DAY ONE - Wednesday 29th September 2010

09:00 Coffee and registration

09:30 Scenario analysis and stress testing as tools to manage market risk

  • Formal role of stress testing as a best practice:
    • Supplements to other risk metrics
    • Enterprise risk concerns
    • Integration of credit and market risks
  • Post-crisis updates to stress-testing practices:
    • On- and off-balance sheet risks,
    • Market impacts on firm liquidity
    • Extreme value theory
  • Stress-testing principles:
    • Construction
    • Frequency and distribution
    • Back-testing
    • Managing paradigm shifts
  • Structured approach to scenario development:
    • Defining risks
    • Integration with financial statement metrics
    • Case study

Brian O'Neil, Risk Management and Hedge Strategy, Eco Risk Markets LLC

11:00 MORNING BREAK

11:30 Coping with changes in market liquidity

  • Factors contributing to market liquidity
  • Anticipated Dodd-Frank effects
  • Liquidity risk and related costs
  • SFAS-157 implications
  • Counterparty credit implications
  • Estimating liquidity and managing liquidity risks

Randy Wilson, Renewables and Sustainability Strategy, Eco Risk Markets LLC

13:00 LUNCH

14:00 Developing a risk management strategy at the corporate level

  • Hedging a short physical position with futures or options
  • Definition of earnings for corporations short or long energy-price exposure
  • Applying the market price of risk to futures contracts
  • Implementing a corporate-level price risk management policy using futures or options
  • Extensions: multi-period analysis; using average options as hedging vehicles; mark-to-market of futures contracts; implementing dynamic (in addition to static) trading opportunities

Ehud Ronn, Lead Modeller, Commodities, Morgan Stanley

15:30 Afternoon break

16:00 Alternative metrics to VaR in energy market risk measurement

  • Price at Risk (PaR)
    • The difference between VaR and PaR
    • The role of PaR in managing liquidity and volume risk
    • Best practice method of calculating PaR
    • Case study: PaR in practice
  • Earnings at Risk (EaR)
    • Why energy trading firms are using the EaR approach
    • Best practice method of calculating EaR
    • Case study: EaR in practice
  • Cash flow at Risk (C-far)
    • Who should use C-far?
    • Comparing C-far and VaR
    • Step by step process calculating C-far
    • Case study: C-far in practice
  • Assessing the limitations of VaR in energy trading

Christian Ferrer, Vice President, Global Commodities, Bank of America Merrill Lynch

17:30 End of day one

DAY TWO - Thursday 30th September 2010

09:00 Coffee and registration

09:30 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

11:00 Morning Break

11:30 Analysing credit worthiness: a best practice model

  • Risk transition and emergence of counterparty risk
  • Price volatility driving the risk
  • Assessment of counterparties and rankings
  • Managing the risk using various documents
  • Monitoring
  • Use of credit grids
  • Material adverse clause: the double-edged Sword
  • Quantifying the risk of a default
  • Cost/benefit analysis of good credit

Annoop Kapoor, Director, Commodity Risk Management, First Energy Corporation

13:00 Lunch

14:00 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

Howard Friedman, Senior Manager, Deloitte & Touche LLP

Bill Hederman, ERS Director, Deloitte & Touche LLP

15:30 Afternoon break

16:00 Towards a holistic approach to energy risk management: a practitioners view

  • Preventing leakage of profits in your growing pool of transactions
  • Managing the dangers of an efficient market
  • Profitably trading against contract terms
  • Trader’s nightmare: deal level risk attribution
  • Michael Carter, Director, Credit Risk, EDF Energy

17:30 End of course