Day 1

Day 1, Wednesday 13 October 2010

08.30 Registration and breakfast
09.00 Opening address

09.10 Keynote
Recent developments in the global oil sector and implications for the European energy markets

• Outlook for GDP and oil demand in 2011
• Key challenges to oil demand growth: impact of supply-side constraints
• Forecasting global production patterns 2012-2015
• Demand rationing and impact on economic growth
• Impact of oil supply and demand on energy prices

Hussein Allidina, Head of Commodity Research, MORGAN STANLEY

09.50 Executive Roundtable
Reviewing gas supply and demand patterns and the impact on energy prices and trading strategy

• Examining demand and supply flows: Asia Europe/ Russia Europe, USA
• How are the Russian and CEE markets impacting the European energy markets?
• Gas consumption in China and impact on European supply
• Impact of renewable energy on demand and price for energy commodities?: interaction between renewable and other markets
• The evolution of gas prices - impact of low prices on supply contract management: how can a business evolve to cope with low prices
• Future role of the GECF

Jeffrey Currie, MD, Global Head Commodities Research, GOLDMAN SACHS
Frédéric Lasserre, Global Head Commodities Research, SG CIB
Sabine Chels, Senior Director, Commodity Research, BANK OF AMERICA MERRILL LYNCH

10.30 Morning break

Stream 1
Quantitive Analysis and Modelling

11.00 Chairman's opening remarks

11.10 Modelling carbon credit prices
• Analysing the relationship between carbon credit prices and the prices of associated power inputs
Power
Coal
Gas
• Assessing the range of carbon based derivative products
• Incorporating regulatory risk into price models
• Developing appropriate models
Speaker to be announced

11.50 Modelling power and gas demand to understand future investment in capacity

• Overview of the current situation in Europe
• Evaluating the impact of world economic crisis on the European gas/power market: recession and demand destruction
• The recovery: forecasting European gas and power demand
• Other important factors in determining investment in capacity
Elisa Scarpa, Head of Market Analysis and Forecasting, EDISON TRADING

12.30 Lunch

13.30 Multi-commodity portfolio optimisation techniques

• Modelling a portfolio of commodities
• Benchmarking strategies

Dr. Per Tidland, Head of Model Development and Analysis,
VATTENFALL EUROPE SALES

14.10 Building a unified framework for the consistent modelling of energy spots, forwards and swaps

• Benefits of a unified framework applicable across instruments, commodities and regions
• The non-Markovian approach as a unified framework
• Static and dynamic forward curves modelling
• Extracting implied volatilities and risk-neutral probability distributions
• Taking into account cyclical patterns, trends and spikes
• Examples of oil, natural gas, power and carbon markets

Valery Kholodnyi, Principal Quantitative Analyst, VERBUND AUSTRIAN POWER TRADING

Stream 2
Trading and Risk Management

11.00 Chairman's opening remarks

11.10 Best practice risk management: Statoil case study

• Why ERM?
• What's in it for the corporate?
• ERM - much more than a risk modelling tool
• ERM - a mix between operational and financial risks
• How to integrate your insurance business into the ERM thinking
• ERM as a tool in a strategic planning
• ERM as a base for risk based audit and monitoring

Rune Nilsen, Corporate Risk Manager, Tactical Risk, STATOIL

11.50 Optimising and hedging power generation assets: A practical approach

• Optimising power plants operation is a significant source of value
• Hedging the value of these plants - real options on the spread between electricity and variable generation cost (fuel and emissions)
• Coordination of optimisation and hedging
• A practical approach to this problem and alternative solutions

Jaime Roman, Risk Managing Director, ENDESA
Antonio Scala, Head of Risk Management, ENEL

12.30 Lunch

13.30 Risk modelling in commodity transactions

• What is risk and what can we model?
• Limits of corporate finance and derivatives-based models
• Model correctness, risk mitigation and risk adjustment
• Risk management and risk-adjusted pricing

Steve Leppard, Head of EMEA Corporate Structuring, JP MORGAN

14.10 Dealing with illiquidity in the power market

• Reviewing the role of the regulator in promoting liquidity
• Impact of day ahead power auction
• Measuring, monitoring and managing market liquidity
• Trading strategies to minimise risk in illiquid markets
• Incorporating liquidity risk into pricing and risk management
• Strategies to stimulate liquidity
• Implications of illiquidity for collateral agreements

Vincent Kaminski, RICE UNIVERSITY'S JESSE H. JONES GRADUATE SCHOOL OF MANAGEMENT

14.50 Coffee break

15.10 Roundtable
Spotlight on technology: Developing the optimal commodity trading system

• Impact of regulatory reform on the development of financial technology
• Developing solutions to meet the needs of an energy trading business
• Different requirements for physical and financial trading
• Build versus buy

Mark Hutchison, Commodities CIO, DEUTSCHE BANK
Mark Jackson, Senior Director for Risk Management, SOLARC
Additional speakers to be confirmed

15.50 Roundtable
Power market coupling and cross border trading: Implications for energy pricing and risk management

• Impact on cross border trading margins: will there be pan-European market coupling
• Pricing implications: will exchanges work together to establish a regional price
• Opportunities
• Interrelationship between power and gas markets

Juan Ríos, Head of European Power Trading, IBERDROLA
Paul Dawson, Head of Market Design and Regulatory Affairs, RWE SUPPLY AND TRADING
Andrea Vittorio Siri, Manager Power Origination Continental Europe, EDISON TRADING
Christophe Gence-Creux, Head of the Cross-Border Power Trade Department, CRE

16.30 Panel debate
What is the future of oil linked gas prices?: Assessing the market impact of oil and gas price decoupling

• Do oil linked gas prices have a future or will they be abolished?
• Divergence between gas OTC contract prices and long term gas prices linked to oil
• Impact of decoupling on the gas trading market in Europe: evolution of German spot market
• Consequences for credit ratings of companies emerging from long term traditional contracts
• Impact of decoupling on gas prices

Patrick Heather, Senior Research Fellow, OXFORD INSTITUTE FOR ENERGY STUDIES
Irfan Mannan, Director, European Natural Gas, Power & Emissions, KOCH ENERGY EUROPE
Frédéric Contie, Head of Gas Trading & Optimisation, POWEO

17.10 CRO Roundtable: Tackling the challenges facing CROs in today's energy markets

Lukas Gubler, CRO, EGL AG
Jaime Roman, Risk Managing Director, ENDESA
Petter Kapstad, Head of Risk Management, STATOIL

17.50 Chairman's closing remarks

18.00 End of day one and cocktail reception