sponsor Energy Risk magazine’s 14th annual Hedging ... Risk magazine’s 14th annual ... •...

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Hosted by Energy Risk magazine’s 14th annual High profile speaker line-up includes: Separately bookable seminars: Pre-conference seminars 1 CURRENT PERSPECTIVES ON ENERGY DERIVATIVES, STRUCTURED PRODUCTS AND RISK MANAGEMENT Ehud I Ronn, Lead Modeler, MORGAN STANLEY Michael Rosenberg, Director, Energy Trading, EMTRI 2 PERSPECTIVES AND TECHNIQUES ON MODEL RISK MANAGEMENT AND EFFECTIVE VAR TECHNIQUES FOR THE RISK MANAGER Vincent Kaminski, Professor, RICE UNIVERSITY’S JESSE H. JONES GRADUATE SCHOOL OF MANAGEMENT Post-conference seminars 1 ASSETS AS OPTIONS – VALUATION AND RISK METRICS FOR POWER PLANTS, GAS STORAGE FACILITIES AND SHIPPING LNG Chris Strickland, Director, LACIMA 2 LIQUIDITY AND MARKET RISK MANAGEMENT IN ENERGY AND SHIPPING MARKETS Helyette Geman, Director of the Commodity Finance Centre, UNIVERSITY OF LONDON and ESCP Europe – Member of the Board, UBS BLOOMBERG COMMODITY INDEX Hedging strategies and quantitative models in the energy market Market risk Quantitative modeling Regulation energyriskusa.com Houston, May 24-27, 2010 Register online at: energyriskusa.com Edward Morse, Head of Global Commodities Research, CREDIT SUISSE Matthew Simmons, Chairman Emeritus, SIMMONS & COMPANY INTERNATIONAL Richard Sandor, Chairman, CHICAGO CLIMATE EXCHANGE Michael Bertuccio, Chief Executive Officer and President, ARTURUS ENERGY Vincent Kaminski, Professor, RICE UNIVERSITY’S JESSE H. JONES GRADUATE SCHOOL OF MANAGEMENT Chris Schlegel, Manager, Risk Analysis Services, SOUTHERN COMPANY Darilyn Jones, Senior Vice President, Risk Control, SEQUENT ENERGY Bob Stibolt, Managing Director, GALWAY GROUP LP Sponsor Panel Sponsors Speaker Sponsors Co-Sponsors Associate Sponsors RMRERUS10_BR12PP.indd 1 5/24/10 8:07:16 PM

Transcript of sponsor Energy Risk magazine’s 14th annual Hedging ... Risk magazine’s 14th annual ... •...

Page 1: sponsor Energy Risk magazine’s 14th annual Hedging ... Risk magazine’s 14th annual ... • Measuring price- and quantity-risk exposure at the corporate level ... • Dangers of

Hosted by

Energy Risk magazine’s 14th annual

High profile speaker line-up includes:

Separately bookable seminars:

Pre-conference seminars

1 Current perspeCtives on energy derivatives, struCtured produCts and risk management Ehud I Ronn, Lead modeler, morgan stanLey Michael Rosenberg, director, energy trading, emtri

2 perspeCtives and teCHniques on modeL risk management and effeCtive var teCHniques for tHe risk manager Vincent Kaminski, professor, riCe university’s Jesse H. Jones graduate sCHooL of management

Post-conference seminars

1 assets as options – vaLuation and risk metriCs for power pLants, gas storage faCiLities and sHipping Lng Chris Strickland, director, LaCima

2 Liquidity and market risk management in energy and sHipping markets Helyette Geman, director of the Commodity finance Centre, university of London and esCp europe – member of the Board, uBs BLoomBerg Commodity indeX

Hedging strategies and quantitative models in the energy market

market risk quantitative modeling regulation

energyriskusa.comHouston, May 24-27, 2010

Register online at: energyriskusa.com

Edward Morse, Head of global Commodities research, Credit suisse

Matthew Simmons, Chairman emeritus, simmons & Company internationaL

Richard Sandor, Chairman, CHiCago CLimate eXCHange

Michael Bertuccio, Chief executive officer and president, arturus energy

Vincent Kaminski, professor, riCe university’s Jesse H. Jones graduate sCHooL of management

Chris Schlegel, manager, risk analysis services, soutHern Company

Darilyn Jones, senior vice president, risk Control, sequent energy

Bob Stibolt, managing director, gaLway group Lp

sponsor

panel sponsors

speaker sponsors

Co-sponsors

associate sponsors

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keeping up with fast-paced but opaque energy markets, ever-changing regulation and the latest techniques in risk management is a daunting task. that’s why so many risk managers and senior energy executives attend Energy Risk USA – they know they will leave with a better understanding of the latest developments in all aspects of their industry.

this year’s main themes are around strategic risk management, credit risk, new market developments and environmental risk. each topic is discussed through presentations and a panel discussion. running alongside this will be a stream dedicated to quantitative risk management methods.

the topics cover all the main energy markets and presentations range from introductions to markets, to cutting edge work in the field of quantitative modeling, as well as looking at how to remain competitive in markets which are constantly changing.

