Berlin - Germany

4H - 5TH April
6th Annual 2019

PORTFOLIO &
RISK MANAGEMENT
for ENERGY MARKETS
Summit
• Battery storage: The next disruptive technology in the power sector
• The Impact of Brexit on the EU Energy System
• Modelling joint wind and price risk with copulas
• Modeling volatility and correlation in energy markets
• How to Price and Hedge in Incomplete Markets
• Standardization of Balancing Bids
• Integration of prices and renewables correlations into portfolio management

SPEAKERS

Professor Derek Bunn Jean-Baptiste de Gabory Pietro Rabassi Rafael Ferreira Paul Edge
Professor of Decision Head of Power Director Central European
short-term trading Head of Wholesale Prices Dr. Matthias Klapper Senior Risk
Sciences, Management Markets Senior Market Analyst
Science and Operations Uniper CCEE Management Specialist
Nord Pool Vattenfall EDP
London Business School

Amrendra Kumar
Head of Risk and Ralph Renner
Henrik Specht Mehmet Ali UNLU Berto Campinho Martins Strategic Analysis Wenkai Mi
Director Risk Analysis and Commodity Deputy Director Head of European Origination
Statkraft Markets Sompo Global Weather Quantitative Analyst
Deputy Chief Risk Officer Portfolio Manager EDP Private Limited EDF
Vattenfall Enerjisa

PREVIOUS SPEAKERS

Pascal Côté Rune Hedegaard

Operations Research Dr. Dieter Most Dr. Tobias Paulun Povlsen Dr. Evgenij Hasanov
Frédéric Greze
Analyst Engineer Senior Engineer Chief Strategy Officer Senior Short Term Trader, Head of Hedging
Energy Market Risk Director
Rio Tinto Siemens AG EEX Power Operations RWE Supply & Trading
EDF Ørsted

Zhao Feng
Professor René Aïd Dr. Ing. Birger Mo Director of Power Market
Professor of Economics Dr. Nils Löhndorf Senior Research Scientist Jean-Pierre Goux Jiří Šumbera
Department
Paris-Dauphine Founder SINTEF Deputy CEO Analyst
China Three Gorges
University Quantego Powernext Corporation ČEZ

www.corporateparity.com / +44 20 3129 1774

 6th Annual
DAY ONE PORTFOLIO & RISK MANAGEMENT
4th April 2019 FOR ENERGY MARKETS summit

8:00 Registration and Coffee

8:50 Opening Keynote

9:00 Opening Remarks

Impact of Digitalization, machine learning in the Energy markets
• Utility of the future

Pietro Rabassi
Director Central European
Markets
Nord Pool

RISK MANAGEMENT, PRICES MODELLING AND TRADING

9:30 Case Study

How to Price and Hedge in Incomplete Markets
• Why are electricity markets incomplete?
• How prices/volumes correlation impacts your risk profile?
• How to manage and hedge your portfolio under incomplete markets?
• Advanced topics and numerical methods

Mehmet Ali UNLU

Commodity
Portfolio Manager
Enerjisa

10:10 Case Study

Emerging trends for risk management
on energy markets
• ERM activities benchmarking against industry best practices
• Integrated Risk Management

Dr. Matthias Klapper

Senior Market Analyst
Vattenfall

10:50 Coffee Break

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 6th Annual
PORTFOLIO & RISK MANAGEMENT DAY ONE
FOR ENERGY MARKETS summit 4th April 2019

11:20 Case Study

Modeling volatility and correlation in energy markets
• Moving average models for volatility and correlation
• Models based on implied volatility
• Models based on intra daily data

Rafael Ferreira
Head of Wholesale Prices
CCEE

12:00 Case Study

Managing weather risk in Power and Gas markets.
• Volumetric Energy hedges using temperature derivatives
• Temperature Contingent Gas and Power Quanto Options in Retail Gas Portfolio Management
• Renewable and Risk Management with Vanilla and Quanto Wind Options
• Examples of European and Global weather structures

