Course highlights Apply the latest approaches for modelling energy prices Practical lessons on calibrating models and implementing Monte-Carlo simulations Value generation assets Hedge portfolios of generation assets with standard contracts Implement risk metrics across physical and financial portfolios Highly interactive, workshop-based training incisive-training.com/generationasset Generation Asset Analytics and Risk Management
Generation Asset Analytics About the course Real options have been widely applied in many industries to analyse investment planning and asset valuation under uncertainty. Generation assets can be treated as real options. They have uncertain cash flows along with operational flexibility which can be used to maximise their value. However, generation assets also have some of the most complex operational constraints. These constraints make it difficult for energy organisations to accurately value their whole fleet of power plants and to know how their operation will affect the distribution of their earnings, cash flows and revenues. Operational constraints have been traditionally difficult to incorporate into at-risk calculations. Furthermore, it can be a challenge to achieve valuation and risk analysis across an entire portfolio of generation assets. This practical two day course is essential for gaining an overview of different price models and numerical techniques to allow you to value and manage a portfolio of thermal, wind, and hydro generation assets along with standard power contracts. You will learn how to delta hedge assets, calculate a variety of risk metrics such as Value at Risk, Earnings at Risk, Potential Future Exposure, and how to analyse these risk metrics. By the end of the course, Lacima s tools will help you to more effectively manage portfolios of generation assets. Who should attend? Heads, directors, managers and business analysts of: Quantitative analysis Risk management Risk modelling Structuring Valuation Power asset optimisation Portfolio optimisation Learning outcomes The latest methodologies for modelling energy prices, including single factor, multi factor and hybrid models Explore various numerical techniques to value options, model assets and measure risk Effectively analyse wind and hydro assets How to treat generation assets as real options Determine the effects of operational constraints and emissions on the value of generation assets Measure the risk in portfolios that contain generation assets and financial contracts Accurately calculate important risk metrics such as value at risk, earnings at risk, revenue at risk, gross margin at risk and potential future exposure Gain practical experience in using industry leading models developed by Lacima Book now call +44 (0) 207 968 4553 / +1 (646) 736 1854
Generation Asset Analytics About the tutor 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 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 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. About Lacima Group Lacima Group 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 portfolios 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 www.lacimagroup.com or email info@lacimagroup.com Book now call +44 (0) 207 968 4553 / +1 (646) 736 1854
Generation Asset Analytics 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 Carty helen.carty@incisivemedia.com Coming up in 2012 & 2013 The fundamental review of the trading book London 23 November 2012 incisive-training.com/tradingbook How to construct and execute stress tests in the current regulatory environment Toronto 26 & 27 November 2012 incisive-training.com/stresstesting Living Wills International co-ordination of recovery and resolution plans London 28 November 2012 incisive-training.com/livingwills Challenges of new bank resolution regimes under Dodd-Frank New York 30 November 2012 incisive-training.com/livingwillsny Patrick Hagan on Fixed Income London 5 & 6 December 2012 New York 12 & 13 December 2012 Incisive-training.com/patrickhagan Generation Asset Analytics and Risk Management London 6-7 February 2013 incisive-training.com/generationasset Collateral Management & Client On-Boarding: practical guidelines for the adoption of central clearing London 13 & 14 February 2013 New York 20-21 February 2013 incisive-training.com/collateral The fundamentals of operational risk for financial institutions London 20 & 21 February 2013 New York 20 & 21 February 2013 Incisive-training.com/public Book now call +44 (0) 207 968 4553 / +1 (646) 736 1854
in Generation Asset Analytics Day 1 0830 Registration and coffee 0900 Implementing models and numerical techniques Lessons from the data: Power, gas, oil and other fuel prices Temperature, wind Load/bid stacks Overview of modelling approaches Single-factor models Multi-factor models Hybrid models Parameter estimation Volatility, mean reversion, jump parameters Numerical techniques Simulations Trinomial trees 1030 Morning break Least squares Monte -Carlo 1100 Workshop: calibrating models and implementing Monte-Carlo simulations 1230 Lunch How to estimate mean reversion parameters How to estimate jump parameters How to estimate spot volatility Implementing Monte-Carlo for mean reverting models Implementing antithetic techniques 1330 Valuing generation assets part 1: basic concepts and valuation of thermal generation assets Understanding the concept of generation assets as real options Operational parameters of generation assets Impact of running regimes on modelling requirements Methods for valuing thermal generation assets Spark spread options Using Monte-Carlo simulation techniques Stochastic dynamic programming Least squares Monte-Carlo methods Advantages and disadvantages of each method Spark spread options Intrinsic and extrinsic value How to apply the spread option approach to value generation assets Incorporation of emissions How to apply Monte-Carlo simulation techniques Implementing real thermal unit properties 1500 Afternoon break 1530 Workshop: valuing thermal generation assets How to value generation assets as a portfolio of analytic spread options How to incorporate emissions Monte Carlo evaluation of a spark spread generator model Monte Carlo evaluation with antithetic sampling of a spark spread generator Monte Carlo evaluation of a dual fuel unit 1700 End of day 1 NB: A laptop with excel is required for the practical workshop sessions Book now call +44 (0) 207 968 4553 / +1 (646) 736 1854
in Generation Asset Analytics Day 2 0830 Registration and coffee 0900 Valuing generation assets part 2: approaches to value wind and hydro assets Modelling wind generation What the data tells us Implementing a single unit Implementing a wind farm Types of hydro generation assets Run of river Pump storage Single reservoir Multiple reservoir and cascaded systems Methods for valuing hydro generation assets as real options Using stochastic dynamic programming Monte-Carlo simulation techniques 1330 Hedging and risk management How to hedge generation assets Delta hedging Static hedging with portfolios of options How to define and calculate key risk metrics Value-at-risk Earning-at-risk/revenue-at-risk/gross margin at risk Potential future exposure 1500 Afternoon break 1530 Workshop: delta hedging generation assets Delta hedging of heat rate options How to calculate deltas for generation assets Earnings-at-risk for full requirements contracts 1700 End of course 1030 Morning break 1100 Workshop: valuing wind and hydro assets Monte-Carlo evaluation of a wind generator Monte-Carlo evaluation of a hydro generator 1230 Lunch Book now call +44 (0) 207 968 4553 / +1 (646) 736 1854
Generation Asset Analytics and Risk Management Registration & payment details I would like to book: Price Early Bird 1 Early Bird 2 Standard (before 7 December 2012) (before 11 January 2013) (after 11 January 2013) London 2209.15* 2339.10* 2599.00* New York $3654.15 $3869.10 $4299.00 Risk magazine subscribers save 20%. Please add your subscriber discount below: *Price excludes VAT@20% (Discounts cannot be combined) Please complete the form below in BLOCK CAPITALS. Email Title First name Family name Job title / Position Department Company Address City Post/zipcode Country Telephone (direct) Telephone (main) Fax Approving manager Training manager London 4384/13 New York 4385/13 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 7569 78165 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) 207 968 4553 / +1 (646) 736 1854 fax +44 (0)20 7504 3730
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