Energy Risk USA brings together the best experts in the business to discuss all the issues pertinent to energy risk management today. Energy Risk USA is the place to come to learn how top professionals are solving some of the biggest risk management challenges.

Energy Risk USA is set to provide you with the tips and solutions you need to improve your company’s risk management function. it is the must-attend event of the year for energy risk managers and traders.

stella farrington editor energy risk

Register now: t: +1 (212) 457 7789 e: [email protected] w: energyriskusa.com

energyriskusa.comHouston, May 24-27, 2010

Dear colleague

Further details at: www.energyriskawards.com

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Conference highlights Who it’s for?

the following job titles dealing with energy:

Chief Risk Officers

Heads of Risk Management

Risk Managers

Market Analysts

Portfolio Managers

Quantitative Analysts

Structurers

Pricing Analysts

Financial Engineers

Traders

Trade Control Managers

Carbon Traders

Heads of Emissions

Manager Origination

Heads of Business Development

“very well-ran conference, nicely attended. an excellent networking opportunity” Bob Young, senior director, towers perrin

“...it’s bigger and better every year. this year exceeded my expectations, and the conference was first class in every aspect”

Tom Murphy, principal, Crai

“always a great conference” Seth Wilson, director trading services, neCC

“...overall quality of presentations and opportunities to meet fellow industry colleagues are unparalleled” Nick Cioll, Chief financial officer and Chief risk officer, trieagLe energy

• Assessingtheimpactofmacro-economicconditionsonoil demand

• DiscussingCFTCpositionlimitsoncommoditiestrading

• Analyzinghowthechanginglandscapeofthegasmarketin the us is affecting prices

• Identifyingmodelrisksandmethodsofmodelvalidation

• Learneffectivetechniquesformodelinggaspricesandstorage

• Understandhowyoucanuserealoptionsinvaluingyourphysical assets

Energy and Utilities

Hedge funds

Investment banks

Brokers

Technology vendors

Regulators Consultants Legal firms

from the following companies will attend:

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08.30 registration

09.00 The current state of the equity and commodity markets – The ‘Message from Markets’•Measuringthenervousness/uncertaintyofequityandcommoditymarkets•Assessingthestatusofcreditmarketsandthecreditspread•Quantifyingfutureinflationrates•Computingequitymarkets’expectedratesofreturnandriskpremiums•Projectingexpected/forecastcrude-oilprices•Impactofenergypricesonconsumerprices•Therefiningspreadandretailgasolineprices

10.30 morning break

10.45 Understanding the stochastic behavior and modeling of energy prices •Representingenergypricesusingstochasticprocesses•Typicalenergypriceprocesses:randomwalk,meanreversion,

Brownian motion•Representingenergypricesusingstochasticprocesses•Singleandmulti-factormodelsforfuturesandforwards•Descriptionofstochasticprocesses:Analytical,Tree,MonteCarlo

12.15 Lunch

13.15 Basics of structured products in energy•Riskexposuresofenergyplayers:consumers,producers,traders,

‘all-purpose’ players•No-arbitrageprincipleandthereplicatingportfolio•Pricingdriversofderivativeproducts:forwardprices,volatilities,

correlations, cross-commodity features •Categorizingderivativeproducts

Extendingcollars:tradingoffriskandreturnwithfloors,caps,andcollarsExotics:baskets,tolling/heat-rateoptionsforapowerplant real options: power swing in retail contracts

15.00 afternoon break

15.15 Risk management in energy•Measuringprice-andquantity-riskexposureatthecorporatelevel•Hedgingcorporate-levelprice-andquantity-risksusinglinear(futures/

swaps)andnon-linear(option)instruments•Presentingthetrade-offsofanoptimalcorporateriskstrategyto

decision-makers•Value-at-RiskintheEnergyIndustry•OverviewofVAR•“BasicPrinciples”ofValueatRisk•ComputationofAnalyticalVAR

17.15 end of seminar

08.30 registration

09.30 Understanding model limitations•Overlyoptimisticmodelingassumptionsingoodeconomicenvironments

will lead to unrealistic hedging•Shortsightednessofriskmodels•Canpro-cyclicalitybedampened?

