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Basic of Power Risk Management
Nivel 4

5 iunie 2025
This course is about the concept of energy trading risk management. Right management of trading related risk can make the diference between a succesfull or disastrous deal. More then that, due to energy 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
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Policies, methodologies and organisation of risk management
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Risk appetite
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risk tolerance and risk acceptance
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risk & reward ratio
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Market risk – Probability distribution curves
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normal, log-normal & other distributions
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skew, tail risk & one-time events
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Price volatility
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different types of volatility (e.g. historical & implied)
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calculate volatility & how to interpret outcomes
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Counterparty credit risk
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external clearing and internal credit limits
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collateralization & margining
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Liquidity risk
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trading activity in markets (or the lack of it) & the consequences for market participants
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Alpha & Beta
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capital asset pricing model of Markovich
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market & company risk; systemic vs. non-systemic risk
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Analyzing & Modeling
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modeling of (energy) asset-related businesses
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fundamental, technical, statistical & psychological analysis
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Correlation & linear regression
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statistical price relationships
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Model risk, incl. normality & linearity+
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Value at Risk (VaR) – The concept
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quantification of risk; risk metrics
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probability distribution, time horizon & confidence
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Cost
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2600 lei/pers;
membrii AFEER:
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1690 lei/pers
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