13-15 Sep 2022
|9:00am - 12:00pm SGT
12 Aug 2022
24-26 Oct 2022
|10:00am-1:00pm (New York) / 15:00-18:00 (London)
||Zoom: Americas to Europe
||23 Sep 2022
*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 virtual instructor-led course provides an overview of energy price behavior, and applied probability and statistics using Excel exercises with hands-on calculations. After introducing the building blocks of risk analysis, multiple exercises show how to calculate volatilities, correlations, Value at Risk and other risk metrics. It is an intermediate course for professionals interested in improving their knowledge of energy derivatives hedging and risk management.
Delegates explore some of the main tools 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 derivatives instruments for basis risk management such as basis swaps and spread options and the use of correlation and regression to identify and measure basis risks. Case studies show to hedge in illiquid markets using proxy hedges.
The use of option strategies such as costless collars, 3-way collars, straddles and structured products is shown in an applied context, with emphasis on benefits and limitations in comparison to other hedging instruments.
The main option "Greeks' (Delta, Gamma, Vega and Theta) are also presented using practical exercises and main uses.
Recommended prior course: DPH1, DPH1V or basic knowledge of energy markets, futures, swaps, forwards and options. Please note: an up-to-date version of Microsoft Excel is required in order to engage in market data.
Energy Price Behavior, Probability and Statistics
Market Risk Management for Energy Trading
Stress Testing and Backtesting for Energy and Commodity Firms
Basis Risk Management and Derivatives in Energy Markets
Analysis of Derivative Strategies
Understanding option sensitivities through the "Greeks"