10.30 Coffee break

11.00 Overcoming limitations•Calibrationtechniques•Stresstesting•Stressingtheparametersisnotsufficient,needtoquestionthemodel•Dangersofover-relianceonmodels•IsVARsufficient?Doweneedbettertools?

12.30 Lunch

effeCtive var teCHniques for tHe risk managerSpeaker to be confirmed13.30 Determining the best VaR framework for your organizational

set-up•VaRlimitsandotherinternalcontrols•ManagingtheriskofyourVaRmodels•Tohedgeornottohedge:Alookatpossibleapplicationstoreduce

downside risk, derive optimal hedge ratio, and measure hedge efficiency

15.00 Coffee break

15.30 Measuring credit risk•Mathematicaltoolsandmodelsusedincreditriskmanagement•Creditscoremodels•KMVmodel•Estimationofprobabilitiesofdefault:historicalvs.impliedprobabilities•Correlationofdefaults•Theuseofcopulasincreditriskmodeling

17.00 end of seminar

Current perspeCtives on energy derivatives, struCtured produCts and risk managementEhud I Ronn, Lead modeler, morgan stanLeyMichael Rosenberg, director, energy trading, emtri

Pre-conference seminar oneMay 24, 2010

Pre-conference seminar twoMay 24, 2010perspeCtives and teCHniques on modeL risk managementVincent Kaminski, professor, riCe university’s Jesse H. Jones graduate sCHooL of managementDarilyn Jones, senior vice president, risk Control, sequent energy

These pre-conference seminars are separately bookable – visit energyriskusa.com

Register online at: energyriskusa.com

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08.00 registration and breakfast08.50 Welcome address

Peter Petkov, publisher, energy risk09.00 Keynote session

Energy and the Pied Piper: Expectations and the real marketEdward Morse, Head of global Commodities research, Credit suisse

09.40 Special addressMatthew Simmons, Chairman emeritus, simmons & Company internationaL

10.20 Coffee break10.50 Market shifts in weather trading

•Traditionalandmodernapproachesto(Weather)RiskManagement•ImpactsofpendinglegislationLynda Clemmons, independent Consultant

11.30 Financial reform proposals – impact on energy trading•Thecontroversy:

Impactofspeculatorsandcommodityfundsonpricelevelsandpricevolatilityvs.supply/demandfundamentals the systemic threat posed by derivatives

•Theimpactoffinancialinstrumentsonphysicalmarkets•SolutionsproposedforOTCproducts

strict position limits, mandatory exchange trading and clearing, higher capital requirements and transaction reporting•Coordinationofregulatoryoversight:respectivejurisdictionsofFERC,SECandCFTCVincent Kaminski, professor, riCe university’s Jesse H. Jones graduate sCHooL of management

12.10 Lunch and opportunity to visit the exhibitions

STREAM 1 STRATEGIC RISK MANAGEMENT

STREAM 2 QUANTITATIVE METHODS

Risk management in energy trading13.10 Risk tolerance and risk appetite – a foundation for effective risk management

•Risktolerance–whatisitandwhydoesitmatter?•Riskappetite–relationshiptorisktoleranceandvalue-drivenERM•Adecision–focusedcasestudy•Influenceonriskpolicyandhedgingdecisionsrobert stibolt, managing director, gaLway group Lp

Managing model risk – aligning what you think you are doing, what you are actually doing and what you should be doing•Identifyingimportantmodels•Methodsofmodelvalidation•Quantificationofmodelerror•Calibrationofmodels•Themodelingframework–globalassumptionreconciliation•Importanceofdocumentationalexander eydeland, managing director, morgan stanLeyRozaGaleeva,ExecutiveDirector,CommodityMarketModelingGroup, morgan stanLey

13.40 Developments within Enterprise-Wide Risk Management•Firm-wideconsiderationsofaeconomicmeltdown•Creditconsiderationsinanilliquidmarket•Implementingariskframeworktomanagerisksoftenmissedtoday•Integratingliquidityandfinanceconsiderationsintotheoverallriskpicture•Cananintegratedriskpicturebecreated?sid Jacobson, pa ConsuLting groupOther panelists to be confirmed

Determining strike specific volatility estimates for off-Hub locations•Commonpractitionercomplaints•Anoverviewofavailabledata•Asurveyofcurrenttechniquesintheliteraturekevin kindall, director of quantitative analysis, ConoCopHiLLips

14.10 Multi commodity optimization with integrated risk management•OnesystemsolutionforPortfolio–OptimizationandETRMAnalysiscovering

the whole value chain•Whatisimpactonriskmanagement?•ComplementingfunctionalitytoriskinETRMZak el-ramly, president and Chief executive officer, Ze powergroup