Ralph Renner
Head of European Origination
Sompo Global Weather

12:40 Lunch

13:40 Panel Discussion

Modelling joint wind and price risk with copulas.
• Pitfalls of correlations

HIGH-LEVEL PORTFOLIO MANAGEMENT

A Balancing and Ancillary Services (or Load Frequency Control)

14:20 Case Study

Standardization of Balancing Bids
• Key drivers of physical and financial integration of European short-term markets
• Impact of cross-border portfolio management and bidding
Jean-Baptiste de Gabory
Head of Power short-term trading
Uniper

www.corporateparity.com / +44 20 3129 1774

 6th Annual
DAY ONE PORTFOLIO & RISK MANAGEMENT
4th April 2019 FOR ENERGY MARKETS summit

15:00 Case Study

How to adapt portfolio management to asymmetric
automatic Frequency Restoration Reserves

15:40 Case Study

Physical Asset Management with Multi-Markets Opportunities
• Combining real world projections with risk neutral pricing
• Modeling a multi-market approach
• Flexibility versus Technical Limitations
• Generator lifetime on a new market environment

16:10 Coffee Break

B Adapting Energy Portfolio Management to Local Network

and Renewable Energy Sources

16:50 Case Study

Integration of prices and renewables correlations into portfolio management
• Wind energy generation modelling
• Wind and price relationship modelling
• Limits and challenges

Wenkai Mi
Quantitative Analyst
EDF

17:30 Closing Remarks & End of Day 1

18:30 Networking activity

www.corporateparity.com / +44 20 3129 1774

 6th Annual
PORTFOLIO & RISK MANAGEMENT DAY TWO
FOR ENERGY MARKETS summit 5th April 2019

8:00 Registration and Coffee

8:50 Opening Keynote

9:00 Key Note

The Impact of Brexit on the EU Energy System
• The future of UK access to the European Energy Market
• Impact on energy markets for UK and EU companies

9:30 Case Study

How to use price forecasts in models for derivatives, asset optimization and
risk analysis

Amrendra Kumar
Head of Risk and Strategic Analysis
Statkraft Markets Private
Limited

10:10 Case Study

Integrated Modelling of Electricity Prices, Weather Uncertainties and Fuel Risks
• Effects of weather on Portuguese electricity prices
• The role of fuel and other prices
• Volume characteristics and cashflow projections
• Optimisation of hedging at a corporate level

Paul Edge
Senior Risk
Management Specialist
EDP

10:50 Coffee Break

PHYSICAL PORTFOLIO MANAGEMENT

11:20 Case Study

How to Adapt Consumption Forecast to
Self-Consumption Modes of Electricity

www.corporateparity.com / +44 20 3129 1774

 6th Annual
DAY TWO PORTFOLIO & RISK MANAGEMENT
5th April 2019 FOR ENERGY MARKETS summit

12:00 Case Study

Forecasting Intra-day Price Spread Densities for Optimising Battery Operations

Professor Derek Bunn

Professor of Decision
Sciences, Management
Science and Operations
London Business School

12:40 Lunch

Parallel Session 1
13:40
Group A Group B
HYDROPOWER MANAGEMENT GAS MANAGEMENT

Hydropower asset modeling in an Gas storage – optimization methods:

evolutionary context (markets, balancing panorama and impacts illustration on a
and ancillary services) case study

Parallel Session 2
14:10
Group A Group B
HYDROPOWER MANAGEMENT GAS MANAGEMENT

Impact of short term constraints on Gas storage – pricing and optimization

hydropower asset valuation methods back testing

14:40 Coffee Break

www.corporateparity.com / +44 20 3129 1774

 6th Annual
PORTFOLIO & RISK MANAGEMENT DAY TWO
FOR ENERGY MARKETS summit 5th April 2019

NEW THINGS IN ENERGY MARKETS

15:10 Closing Keynote

Battery storage:
The next disruptive technology in the power sector

15:45 Closing remarks & End of Conference

www.corporateparity.com / +44 20 3129 1774

 6th Annual
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FOR ENERGY MARKETS Summit 4th - 5th April 2019

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