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This intermediate course is aimed at the energy professional who
is familiar with energy derivative products but who requires an
understanding of the theory and calculation of Value at Risk for
energy derivative portfolios. The Excel based computer workshops
deal with oil and gas as well as electricity derivatives.
At the completion of the day participants leave with a diskette
containing answers to all the workshops as well as valuable VB
code for pricing and simulation.
COURSE OUTLINE
Day 1, AM : Understanding the VaR methodologies
and issues
- What is VaR?
- Uses of VaR
- Types of VaR methodologies
- Implications of applying the RiskMetrics assumptions in energy
markets
- Delta VaR, historical simulation
- Linear and Non Linear instruments
Workshop: Applying simple VaR methodologies in the energy market
Day 1, PM : Calculation of Energy portfolio
VaR using simulation
- Modelling the energy forward curve - single and multi-factor
- Modelling the joint behaviour of different energies simultaneously
- Calculation of covariances and correlations
- Incorporating jumps
- Detailed example VaR calculation for an energy portfolio
Workshop: Simulating energy forward curves and calculation of
VaR for an energy portfolio.
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Overview