Hedge optimization methods to increase cash flow and minimize risk•Evaluatehedgeeffectiveness•Howtoincorporatemarketdataeffectivelyintohedgedesign•Reshapeandrebalancehedgesforincreasedvalue•Managehedgepayoffstructurestosupportyourportfoliogary dorris, president, asCend anaLytiCs

Day one – Morning agendaMay 25, 2010

Register online at: energyriskusa.com

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14.40 Managing extreme market risk•Typesofrisk•Knowingthedataandwhatispossible•Methodsforriskanalysis•Probabilitydistributionandoptimization•Systemsintegrationmarkus seiser, managing director, Central europe, open Link

Managing a book of financial positions and physical assets in the commodity space•Aluminiumsmeltersandoilrefineriesasportfoliosofspreadoptions•Electricityspikesandvirtualnuclearplantsauctions•Forwardfreightagreements,spotratesandimpliedfreightratesinthecoalmarketHelyette geman, director of the Commodity finance Centre, university of London and esCp europe - member of the Board, uBs BLoomBerg Commodity indeX

15.10 Panel on risk management in energy trading•Haveadvancesinriskmanagementandfinancialengineeringmadeenergy

tradingriskier?•Abilitytoaddressrisksthroughformalquantitativemodels•IsVaRaneffectivemeasurementtool?•Assessingtheneedforamorerobustandindependentriskmanagementunitmoderator: robert stibolt, managing director, gaLway group LpZak el-ramly, president and Chief executive officer, Ze powergroupsid Jacobson, pa ConsuLtingmarkus seiser, managing director, Central europe, open LinkLeonard Huxtable, practice area executive, etrm practice, tHe struCture groupmatthew waldis, associate director, risk management, Cme

Actuarial approach for using weather derivatives for managing business risk•Combiningnumericalweatherpredictionanddeterminismofnonlinearprocesses•Anewviewofweatherderivativeswhichissimultaneouslyrobustinitsfundamental

approach while remaining sensible for everyday practitioners•Analyzingtherisk/returnandhedgingcharacteristicsofweatherderivativesmichael friedlander, Coo and Cfo, apg asset management asia

15.40 Coffee breakExecutive, Credit and market risk management

16.00 Overcoming credit and collateral challenges•Innovationsfromfinancialinstitutions•Clearingstrategies•Howcanenergycompaniesmitigatecounterpartyrisk?nick Cioll, Chief financial officer and Chief risk officer, trieagLe energy

Financial transmission asset pricing and portfolio selection•ApplyingBayesianapproachtoCRRandFTRpre-auctionpricingandpossibly

post-auction mtm•AnapplicationtoCaliforniaCRR(CongestionRevenueRight)andPJMFTRJoseph Chen, quantitative risk manager, transaLta Corporation

16.30 Incorporating liquidity risk and operational risks in the formal risk management process•Keycomponentsofacomprehensiveriskmanagementprogram•Measuringandmanagingliquidityrisks•Identifyingmeasurableoperationalrisks•Quantifyingandmanagingoperationalrisksdarilyn Jones, senior vice president, risk Control, sequent energy

Short-term forecasting of wind energy•Short-termversusLong-termforecasting•Persistenceforecastingasabenchmark•Incorporatingmeteorologicalforecastsanditsvalue•ExperiencesatOPGwithshort-termforecastingHans tuenter, senior model developer, ontario power generation

17.00 Managing price risk and volatility in electricity markets•Increaseddemand-sideparticipation•Greateruseofintermittentgenerationron mcnamara, independent Consultant and ex-managing director, power trading, saraCen

The marginal effects of CO2 prices on electric generation•Themarket-basedframeworkforCO2pricing•ModelingtheeffectsofCO2pricingonelectricgeneration•Thesignificanceofmarginalandaverageeffects•HowthechangingmarginaleffectsofCO2pricinginfluencecostsandemissionsted kury, director of energy studies, public utility research Center, university of fLorida

17.30 Panel on credit and market risk management•Theincreasedemphasisontheimportanceofcounterpartyandcreditrisk•Trustissueinagencyratings•Benchmarkincreditriskindicators•Addressingtheimplicitandexplicitcostofcreditintransactionsdarilyn Jones, senior vice president, risk Control, sequent energynick Cioll, Chief financial officer and Chief risk officer, trieagLe energyron mcnamara, independent Consultant and ex-managing director, power trading, saraCenmark Jackson, director of risk management, soLarCseth wilson, senior managing director, risk management & structuring, nasdaq omX Commodities CLearing, LLC

