Managing market and credit risk in energy trading

London
23 & 24 September 2010

New York
29 & 30 September 2010

***** DO NOT ENTER ANYTHING HERE OR REMOVE THIS BLOCK. THIS IS A HACK TO USE STYLESHEET TO CONTROL THE LAYOUT ****

Learning outcomes:

By the end of the course delegates will gain a deeper understanding of how to measure and manage market and credit risk through various metrics and risk management tools. You will also gain an insight into how the changing regulatory landscape will impact the day to day work of practitioners, as well as methods to cope with changes in market liquidity.

Specifically delegates will receive knowledge about:

• How to conduct PFE and CVaR calculations
• The process of constructing a liquidity VaR model
• How market movement can impact a counterparty's credit quality
• The role of scenario analysis in market risk management
• How stress testing supplements other risk metrics
• Impact of OTC derivative regulatory reforms on hedging

Course dates & venues

Course tutors

LONDON

Christian Ferrer

Vice President, Global Commodities, Bank of America Merill Lynch

Jay Lindgren
Managing Consultant, PA CONSULTING

Charles Breeden
Managing Consultant, PA CONSULTING

Christophe Idareci
Credit Risk Manager, RWE TRADING

Nick Perry
Former board member at Enron Europe Ltd, PERRY ENERGY SERVICES LTD

Karl-Peter Horstmann
Market Design and Regulatory Affairs, RWE TRADING

Tony West
Director of Business Consulting, SAPIENT

Dr Robert Dykstra
Principal Consultant, LACIMA GROUP

Sunilkumar Ramakrishnan
Senior Manager, Trading and Risk Management, SAPIENT

NEW YORK

Charles Breeden
Managing Consultant, PA CONSULTING

Jay Lindgren
Consultant, PA CONSULTING

Annoop Kapoor
Director, Commodity Risk Management, FIRST ENERGY CORPORATION

Michael Carter
Director, Credit Risk, EDF ENERGY

Howard Friedman
Senior Manager, DELOITTE & TOUCHE LLP

Bill Hederman
Energy Analyst, DELOITTE & TOUCHE LLP

Ehud Ronn
Lead Modeller, Commodities, MORGAN STANLEY

Brian O'Neil
Risk Management and Hedge Strategy, ECO RISK MARKETS LLC

Randy Wilson
Renewables and Sustainability Strategy, ECO RISK MARKETS LLC

Course highlights:

• Effective use of credit value at risk (CVaR) and potential future exposure (PFE)
• Examination into key market risk metrics including price at risk (PaR), earnings at risk (EaR) and cash flow at risk (C-FaR)
• The impact of central clearing on energy trading firms
• Best practice scenario analysis and stress testing
• How to cope with changes in market liquidity
• Integrations between market and credit risk