Quantifying Energy Exposure:
Practical Risk Management Techniques

London 29 & 30 May 2014

Course Highlights:

  • Calculation of Value-at-Risk (VaR)
  • Undertake Monte Carlo Simulations
  • Implementing Expected Shortfall
  • Conducting Stress Tests
  • Identifying and Managing Model Risks
  • Asset and Portfolio Management

Learning outcomes:

  • Quantification of Risk; measuring exposures with excel
  • Calculation of exposures, and its interpretation
  • Quantification methods; practical approaches
  • Value-at-Risk; What is it? How it is applied
  • Varity of Value-at-Risk approaches
  • Advantages and limitations of the VaR methodology
  • Stress Testing; Why? How? 
  • Correlation; Its application and limitations
  • Expected shortfall; Conditional VaR; What is it? How must it be interpreted? How to calculate it?
  • Implications of changes in volatility
  • Implications of the lack of changes in liquidity

Course tutors

Jerry de Leeuw



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April - June 2014 Training Brochure