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Course Level
Delivery Method
Classroom Instructor-Led Course
Professional Development Credit Hours
Recommended: Introduction to Derivatives Markets, Hedging and Risk Management or equivalent knowledge.

"The course was very informative.   I liked that we spent the time to go through the building blocks before diving into more complicated examples.   I also liked the hands-on method of engaging the material in excel." Elbow River Marketing


Dr. Carlos Blanco is a financial risk management expert with over 20 years of diverse experience in energy markets. He has worked with some of the largest energy and commodity market firms worldwide providing educational, advisory services and software solutions.

He is the managing director of analytic solutions for Ascend Analytics. He has advised risk groups and senior management in oil, gas, power, mining and trading firms on various matters related to the risk management process including risk policy, hedging strategy, risk model development and validation, risk appetite and risk metrics.

Dr. Blanco is an active faculty member for Mennta Energy Solutions since 2004, and he has conducted a wide range of energy derivatives hedging, pricing and risk management seminars worldwide. A frequent conference speaker and writer, he has coauthored over 150 articles for Energy Risk Magazine, Commodities Now, Energy Metro Desk, Oil and Gas Journal and others.

He is a former VP Risk Solutions at Financial Engineering Associates, Inc (a MSCI/BARRA Company), where he managed the market risk suite of products as well as the firm's product support and professional services group. He also taught finance at the University of California, Berkeley, and the ABN AMRO Academy. He is a former VP Risk Solutions at Financial Engineering Associates, Inc (a MSCI/BARRA Company), where he managed the market risk suite of products as well as the firm’s product support and professional services group. He also taught finance at the University of California, Berkeley, and the ABN AMRO Academy. Dr. Blanco was recently awarded the GARP Sustainability and Climate Risk (SCR) certification.


NASBA: Mennta Energy Solutions is registered with the National Association of State Boards of Accountancy (NASBA) as a sponsor of continuing professional education on the National Registry of CPE Sponsors. State boards of accountancy have final authority on the acceptance of individual courses for CPE credit. Complaints regarding registered sponsors may be submitted to the National Registry of CPE Sponsors through its web site:

CPD Certification Services: The CPD Certification Service works with Mennta Energy Solutions to ensure valuable knowledge is structured to complement the universal guidelines of Continuing Professional Development. Mennta Energy Solutions courses are approved by CPD at one credit per training hour.

GARP: Mennta Energy Solutions is registered with GARP as an Approved Provider of Continuing Professional Development (CPD) credits.

Intermediate Derivatives Markets, Hedging and Risk Management (CLASSROOM) - DPH2

Course Schedule

Date Time Location Price* Registration Deadline**
3-4 Jul 2024
London, UK
GBP 3,050 (DPH2-ALDN24-07)
31 May 2024

*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.

Course Summary

Intermediate Derivatives Markets, Risk Management and Hedging is a two-day instructor-led program presented by the energy training experts at Mennta Energy Solutions. This is an intermediate course for professionals interested in improving their knowledge of energy derivatives instruments, trading, hedging and risk management. 

Delegates will learn how to capture the main characteristics of energy price behavior in valuation and risk models using applied probability and statistics. After introducing the building blocks of risk analysis, multiple exercises show how to calculate volatilities, correlations, Value at Risk and other risk metrics with hands-on calculations in Excel. 

The course explores market risk management of energy derivative portfolios with emphasis on risk limits and setting up an effective control framework. Delegates will learn to calculate and interpret some of the main metrics used to manage and report market risk in energy portfolios such as VaR, Stress Tests and Backtesting. Various hands-on case studies show the step-by-step calculations for Variance-Covariance, Monte Carlo and Historical Simulation VaR for energy portfolios. 

The course also covers basis risk management with basis swaps and spread options and the use of correlation and regression to identify and measure basis risks. Case studies will explore how establish proxy hedges in illiquid markets using commonly traded benchmarks.

Advanced option strategies like costless collars, 3-way collars, straddles and other structured products are shown in an applied context, with emphasis on understanding the benefits and limitations in comparison to other hedging instruments. 

The course also explores the main option “Greeks’ (Delta, Gamma, Vega and Theta) using practical exercises and applications for trading, hedging and risk management. We will also show how to conduct Profit and Loss decomposition for an energy derivatives book using Greeks.

