Energyforum
Modelling & Measuring Energy Risk on the Nord Pool Market
2-3 December 2008, Stockholm
08:30-09.00: Registration and coffee
09.00-09.10: The chairman opens the conference
Fundamental Modelling
09.10-09.55:
The EU ETS market towards 2012 and beyond
" Modelling of weather impacts on EU ETS
" Modelling of fuel price impacts on EU ETS
" Modelling of industrial production impacts on EU ETS
- Nena's fundamental supply/demand modelling of EU ETS
- Scenario discussions - the impact on EU ETS from shortage of CER/ERUs, fall in gas prices, increase in coal prices
Speaker: Espen Andreasen, Analyst, Nena
Espen Andreassen has been responsible for Nena's carbon analysis since 2004. He holds a master degree in industrial economics from the University of Stavanger.
09.55-10.40:
Valuation & Hedging of Hydro Power in Elkem
- Using Monte Carlo simulation and scenario analysis
- Optimization of production
- Hedging of price risk (delta-, gamma-, and vega sensitivities)
Speaker: Håvard Hvarnes, Orkla Finans Commodity Trading AS
Håvard Hvarnes is currently responsible for IT-systems and quantitative research. His work ranges from optimal risk management of Hydro Power portfolios to non-Gaussian modelling of prices (returns) and copula methods. In addition he manages a portfolio, which is based on algorithmic trading on Nord Pool.
10.40-11.10: Coffee & Tea
11.10-11.55:
- Interaction of water, wind and thermal
- Stoka Beat - water, wind, fuel prices, outcome etc.
- Cables impact on long-term equilibrium
- Start and stop- costs
- Water value
Speaker: Kristin Munthe, Special Adviser, Statnett
Kristin Munthe has been with Statnett since 2008. Previous to that she worked at Norske Regnesentral & Event for five years followed by ECON Analyse for nine years.
She holds a Civil Engineer degree from NTNU and has studied economics at Oslo University.
11.55-12.40:
Modelling financial markets with equilibrium models
- How are financial products priced in an equilibrium model?
- What is the effect of financial markets on the overall sector risk?
- How do financial markets affect investments decisions for different technologies?
- When can risk free probabilities be used to value investments?
Speaker: Bert Willems, Tilburg University
Bert Willems is assistant professor at the dept. of economics at Tilburg University.
He obtained a Master degree in mechanical engineering and a PhD in economics from the K.U.Leuven. Before joining Tilburg University he held post-doc positions at University of California Energy Institute, Berkeley and at Robert Schuman Centre for Advanced Studies, Florence.
12.40-13.45: Lunch
Options
13.45-14.30:
Valuation of Real Options
The presentation will be devoted to a survey of models of stochastic processes used for stochastic modelling of energy price dynamics. It will also focus on Monte Carlo and other simulations and numerical methods for evaluation of European and American real options and related financial contracts.
Speaker: Dmitrii Silvestrov, Professor, Division of Applied Mathematics, Mälardalen University
Dmitrii Silvestrov has been Professor at Mälardalen University from 1999. His main areas of research are Stochastic processes, Actuarial and financial mathematics, Mathematical modelling of stochastic systems, and Statistical software. He has also written 7 books and more than 120 research papers. Dmitrii holds a Candidate of Science (PhD) in Mathematical Statistics as well as a Doctor of Science in the same subject.
14.30-15.00: Coffee & Tea
Forward price modelling
15.00-15.45:
-Analyze the cointegration between the NORDPOOL el forward price and Oil, Gas, Coal, Co2 at ICE
- Analyze the cointegration between the UK EL price forward price ICE and Oil, Gas, Coal, Co2 at ICE
" Intro and literature review cointegration energy markets. Why analyzing cointegration of el price to alternative energy sources are important.
" The energy commodity market at NORDPOOL and ICE. Future contracts on El, Oil, Gas, Coal, Co2.
" Data and descriptive statistics
" VAR/VECM modelling models.
" Results and discussion.
" Conclusions.
