Market and credit risk management for energy portfolios

London
27 & 28 November 2014

Learning outcomes:

  • What constitutes a "best-in-class" risk management division within an energy company?
  • The types and relevance of available risk metrics
  • How to generate forward curve scenarios with single and multi factor models
  • Pros and cons of the different value-at-risk (VaR) metrics
  • How to simplify physical assets and complex contracts for inclusion into VaR calculations
  • Analysis of the different types of cashflow based risk metrics: cashflow-at-risk, profit-at-risk, gross margin-at-risk, revenue-at-risk and earnings-at-risk
  • Analysis of credit risk measures including potential future exposure and credit VaR

Testimonials

"The Lacima guys always strive to give great value, and over the years I've never seen them fail. This time was no exception" - Michael Biafore, Principal (volatility trading), BARCLAYS

Course tutors

LONDON

Dr Chris Strickland
Director, LACIMA GROUP

Pierre Lebon
  Senior Consultant, LACIMA GROUP

Course highlights:

  • Understand the strengths and weaknesses of the key market and credit risk metrics
  • Incorporate physical assets into value-at-risk calculations
  • Combine physical assets and complex contracts into cash flow based risk metrics
  • Use cash flow-at-risk to measure the effectiveness of hedging strategies
  • Credit risk metrics for energy portfolios
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