Delegates will also learn how to identify optimal hedges at the portfolio level using different risk metrics and how to implement a delta-hedging strategy in the context of asset-back trading with optionality. 

Please note: a laptop and up-to-date version of Office would be an advantage in order to engage in market data; however it is not essential.

Who Should Attend?

  • Market risk managers
  • Energy traders
  • Trading managers
  • End-users of derivatives in corporations
  • Credit risk analysts
  • Risk consultants
  • Risk and audit committee members
  • CFOs and treasury managers
  • Finance department personnel
  • Compliance managers
  • Middle and back-office personnel
  • Treasurers and treasury analysts
  • Chief risk officers

Course Content

201: Review of Energy Price Behavior, Probability and Statistics

  • Overview of energy price behavior; seasonality; mean reversion; spikes
  • Volatility structure in energy markets; spot vs. forwards
  • Probability distributions; moments of a distribution, histograms.
  • Excel exercises with hands-on calculations of volatilities, correlations
  • Introduction to Monte Carlo simulation in Excel using normal distributions
  • Case study: VaR calculation for a single exposure.
  • Calculating and interpreting rolling window volatilities and correlations in Excel

 202:  Market Risk Management for Energy Trading (I)

  • Best practices of market risk management in energy markets
  • Market risk policies and procedures: Key components and effective oversight
  • Case study: interpretation of market risk disclosures for large energy firm
  • Understanding VaR and Expected tail loss (ETL)
  • A simple way to calculate VaR: Top Down Approach
  • Risk limits and risk reports
  • Backtesting market risk models
  • Oil, power and gas specific issues

203: Market Risk Management for Energy Trading (II)

  • VaR methodologies
  • Choice of confidence level and horizon
  • Excel Case Studies for energy portfolios
    1. Analytic or Variance Covariance VaR. 
      • Review of Matrix Multiplication in Excel
    2. Monte Carlo Simulation
      • Geometric Brownian Motion
      • Simulating correlated market prices
    3. Historical simulation
  • Comparative Analysis of VaR methodologies

204: Stress Testing and Backtesting  for Energy and Commodity Firms

  • Designing and conducting stress tests for energy portfolios
  • Why do we need to conduct stress tests to manage certain energy exposures?
  • Benefits and limitations of stress tests
  • Group exercise: Creating and presenting stress test reports 
  • Integrating stress tests in the risk modeling process
  • Reverse stress tests for energy portfolios
  • Stress tests for crude and products; gas; electricity

205. Analysis of Derivative Strategies

  • Review of key option concepts.
  • Zero-cost collars. Uses and misuses. 
  • Case Study: Using Zero Cost Collars in a Hedging Program
  • Call and Put spreads. Main uses
  • Three-way Collars: Aggressive vs. Conservative strategies
  • Volatility Plays: Straddles and Strangles
  • Comparing the risk and benefits of various hedging strategies

206: Understanding option sensitivities through the "Greeks"

  • Review of Black-76 and valuation of options
  • Option Greeks: Definition, calculation and main uses
  • Sensitivity vs. Price: Delta and Gamma
  • Volatility exposure and Vega
  • Theta and time decay.
  • Case study: calculating and visualizing "Greeks" in Excel
  • Analyzing the dynamics of delta, gamma and vega for a straddle position
  • Taylor series expansions and the use of Greeks to conduct P/L decomposition
  • Case Study: Identifying price and volatility views using P/L decomposition

207: Basis Risk Management and Derivatives in Energy Markets

  • Types of basis risk
  • Managing basis risk with basis swaps
  • Case study: Managing NYMEX/ICE basis risk with OTC basis swaps
  • Hedging with futures and basis swaps 
  • Understanding and using correlation in valuation and risk measurement. 
  • Case study: Spread option valuation and Greeks 
  • Optimal hedge ratios: Calculations, uses and limitations
  • Case study: Best hedges and trade risk profiles using risk metrics
  • Hedge Effectiveness Criteria. Ex-ante vs. Ex-post Tests.

208: Integrated market risk management and decision support

  • Market Risk metrics: Review of VaR methodologies.
  • Excel case study: Comparative Analysis of VaR methodologies for sample portfolio
  • VaR for option portfolios using simulation vs. delta-normal method
  • Asset-backed Trading and Implied Market Views
  • Delta hedging in asset-backed trading: Practical considerations
  • Case study: Cargo arbitrage with destination options: Position reports, delta-hedging and valuations 

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