Speaker: Joseph Onochie, Zicklin School of Business/Baruch College, NY
15.45-16.15: Discussion and summary of the first conference day
19.00 Conference dinner
09.00-09.10: The chairman opens the second day
Forward price modelling continued…
09.10-09.55:
Forward price modelling in electricity
- The spot-forward relation in electricity
- Risk premium
- Direct modelling of forwards
- Jumps, mean-reversion and the Samuelson effect
Speaker: Fred Espen Benth, University of Oslo
Fred Espen Benth is professor in financial mathematics and deputy manager at the Centre of Mathematics for Applications (CMA), University of Oslo. He has numerous publications in scientific journals and is used as a consultant by the energy, finance and insurance industry in Norway. Before becoming a professor, Benth worked 3 years as a consultant for the oil industry at the Norwegian Computing Centre and researcher at the universities in Mannheim, Aarhus, Oslo and Trondheim.
09.55-10.40:
Forward price modelling - Skepool
- Natural Cubic splines and Clamped Cubic splines
- Maximum smoothness
- Problems with modelling both bid and ask?
Speaker: Peter Lindberg, Quantitative Analyst, Skellefteå Kraft.
Peter Lindberg is currently working as a quantitative analyst, implementing mathematical models of the Scandinavian Nordpool forward-market at Skellefteå Kraft.
He has a MSc and a Tekn Lic from Umeå University, Sweden from 2003 respectively 2007.
10.40-11.10: Coffee & Tea
Cross Commodity Modelling
11.10-11.55:
Relationship between Nord Pool area and system prices
Recently, the NO1 area price has been as low as 20% of the system price.
Using historical data (prices, reservoir levels, capacities), we investigate the historical contributors to this price difference.
Speaker: Anders Løland, Senior Research Scientist, Norsk Regnesentral
Anders Løland is Senior Research Scientist at the Norwegian Computing Center (NR) in Oslo. Anders works with basic and applied contract research within statistical modelling of marine resources, health, industry, finance, energy and commodity markets. He has given several courses on statistics, including one University course on practical computational finance.
11.55-12.40:
Cross Commodity Forward Curve Modelling
- Practical challenges when valuing CCGT
Operational issues
" CCGT - introduction
" States and cost variables
Spot forward curve modelling
" Spot forward curve modelling
" Incorporation of price profiles of gas and el prices in price modelling
Principal Component Analysis applied on Spark Spread
" Issues on complexity
" Cross commodity spot forward curve modelling
Summary - Q/A
Speaker: Bente Spissøy, Project Manager, Strategy & Analysis, Natural Gas, StatoilHydro
Bente Spissøy is currently heading the cross NG/INT project to develop methodology and tools for valuing of real options and other elements of flexibility. The work range from strategy and definitions of vision, defining groups of options, price modelling, investment analysis, valuing real options and flexibility elements to quantifying portfolio effects. The models are currently being implemented in StatoilHydro toolbox.
12:40-13.45: Lunch
13.45-14.30:
Cross commodity clearing and netting
- Correlations between markets
- Inter commodity spread credits
- Challenges for the clearinghouse
Speaker: Kristian Kloster, Risk Analyst, Nord Pool
Kristian Kloster has been working for Nord Pool Clearing since 2004 with the main responsibility of modelling and risk analysis. He holds a master of science in mathematics and finance from University of Oslo.
14.30-15.00: Coffee & Tea
15:00-15.45:
Cross-Commodity Dependence using Copula Functions: Alternative Approaches and Application to Spark Spread Options
- Dependence structures using copula functions
- Dynamic vs. static price dependence
- The Benth-Kettler Model
- The co-dependent Threshold Model
- Case-study: Pricing spark spread risk
Speaker: Andrea Roncoroni, Essec Business School
Dr. Andrea Roncoroni is Associate Professor of Finance at ESSEC Business School in Paris. He is also Co-director of the Master in Energy Finance (MEF) at Polytechnic School of Milan and regular Lecturer at Bocconi University (Milan). He holds PhD's in Applied Mathematics and Finance. His research interests cover Energy Finance, Financial Econometrics and Derivative Structuring.
15.45-16.15: Final discussion and closing of conference