Dealing with “market price of risk” in fundamental market modeling•Correctingfundamentalmodelprojections,whicharesystematically

underestimating long term forward pricesart m. altman, research in methods for energy risk management, market forecasting andPortfolioOptimization,ELECTRICPOWERRESEARCHINSTITUTE(EPRI)

18.00 Closing remarks Closing remarks18.10 Cocktail reception19.30 end of day one

Day one – Afternoon agenda May 25, 2010

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08.00 registration and breakfast08.50 Welcome address

09.00 Keynote sessionRichard Sandor, Chairman, CHiCago CLimate eXCHange

09.40 Regulatory roundtableCoping with the impact of the latest regulations – how should energy companies respond?•CFTCpositionlimits•StateoftheOTCderivativesmarket•StatusofOTCderivativesmarketlegislation•Differencesbetweenlegislatorsandbetweenregulators•Impactoflegislationonmarketliquidity,companyhedgingandspeculativeactivitiesbytypeofcompanyMike Gill, partner, CroweLL and moring, LLpGregory Mocek, partner, mCdermott wiLL & emery LLpJohn Wengler, Chief risk officer, entergy serviCes

10.50 Coffee break

STREAM 1 STRATEGIC RISK MANAGEMENT

STREAM 2 QUANTITATIVE METHODS

new market developments11.10 Risks within ERCOT zonal – nodal transition

•CongestionHedgingChoices/ComplexityIncrease•DayAhead-RealTimeChoices•DynamicTXGrid—technicalandmarketcharacteristics•CreditwithISOSpeaker and topic to be confirmed

Pricing and hedging options on physical gas storage•Motivationsandmodelingapproach•Fastandreliableunderlyingstoragemodel•ThecompoundoptionpricingandriskmanagementZimin Lu, Head of quantitative research, Bp

11.40 Changing landscape of the gas market in the US•ImpactofshalesnaturalgasontheproductionandpricesofLNGandnaturalgas•Howwillthechangingpipelinegridchangethedynamicsofgasprices?porter Bennett, president and Chief executive officer, Bentek energy

Statistical Properties of Energy Prices •Scalinglaws:Examples:naturalgasandcrudeoilprices•Stabledistributions•Extremevaluetheoryvincent kaminski, riCe university’s Jesse H. Jones graduate sCHooL of management

12.10 Wall street and energy, the value proposition from the equity marketsJohn olson, sanders morris Harris group

The one minute risk manager – some quick and effective rules for risk management•InaNewYorkminute:80-20rulesforafasterworld•Toptipsanddirtytrickscontinued:howtoruthlesslykillcomplexity•InstantrulesfortotalVaR,incrementalVaR,expectedshortfall,thevalueofoptionality,

the change in risk due to hedging•Applicationtonaturalgas,coal,andemissionsChris schlegel, manager, risk analysis services, soutHern Company

12.40 Riding the steel bronco•Understandingsteelindustrydriversofpricevolatility•Achievinggreatertransparencyofsteelpriceriskinenergycompanyprocurement

practices•Alookattacticsandtoolstomitigateexposuretoprice/supplyvolatilitypatrick mcCormick, managing partner, worLd steeL dynamiCs and president, worLd steeL eXCHange marketing

Risk management and valuation of generation assets•Alookatdifferentmodellingapproaches•Implementingmodellingvianumericaltechniques•Calculatingintrinsicandextrinsicvalue•Determiningtheeffectsofoperationalconstraintsandemissionsonthevalueof

generation assetsChris strickland, director, LaCima

Day two – Morning agendaMay 26, 2010

Register online at: energyriskusa.com

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13.10 Topic to be confirmedLeor Jivotovsky, Commodities product manager, superderivativesCarl daucher, vice president americas, trayport

Structural models of commodity price dynamics•Structuralmodelsvs.reducedformmodels:usesandcomparativeadvantages•Implicationsofstructuralmodelsforstorablecommodityforwardcurvedynamics•Therelationbetweenthecurveandvolatility•Unspannedstochasticfundamentalvolatility,storage,andoptionpricingCraig pirong, professor of finance, director, global energy management institute, Bauer College of Business, tHe university of Houston and member, CftC energy market advisory Committee and CftC teCHnoLogy advisory Committee

13.40 Lunch and opportunity to visit the exhibitionsenvironmental risk management

14.40 Renewable portfolio standards – a multi-stakeholder perspective•Risks(market,regulatory,liquidity,etc.)facinggenerators,utilities&electricity

suppliers,lenders,andliquidityprovidersintheU.S.RPS/RECmarkets•Assessingthefinancialimpactofstatepolicies•HighlightingtheuniquerisksfacingeachstakeholderinRPSstatespeter toomey, manager, environmental markets, iBerdroLa renewaBLes usadan scarbrough, senior vice president, CHiCago CLimate futures eXCHangeOther panelists to be confirmed

