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DAY ONE - London Thursday 23 September 2010
8:30 Coffee and registration
09:00 Alternative metrics to VaR in energy market risk measurement
- Why measure risk? What is risk used for in managing value and growth potential in a company?
- What measures are available and what do they provide?
- What are the differences between value based and cash flow based metrics ?
- Value based risk types and their pros and cons
- Cash flow based risk types and their uses
- Different risk measures for different situations – it all depends what is being measured.
- Extending the use of risk measurement to add value
- So is it a question of company type or of what is being measured?
Dr Robert Dykstra, Principal Consultant, Lacima Group
10:30 Morning break
11.00 Scenario analysis and stress testing as tools to manage market risk
- Formal role of stress testing as required in best practices
- Recent developments from the financial crisis 2007-2010
- How stress testing supplements other risk metrics
- Managing paradigm-shifts: recent examples in energy
- Stress testing and extreme value theory
- Principles for devising stress tests
- Examples of vital stress tests for current market conditions
- Role of scenario analysis in risk management
- Structured approach to scenario development
Nick Perry, Consultant and former board member at Enron Europe Ltd, Perry Energy Services Ltd
12:30 Lunch
13.30 Coping with changes in market liquidity
- Examining key factors which affect market liquidity in energy markets
- Assessing what risks are present and their cost to energy trading firms
- Identifying how to estimate market liquidity
- Step by step process to constructing a liquidity VaR model
Speaker to be confirmed
15.00 Afternoon break
15.30 Valuable tools to assess credit exposure
- Business need for PFE and CVaR
- Contract basics for collateral and margining
- Stochastic treatment of prices
- Netting groups
- Credit VaR and Potential Future Exposure (PFE)
- Collateral at Risk
- Case studies
Jay Lindgren, Managing Consultant, PA Consulting
Charles Breeden, Managing Consultant, PA Consulting
17.30 End of day one
DAY TWO - London Friday 24 September
8:30 Coffee and registration
9.00 Analysing credit worthiness: a best practice model
- Relevant information by type of trading entities
- Analysing internal and external ratings
- Approval structures
- Contractual mitigation
- Monitoring the risks over the life of a contract
Christophe Idareci, Credit Risk Manager, RWE Trading
10:30 Morning break
11.00 The changing regulatory landscape and its impact on risk managers
- Analysing the proposed CFTC position limits
- The practicalities of mandatory exchange trading and central clearing
- Assessing the impact of increased capital and collateral requirements
- Advantages and disadvantages
- Trade repositories
- Central clearing
- Impact on “end users” and examining exemptions from clearing
- - Painting a picture of the overall impact on market and credit risk management practitioners
Karl-Peter Horstmann, Market Design and Regulatory Affairs, RWE Trading
12:30 Lunch
13.30 Analysing significant integrations between market and credit risk
- The key elements of integrated market and credit risk analysis
- The integration of credit (CVaR) and market (VaR)
- Stress testing collateral on instruments exposed to market risk
- Impact of market risk movements on a counterparty’s credit quality
- The role of liquidity in market and credit analysis
- Consolidating market and credit risk management on a day to day basis
Speaker to be confirmed
15:00 Afternoon break
15.30 Moving towards a consolidated approach to managing risk
- Evolution of Holistic Energy Risk Management
- Core elements that drive Enterprise Risk Management
- Credit Risk considerations
- Market Risk considerations
- Operational Risk considerations
- Consistency in approach – The key issue
- Stakeholder value
- Regulatory influences
- Capital efficiencies
- Summery
Tony West, Director of Business Consulting, Sapient
Sunilkumar Ramakrishnan, Senior Manager, Sapient
