We have created this advanced-level training session to demystify the metrics used to measure risk with a focus on how you can build a Value at Risk (VaR) calculation.
This online session, delivered as two-hour sessions across 2 days, starts by covering how quantitative metrics of Capital at Risk (CaR), Mark to Market (MTM) and VaR sit in the risk management cycle. Against this backdrop, the remainder of the session explores how a VaR calculation can be built for simple portfolios and highlights some of the issues faced by organisations when implementing a VaR metric. We also look at two key inputs to the VaR calculation – volatility and correlation.
The course is designed to be “hands-on” and with a number of practical MS Excel based exercises that require delegates to make use of spreadsheets during the sessions. Participants will gain insight into how calculations are constructed from the bottom up. The MS Excel exercise will involve you calculating correlations and volatilities as well as calculating VaR for portfolios with 1 tradable commodity and with 3 tradable commodities. This approach reinforces theory presented in this, and our complimentary courses –Practical Energy Risk Management and Introduction to Gas and Electricity Wholesale Trading.
The session concludes with a practical case study bringing different aspects together to illustrate the implementation of metrics in a risk management framework and draws out some of the challenges that would come with operating these tools and processes in a live commercial environment.
- Risk/ trading compliance managers and analysts
- Traders and trading/ junior quantitative analysts
- I&C Energy Managers/ Supplier I&C Key Account Managers
This course is aimed at energy professionals from suppliers, generators, Third Party Intermediaries, and large industrial and commercial energy consumers with ‘flexible’ contracts looking to gain an insight into risk metrics and the mechanics of simple VaR calculations.
We assume that participants have the knowledge/ skills covered in our sister courses – Practical Energy Risk Management and Introduction to Gas and Electricity Wholesale Trading (attendance at these is not a prerequisite)
Areas of focus
- Risk management approach and risk measurement using metrics
- Wholesale energy marker risks – quantification (Value at Risk, Capital at Risk and Mark-to-market)
- Value at Risk – input data, outputs and calculation
- Volatility and correlation – definition and calculation inputs/ outputs
- Practical MS Excel-based exercises to show how calculation work using sample data
- Case study to illustrate practical implementation