Liquidity Risk – Avoiding the “Roach Motel” Trade•Whataretherisksandcostsaroundlackofliquidity?•Howdoweestimateliquidityinthemarket?Whatdefinesa“big”position?•ConstructingaliquidityVaR.•AppropriatelyadjustingMTMvaluesbaseduponunderlyingliquidityBrett Humphreys, morgan stanLey

15.10 Integrating wind energy in ERCOT•TheCREZprocessandwhatitmeansforwindenergyinERCOT•HowhasERCOTaddressedwindintegrationinthepast•WhatarethefuturewindintegrationchallengesandhowaretheybeingaddressedJess totten, director, Competitive markets, puBLiC utiities Commission of teXas

Simulating multivariate time series while estimating no parameters•Whyweprefernonparametricsimulationmethods•Whatwedotosimulatemultivariatetimeseries

stationary series and non-stationary series•Howwetesttimeseriessimulationsforadequacymark morss, principal analyst, market risk analytics, ameriCan eLeCtriC power

15.40 Coffee break16.00 Outlook for weather derivatives

•Theweathermarketyesterday–theweathermarkettoday•Advancementsinenergyandweatherriskmanagement–productdevelopment•Globaltrends•Matchingtheriskprofileofyourcompanytoyourriskmanagementprogram Bill windle, renre energy advisors

Transaction cost, liquidity, and risk for a dynamically hedged spread option portfolio•Applicationstotolling,storage,andtransportationoptionskenneth deng, Head, quantitative strategies, vice president, structuring, edf trading nortH ameriCa

16.30 Panel on carbon trading and environment risk•What’sthefutureforaUScarboncapandtradeprogram?•StateRenewablePortfolioStandard(RPS)RECmarkets•U.S.CleanAirActMarketsforSO2andNOx•Newtechnologiesinrenewableenergy•Trueprofitswithoutgovernmentsubsidiespeter toomey, manager, environmental markets, iBerdroLa renewaBLes usaJess totten, director, Competitive markets, puBLiC utiities Commission of teXaswilliam windle, renre energy advisors

Correlation and conditional probability for multiple underlying assets•Discussionfocusingonthecentalproblemofconditionalprobabilitydistributionsfor

multiple underlying assets •Measuresofdependence•Usesandlimitationsofcorrelationincapturinglineardependence•Alternativestotraditionallineardependenceinvaluation•Applicationstotypicalenergyderivativeinstrumentsdayne Zimmerman, Head of erCot trading, direCt energy

17.00 Closing remarks Closing remarks17.10 end of energy risk usa

Day two – Afternoon agendaMay 26, 2010

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08.30 registration09.00 Valuing assets as options and analysis of relevant models

•Generationassets thermal assets as spread options wind & hydro generation

•Gasstorage Calendar spreads

•ShippingLNG Locational spreads

•Overviewofmodellingapproachesforassetvaluation single factor models multi factor models Hybrid models

•Modelparameterestimation•Numericaltechniquesforimplementingmodels

10.30 Coffee break11.00 Valuation and risk for generation assets

•Howtoapplythespreadoptionapproachtovaluegenerationassets incorporation of emissions & start-up costs

•HowtoapplyMonte-Carlosimulationtechniques•Howtoapplytrinomialtrees/LeastsquaresMonteCarlomethods

wind generators & hydro systems •Deltahedgingvsstatichedgingofpowerplants•Distributionalanalysisofrevenues/costs/numberofstarts/etc

12.30 Lunch13.30 Valuation and risk for gas storage facilities

•Comparisonofstoragevaluationmethodologies intrinsic rolling intrinsic portfolio of calendar spread optionsSpotoptimization

•Detailedexamples intrinsic rolling intrinsic simulation of forward curves in single factor and multi factor

•Distributionalanalysisofcashflowsandstoragelevels15.00 Coffee break15.30 Valuation and Risk for the Optionality in Shipping LNG

•Definingshippinglocationsandreferenceprices•Determiningoptimaldecisionsforshippingthecargo•Determiningthemarkerforeachdestination–transformationofthe

reference price•Usingsimulationstodetermineexpectedvalues

17.00 end of seminar

08.00 registration08.30 Liquidity Risk

•Overviewofliquiditymeasuresacrossassetclasses•TheadditionalmeasuresintheCommodityspace:openinterest,inventory•Recognizingthedifferenttypesofplayers:CTAs,indextraders,

commercial traders•HowtoaccountforthenewCFTCregulationinEnergyFutures•Aclinicalanalysisofspikesinelectricityandfreightpricetrajectories:are

spikes due to the nature of the underlying or to the rational behavior of marketplayers?

