6-8 Nov 2023
|10:00am-1:00pm (New York) / 15:00-18:00 (London)
||Zoom: Americas to Europe
||USD 1,795 (DPH3V-VILTNA23-11)
6 Oct 2023
18-20 Dec 2023
|9:00AM - 12:00PM (Singapore)
||USD 1,795 (DPH3V-VILTAP23-12)
||17 Nov 2023
*Prices do not include VAT, GST, or any other local taxes. All applicable taxes will be added to the invoice.
**Please register by the deadline to help us ensure sufficient attendance and avoid postponing the course.
This highly applied and practical energy training course is designed for energy risk practitioners interested in enhancing their knowledge of best practices in valuation, hedging and risk management of derivatives portfolios.
Delegates are introduced to the most commonly used derivatives pricing models in energy trading organizations such as closed-form solutions and Monte Carlo simulation. The main price processes for energy risk analysis such as Geometric Brownian Motion and Mean-reverting models are illustrated with pricing and risk analysis examples.
This advanced trading course builds on the concepts introduced in DPH1 and DPH2 and explores advanced strategies used to price, hedge and manage the risk of derivatives in leading energy trading organizations. Delegates learn about the practical applications of the models and strategies from the point of view of users of those models, not the quantitative developers.
Advanced market risk management topics such as marginal VaR analysis and Extreme Value Theory (EVT) as well as risk risk metrics such as Earnings at Risk (EaR), Cash Flow at Risk (CFaR) and Economic Capital are covered with practical examples. Several case studies illustrate how to set an effective system of risk limits and risk-adjusted performance measurement.
DPH3 also covers best practices in counterparty risk management. Metrics such as Potential Future Exposure (PFE) and Credit Valuation Adjustments (CVA) are introduced in the context of contract valuation and risk charges.
301: Energy Price Behavior: Overview of Spot and Forward price models
302: Introduction to Derivatives Pricing Models
303: Market Risk Management: Marginal VaR analysis and Attribution
304: Enterprise Risk Management and Key Risk Indicators (KRIs)
-Risk Metrics and Enterprise Risk Management
-Value and flow metrics: Main uses and differences
-Earnings at risk, Cash Flow at risk and Gross Margin at risk for multiple maturities
-Margin-at-risk calculation and liquidity risk management
-Excel Case study: Multi-step Earnings at Risk calculation for an energy producer
-Economic capital and RAROC
-Case Study: Calculation of economic capital and pre-trade risk charges
305: Counterparty Risk Management
-Counterparty risk trading in energy trading
-Estimating default probabilities and internal rating systems
-Current Exposure, Expected Exposure vs. potential future exposure
-Potential exposure and the role of margin, collateral and settlements.
-Excel case study: Calculating PFE for Commodity Swaps and Physical Forwards
-Counterparty Valuation Adjustments (CVA)
306: Advanced Valuation topics in pricing and hedging
-Pricing options with volatility surfaces
-Stochastic volatility models in commodity markets
-Case study: Simulating forward prices with stochastic volatility
-Valuation and hedging of exposures with volumetric risk: Understanding Gamma risk
-Demand-driven uncertainty and volumetric risk (e.g. weather-driven loads)
-Supply-driven uncertainty and volumetric risks (e.g. renewables, operations risks)
-Case study: Hedging strategies for wind and solar generation