Day 2

Day 2, Thursday 14 October 2010

0830 Registration and breakfast
0900 Opening address

09.10 Keynote address
Strategic focus: Developing the optimum energy portfolio to minimise risk exposure

• Proprietary trading, a risky business
• The art of asset optimization
• The beauty of change: at home in fast paced markets

Stefan Judisch, CEO, RWE SUPPLY & TRADING

09.50 Keynote
The development of a competitive European Energy market

Philip Lowe, Director General, DG Energy, EUROPEAN COMMISSION

10.30 Regulatory Roundtable

• How will energy trading be regulated in the future? Regulation of OTC derivatives
• Strategies to deal with banking regulation of financial instruments
• What is the role of government and the regulator in the energy markets? Will there be global regulation?
• Achieving regulatory harmonisation and a competitive landscape
• Ensuring compliance

Peter Styles, Board Member, EFET
Philip Lowe, Director General, DG Energy, EUROPEAN COMMISSION
James Davies, Head of Trader Systems, TRAYPORT
Diana Higgins, Risk Reporting Manager, CENTRICA ENERGY
Cemil Altin, Head of Regulation, EDF TRADING

11.10 Coffee break

Stream 1
Quantitative Analysis and Modelling

11.30 Chairman’s opening remarks

11.40 Power price formation: The changing drivers

• What do models tell us about power price drivers?
• What does the data tell us?
• Understanding forward risk premia
• The effects of decarbonisation on longer term prices

Derek W. Bunn, Professor, LONDON BUSINESS SCHOOL

12.20 Multifactor valuation approaches in low liquidity markets for storage

• Valuing storage assets using multi factor models
• Application of key models to illiquid European gas storages
• Investigating the risk profiles generated by these model

Andras Szell, Derivatives Specialist, FEA (FINANCIAL ENGINEERING ASSOCIATES)

13.00 Lunch

14.00 Modelling and managing the volatility of oil prices

• Effective modelling techniques
• Hedging oil price volatility
• Trading and risk management of oil derivatives
• Application of oil derivatives to manage risk and mitigate price volatility
Speaker to be announced

14.40 Energy risk, framework risk, and FloVaR measurement

• FloVaR measurement of energy position risk
• A numerical example of risk and hedging calculation
• From model risk to framework risk
• An illustrative example: the Gibson-Schwartz model under alternative model frameworks
• The impact of framework risk on risk measurement and valuation

Andrea Roncoroni, Professor of Finance, ESSEC BUSINESS SCHOOL PARIS - SINGAPORE

Stream 2
Trading and Risk Management

11.30 Chairman’s opening remarks

11.40 Different approaches to managing credit exposure

• The role of central clearing houses and exchanges in managing credit risk: does the CCH take on the counterparty risk
• Evaluating the credit worthiness of counterparties
• Incorporating greater margining requirements
• Implementing appropriate measures
• Calculating collateral requirements for bilateral trades
• Managing credit exposure in a retail business
• Role of the credit rating agencies in evaluating counterparty risk
Speaker to be announced

12.20 Airline case study: Fuel hedging in the airline industry - the danger of getting it right

• Risk coupling: A danger ignored
• Airline fuel hedging strategies in 2008
• Common misconceptions in fuel hedging
• Doing it right: The greatest risk
• The future of Fuel Hedging in the Airline industry

Dr. Wolfgang Henle, VP Opportunity and Risk Management, AUSTRIAN AIRLINES

13.00 Lunch

14.00 Renewable energy: Generation, hedging and impact on commodity prices

• Will the renewable market continue to grow?
• Assessing the range of new technologies
• Comparing the US and Europe
• Evaluating the investment potential
• Optimising and hedging renewable energy
• Impact on coal and gas prices

Torsten Amelung, Head of Trading, Origination and Business Development, STAKRAFT

14.40 Utilising IT systems for efficient risk control in a multi-commodity market

• Current system trends for risk management
• Key functional requirements for multi-commodity risk control
• Risk metrics and their impact on system requirements
• Security requirements
• Custom-made vs. standard systems
• Integration in an enterprise environment

Mattias Palm, EVP, Head of Markets & Sales, NAVITA SYSTEMS

15.20 Coffee break

15.40 Energy market dynamics in 2010: Globalisation vs regionalisation

• New markets, new players, new dynamics?
• Impact of LNG on Atlantic gas prices
-supply demand: transition years
- pricing
- arbitrages & main flows
• Impact of coal, power, emissions on gas prices
• What can we expect next?

Stephane Caudron, Head of LNG, GUNVOR

16.20 Roundtable
What will the next stage in carbon trading post 2012?

• Reviewing the effectiveness of the EU ETS
• Implications of Copenhagen
• Decarbonisation pathways
• Managing carbon price risk
• Phase 3 regulation and impact on the industry
• Impact of lack of investment
• How the uncertainty of carbon regulation will affect the use of coal: does coal have a long term future?

Andrew Ager, Head of Carbon Emissions & Trading, BACHE A business of Prudential Financial, Inc (USA)
Martin Kucera, Senior Risk Manager, CEZ
Simone Ruiz, European Policy Director, INTERNATIONAL EMISSIONS TRADING ASSOCIATION (IETA)
Peter Bishton, Head of Global Emissions & European Power and Gas Business, CARGILL

17.00 Chairman’s closing remarks

17.10 End of conference