Basic of Power Risk Management
Level 4
25 iunie 2021
This course is about the concept of power trading risk management. Right management of trading related risk can make the diference between a succesfull or disastrous deal. More then that, due to power trading specificity where most of the transactions are with forward delivery, a correct risk hedging is esential in order to assure as much as possible a corect contractual performance
Curriculum

Policies, methodologies and organisation of risk management

Risk appetite

risk tolerance and risk acceptance

risk & reward ratio


Market risk – Probability distribution curves

normal, lognormal & other distributions

skew, tail risk & onetime events


Price volatility

different types of volatility (e.g. historical & implied)

calculate volatility & how to interpret outcomes


Counterparty credit risk

external clearing and internal credit limits

collateralization & margining


Liquidity risk

trading activity in markets (or the lack of it) & the consequences for market participants


Alpha & Beta

capital asset pricing model of Markovich

market & company risk; systemic vs. nonsystemic risk


Analyzing & Modeling

modeling of (energy) assetrelated businesses

fundamental, technical, statistical & psychological analysis


Correlation & linear regression

statistical price relationships

Model risk, incl. normality & linearity+


Value at Risk (VaR) – The concept

quantification of risk; risk metrics

probability distribution, time horizon & confidence
Cost

1500 lei/pers;
membrii AFEER:

975 lei/pers