve the right to decline any discount offers and this offer cannot be used in conjunction with any other offer. Incorrect mailing, data protection: If any of the details on the mailing label are incorrect, please return the brochure to our database administrator at Incisive Media so that we can update our records and ensure that future mailings are correct. Please find our mailing address and fax details above. By registering for this training course, Incisive Media* will send you further information relating to this event. In addition we will send you information about our other relevant products and services which we believe will be of interest to you. If you do not wish to receive other relevant information from Incisive Media via a particular medium please tick the following relevant boxes: Mail Phone Fax . Incisive Media will also allow carefully selected third parties to contact you about their products and services. If you do not wish to receive information from third parties via any of the following media please tick the relevant boxes: Mail Phone Please tick if you are happy to receive relevant information from carefully selected third parties by and Fax. Please remember that if you choose not to receive other literature you may miss out on some exclusive offers. *For a list of companies included in Incisive Media please see our website