Energy Risk Modelling
Telephone: +47 22 99 42 00
Information will come.
13-14 May 2020
Seminar: EUR 1,695
for the whole event includes workshop, course slides, notes, data, excel
applications, references to books and articles within energy risk
not included in the price.
If you have any questions, please contact:
Morten Hegna, Montel AS
+47 917 57 662
Professor Sjur Westgaard
Department of Industrial Economics and
Norwegian University of Science and Technology
NO- 7491 Trondheim, Norway
Phone: +47 73 59 31 83 or +47 971 22 019
Webinar, 13-14 May
Join our new Webinar on Energy Risk
This two-day in-depth workshop is
dedicated for risk management professionals, analysts and traders
wanting to gain insights into risk modelling of energy markets.
Improve your risk management practice.
Liberalisation of power and fuel markets has fundamentally changed the
way power companies do business. Competition has created both strong
incentives to improve operational efficiency and the need for effective
risk management. Measuring and modelling Value at Risk and Expected Tail
Risk is an essential part of this field.
Learn how to
measure and model risk in energy portfolios.
energy markets, combined with complex trading and hedging portfolios has
increased the need for measuring risk of individual contracts as well as
for whole portfolios. Enterprise risk management (ERM) at a corporate
level has also become important. Understanding the dynamics and
determinants of volatility, correlation and risk in energy markets will
therefore be essential. There has been some recent huge trading losses
in oil, gas and electricity futures markets that highlight the need for
financial risk management of both single positions as well as calendar
and cross commodity spreads.
Risk and return
characteristics of energy spot futures markets.
addin from Montel
Cases from European energy futures and spot markets
(Nordic, German, UK, and more)
Volatility and Correlation
Value at Risk (VaR)
Factor models for electricity spot markets.
How to model spot price and spot price distributions. How
fundamentals like fuel prices, forecast of demand and supply, wind and
influence the price formation. How the sensitivities to
fundamentals changes over time and over the levels of electricity
prices. How to model and predict the price distribution.
Case study: The German electricity spot market.
applied: Static regression analysis, Rolling regression analysis,
trading models for energy futures
Trend strategies involving
one energy commodity
Spread trading strategies between energy markets
(calendar spread and cross commodity spreads)
and risk in trading positions
Case studies recent trading
losses in oil, natural gas and electricity futures and option markets
(China Aviation Oil, Amaranth, Bank of Montreal, Einar Aas,
Modeling volatility and correlation in
Moving average models for volatility and
Models based on implied volatility
Models based on intradaily data
'Value at risk' models
for energy commodity portfolios:
Parametric VaR models (Risk
Metrics and others)
Extreme Value Theory (EVT) models
Non-Parametric VaR models (Historical simulation/Filtered historical
Semi-Parametric VaR models (Quantile regression)
Stress testing and scenario analysis
VaR Model risk
Modelling joint wind and price risk with
Pitfalls of correlations
Capturing different marginal distributions, assymetric tail
behaviour and complex non-linear features
Simulation and risk
analysis using copulas
Case: Danish wind production and prices
Data/Excel cases are given for each lecture and handed out
together with power point presentations before the seminar starts.
The participant will receive:
- References to books and article within energy risk
The course will be held in English
Terms and conditions
Payment due within 20 days from received invoice. If you are prevented
from coming, a colleague can take your place. If you have to cancel your
registration one month before the event, an administration fee of 10%
will be charged. If the cancellation takes place one month and closer to
the conference, total amount will be charged. However, you will receive
a free place to a future Montel-event. Cancellations have to be in
View more Montel events here
Who should attend?
About the lecturer:
Professor Sjur Westgaard is a MSc and Phd of
Industrial Economics from Norwegian University of Science and Technology
and a MSc of Finance from Norwegian School of Business and Economics. He
has previously worked as an investment portfolio manager for an
insurance company, a project manager for a consultant company and as a
credit analyst for an international bank. Currently he is professor at
the Norwegian University of Science and Technology and an Adjunct
Professor at the Norwegian University of Life Sciences – Center for
Commodity Market Analysis. His teaching involves corporate finance,
derivatives and real options, empirical finance and financial risk
management. He is one of the founder and editor of Journal of Commodity
Markets. He is also an associate editor of Journal of Energy Markets and
Journal of Banking and Finance. His main research interest include risk
modelling of energy markets. He has recently also been a project manager
for two energy research projects involving the research counsil of
Norway, power companies, and academic institutions in Europe.