10.00 Coffee break10.30 Forward curves and the key information it contains

•InventoryandspotpriceVolatility•Inventoryandtheshapeoftheforwardcurve•Examplesfromthecrudeoilandnaturalgasmarket•TheBorovkova–Gemanmodelforthestochasticevolutionoftheforward

curve, with and without seasonality12.00 Lunch13.00 Option Pricing in Illiquid Markets

•TheexistingmodelscorrectingBlack-Scholesforoptionsonstocks•Incorporatingilliquidityinthevaluationandhedgingofoptionson

commodityspot and futures prices•VolatilityskewsandsmilesinCommoditymarkets•ImpliedCorrelationsinSpreadOptions

14.30 Liquidity Issues when investing in Commodities•ThekeyelementsintheconstructionofaCommodityIndex:components,

weights, rebalancing rules•HowtoaccountforliquidityinthedesignoftheindexandETFs•Theshapeoftheforwardcurveandtherollyield•Therecentexamplesofthecrudeoil,naturalgasandgoldmarkets

16.00 end of seminar

assets as options – vaLuation and risk metriCs for power pLants, gas storage faCiLities and sHipping LngChris Strickland, director, LaCima

Post-conference seminar oneMay 27, 2010

Post-conference seminar twoMay 27, 2010

Liquidity and market risk management in energy and sHipping marketsHelyette Geman, director of the Commodity finance Centre, university of London and esCp europe - member of the Board, uBs BLoomBerg Commodity indeX

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Sponsors:

PA Consulting Group is a leading management, it consulting and technology firm.

with dedicated sector teams, we are independent, employee-owned and operate globally. with over 25 years of experience in

the energy industry, our sector experts work with a range of clients including merchant and utilities, major lending institutions, regulators and governments. our energy risk specialists are leaders in their field helping clients strengthen their market position by developing and implementing enterprise-wide risk management strategies, identifying and closing gaps in risk governance structures, building and restructuring trading businesses,providingdetailedmarketandregulatoryanalysisandmaximizingvaluefromsystemsandinfrastructure. paconsulting.com/energy

Credit Suisse as one of the world’s leading banks, Credit suisse provides its clients with private banking, investment banking and asset management services worldwide. Credit suisse offers advisory services, comprehensive solutions and innovative products to companies,

institutionalclientsandhigh-net-worthprivateclientsglobally,aswellasretailclientsinSwitzerland.CreditSuisseisactiveinover50countriesandemploysapproximately46,700people.CreditSuisseiscomprisedof a number of legal entities around the world and is headquartered in Zurich. the registered shares (CSGN)ofCreditSuisse’sparentcompany,CreditSuisseGroupAG,arelistedinSwitzerlandand,intheformofAmericanDepositaryShares(CS),inNewYork.credit-suisse.com

OpenLink provides global, cross-asset trading, risk management, scheduling, logistic, and related operational and portfolio management software.Thecompany’senergy/commoditysolution,Endur,isareal-time,straight-through-processing(STP)softwareenvironmentthatsupportscrude, power, natural gas, metals, coal, weather derivatives, emissions,

bandwidth, soft commodities, foreign exchange, and a wide spectrum of other markets. OpenLink’sdiverseclientbaseofover130clientsworldwideincludes10ofthetop25largestenergycompaniesbymarketcapitalization,eightofthelargestfinancialinstitutionsandsevenofthelargestcentralbanks, as well as major hedge funds and public utilities. Headquartered on Long island, new york, and with offices in new york, Houston, London, Berlin, vienna, SaoPaulo,Sydney,andSingapore,OpenLinkhasmorethan700employeesworldwide.olf.com

sponsor

panel sponsors

speaker sponsors

Trayporttrayport is the foremost supplier of multi-asset class electronic trading and order matching software for Brokers, exchanges and traders worldwide in the european energy market. we develop, deploy and support high quality, highly resilient software for trading energy and other asset classes in any location in the world for cleared or otC markets. our software is used by some of the world’s largest trading companies in high profile markets. trayport.com

Structure provides deep energy industry expertise through specializedconsultingandcustomsoftwareservices,including:EnergyTradingandRiskManagement,AMI/MDM/SmartGrid,EnergyManagementandControlSystems,NERC/FERCCompliance, utility enterprise asset management, and energy

market solutions. structure’s etrm practice area provides consulting and implementation services to reduce delivery risk, increase efficiency, and ensure success across all energy trading and risk management capabilities. thestructuregroup.com

