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08.50 Chairman's opening remarks
Jeffrey Butrico, Head of Risk and Insurance Management, OMV
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09.00 KEYNOTE
Ensuring security of Europe's energy supply
- Planned investments to increase connections between EU member states
- Need for an improved and modern infrastructure network to ensure EU energy integration
- What lessons have been learned in the EU following the disaster in Fukushima?
Philip Lowe, Director General, DG Energy, EUROPEAN COMMISSION
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09.40 Outlook for global oil markets and implications for European players
- Recent market trends in global oil markets
- Supply update of oil to the European markets and impact of current geopolitical risks in MENA region
- European demand dynamics over next 1-5 years
Jeffrey Currie, MD, Global Head Commodities Research, GOLDMAN SACHS
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10.20 Morning break
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10.50 PANEL DISCUSSION
Regulatory roundtable: meeting new regulatory requirements and preparing your business for the challenges ahead
- Understanding how the current reforms and regulations interrelate and interact
- Impact of MiFID on energy market structures and practices: will it improve liquidity and transparency?
- What do you need to know about your company in order to prepare for reforms?
- Developing an integrated approach to meet new regulatory requirements
- Quantifying the burden of regulatory requirements
Moderator: Stella Farrington, Editor, ENERGY RISK
Matthew Allan, Head of Regulatory and External Affairs, SHELL INTERNATIONAL TRADING
Gerd Stuhlmacher, Director of Legal and Compliance, E.ON ENERGY TRADING
Cemil Altin, Head of Regulation, EDF TRADING
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MARKET INSIGHTS
11.40 Chairman's opening remarks: Jeffrey Butrico, Head of Risk and Insurance Management, OMV
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QUANTITATIVE ANALYSIS AND MODELLING
Chairman's opening remarks: Derek Bunn, Professor, LONDON BUSINESS SCHOOL
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11.45 Carbon markets: resilience and risk management
- Carbon markets: resilience and risk management
- Carbon markets: the energy benchmark
- Carbon: liquidity and longevity
- Carbon markets in a political and financial storm
Mark Owen-Lloyd, Senior Trader and Managing Director, CF PARTNERS
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Designing cross-commodity trading strategies using co-integration relationships
- How co-integration is different from correlation
- Screening commodity pairs and testing for co-integration
- Simulation of commodity forward prices and comparison to HJM mean-reverting processes
- Designing trading strategies using co-integration, back-testing and simulation
Mahmoud Hamada, Visiting Professor, HEC UNIVERSITY OF GENEVA
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12.20 Smart energy markets
- How does it affect market participants?
- Change in load patterns
- Impact on procurement and hedging strategies
Jan Magne Strand, Head of Delivery, NAVITA SYSTEMS
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Gas storage valuation and financial optimisation
- Comparison of gas storage methodologies
- Impact of volumetric constraints, volatility and mean-reversion
- Gas storage valuation under limited market liquidity
- Empirical evidence from the German market
Ben Evans, Risk Manager, Quantitative Analyst, WINGAS
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12.55 Lunch
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13.45 Managing weather contingent demand and price risk
- Weather based financial risk management solutions for the energy market
- The importance of weather derivatives as risk management instruments
- Case examples of weather hedging
Tiffany Mueller-Perry, Vice President, SWISS RE CORPORATE SOLUTIONS
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Managing the risk of your VaR models
- Constituents of a fat tail & impact on V@R
- Practical considerations
- What and whom is V@R useful for?
- What should V@R encompass?
Alexis Huet, Head of Commodity Risk Management, OMV
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14.20 The growing European weather derivatives market
- How much risk is being transferred these days?
- Lessons from the US
- Standardised solutions - the roles of the market-maker, CME exchange and brokers
- Customised solutions - hedging with combined weather/commodity contracts
Peter Brewer, CIO, Cumulus Funds, PCE INVESTORS
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Modelling renewable power supply and power demand to determine future investment requirements
- Overview of the renewable market in Europe with focus on Germany
- Evaluating the impact of renewable supply on power prices
- Determining future power production capacity investment
Dr. Evelin Lückerath, Head of Analysis, STATKRAFT MARKETS
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14.55 Innovative hedging strategies for weather and climate risk
- Exploration of the weather market
- Strategies and instruments used to transfer financial exposures to weather and climate
- Comparison of these instruments against pure commodity instruments
Sascha Enderle, Director Analysis and Evaluation Fuels and Carbon, ENBW TRADING
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Modelling and forecasting short-term extreme power price risks
- Understanding the different drivers of high and low prices
- Explaining the use of quantile regression for power prices
- Analysis of the improved forecasting of extreme prices
Derek Bunn, Professor, LONDON BUSINESS SCHOOL
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15.30 Afternoon refreshment break
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16.00 Managing and mitigating credit risk
- Understanding the role of credit risk in the trading environment
- What are the drivers of credit risk?
- Evaluating the credit risk of a counterparty
- Relationship between credit, liquidity and market risk
- Measures to mitigate credit risk
Dr Marco Poggi, Head of Credit Risk, ENEL
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16.40 Best practices and approaches to enterprise risk management
- Developing a key risk assessment model to identifying and managing a multitude of risks: operational, market, liquidity, regulatory, credit risks
- Dealing with the challenges and opportunities in developing a holistic approach to risk management
- Can an integrated risk picture be created?
- What practical steps can be taken to help the firm think about risk in an enterprise-wide way?
Petter Kapstad, Chief Risk Officer, STATOIL
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17.10 Chairman's closing remarks and end of day 1 conference
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17.15 Cocktail reception: sponsored by NAVITA
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