Risk modelling picture

Energy Risk Modelling

Telephone: +47 22 99 42 00




Information will come.



13-14 May 2020


Seminar: EUR 1,695

The price for the whole event includes workshop, course slides, notes, data, excel applications, references to books and articles within energy risk modelling.


VAT is not included in the price.



If you have any questions, please contact:

Morten Hegna, Montel AS
-mail: mortenh@montelnews.com

Phone: +47 917 57 662

Professor Sjur Westgaard
Department of Industrial Economics and Technology Management
Norwegian University of Science and Technology
NO- 7491 Trondheim, Norway
Phone: +47 73 59 31 83 or +47 971 22 019
E-mail: sjur.westgaard@iot.ntnu.no

web: www.iot.ntnu.no/users/sjurw



Energy Risk Modelling

Webinar, 13-14 May


Join our new Webinar on Energy Risk Modelling!
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.
More volatile 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.

Workshop programme:

Day 1:

Risk and return characteristics of energy spot futures markets.
Excel data addin from Montel
Cases from European energy futures and spot markets (Nordic, German, UK, and more)

Risk measures:
Volatility and Correlation
Value at Risk (VaR)
Expected Tail Loss (ETL)

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 solar
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.

Methods applied: Static regression analysis, Rolling regression analysis, Quantile regression.

Day 2:

Statistical trading models for energy futures
Trend strategies involving one energy commodity
Spread trading strategies between energy markets (calendar spread and cross commodity spreads)
Measuring performance 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, Optionsellers.Com)

Modeling volatility and correlation in energy markets
Moving average models for volatility and correlation
GARCH models
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 simulation)
Semi-Parametric VaR models (Quantile regression)
Stress testing and scenario analysis
VaR Model risk
Backtesting of VaR models

Modelling joint wind and price risk with copulas.
Pitfalls of correlations
Introduction to copulas
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:
- Course slides
- Notes
- Articles
- Data
- Excel applications
- References to books and article within energy risk modelling

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 writing.






View more Montel events here



Who should attend?

Portfolio managers

Production planners
Risk managers


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.