SolArc, inc. is a global provider of enterprise commodity management solutions. solarc’s integrated software solution offers customers greater insight and control over their complex commodity supply, marketing and trading environments, delivering increased operational effectiveness and profitability at lower risk.since 1991, solarc has become a trusted solution provider for an

internationalclienteleofmorethan60leadingcorporationsaroundtheglobe.SolArcisheadquarteredinHouston and has offices in dallas, tulsa, London and singapore. for more information, visit solarc.com

the NASDAQ OMXGlobalIndexGroupspecializesin providing custom index design services, flexiblelicensingagreementsandreal-timedata

dissemination to investors and product sponsors around the world. in addition, we are helping to expand the trading and investment landscape with new opportunities in etfs, etns, futures, options, structured products and other investment and derivative securities. for more information about nasdaq omX indexes, visit nasdaqomx.com/indexes

SD is transforming the world of derivatives by introducing transparency to all major traded derivative classes including foreign currency, interest rates, equities, commodities, energy andcredit.Providingpricesthatreflectthe

interdealer market has led the company’s web-based, market-calibrated solutions to be widely accepted as the benchmark for derivatives pricing.trading professionals on both the buy and sell side benefit daily from sd’s unique combination of unbiased, aggregated market data and sophisticated modelling techniques. the company also provides fully-fledgedriskmanagementsolutions,awardwinningderivativesdataandindependentportfoliorevaluation services. sdgm.com

RenRe energy advisors Ltd. engages in a variety of non-insurance businesses centered around weather and energy price risk management products, with a particular focus on providing clients with weather-centric commodity price risk management solutions. renre energy advisors is a wholly owned subsidiary of RenaissanceReHoldingsLtd.(NYSE:RNR),aglobalproviderofreinsurance and insurance.

ZE PowerGroup Inc.®

Ze is a world class software development and strategic management consulting firm. Ze’s award-winning Zema™ suite is designed to support advanced forward curve development, risk management, trading, and operations. Zema allows clients to manage fundamental, futures,

commodity related, operational and transactional data through its robust open database platform and its rich applications used for reporting, analysis, process automation and systems integration.ZEMAissettingthestandardforenterprisesoftware.Inthe2010EnergyRiskusersurvey,ZEMArankedas the #1 choice for preferred system, #1 for ease of integration and #1 for Customer service in the data management categories. zemasuite.com

Co-sponsors

Allegro Development is the global leader in energy trading and risk management(ETRM)solutionsforproducers,refiners,powerandgas utilities, commodity traders and commodity consumers.with morethan24yearsofsteadygrowthanddeepindustryknowledge,our enterprise-wide trading and risk management platform drives

transparency and efficiency across front, middle, and back offices, while also managing complex logistics associated with physical commodities.allegro’s proven solutions provide traders, risk managers and managementwithflexiblesolutions-acrossallcurrenciesandcommoditytypes-thatallowdecisionmakers to hedge and execute with confidence.allegro is headquartered in dallas, texas, and serves customers worldwide with offices in Calgary, Houston, London, madrid, rotterdam, singapore and Zurich along with a global network of partners. allegrodev.com

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Tap and Trade Bio tap and trade created the first iphone and ipod touch application designed specifically for professional Commodity traders, risk managers, fCms and Brokers. tap and trade gives users an unparalleled level of convenience and access and a real-time advantage in creating profitable trading opportunities, wherever they are. users can manage risk remotely, view real-time positions, real-time p&L, and place and manage orders across both futures and otC markets. for a complimentary desktopsolution,tryourflagshipproductsuite,ExchangeTools.tapandtrade.com

Co-sponsors

GlobalView is a leading provider of innovative energy market data and software solutions. unique in its ability to integrate real time, historical and customerproprietarydata,GlobalViewhashelpedglobalorganizationsreduce costs and improve decision support and trading results. from front to back office, globalview provides enterprise-wide solutions and offers

the only saas-based solution in the market, delivering unprecedented levels of portability and accessibility. globalview’s solution, marketview, delivers the most comprehensive energy specific data and news in an easy touse,fullycustomizableandportableapplicationthatcanbeaccessedfromanyinternetconnection. gvsi.com

associate sponsors

LIM, a morningstar company is a leading provider of data, analytics and research, using proprietary technology and data management solutions to provide its customers with actionable information primarily in the energy and financial sectors. Lim’s clients are among the world’s largest hedge funds, mutual funds, banks and energy concerns.Lim offers a world-class data warehouse which gathers and distributes data from over375differentfeedsinthepower,oil,gas,equities,futures,andweathermarkets.

Sourcesincludeallthemajorexchanges,theelectricitysystemoperators(ISOs),priceproviders,majorcommodity brokers, weather vendors, and other key data services. in addition to gathering, processing, checking,anddistributingapproximately20milliondatapointseveryweek,LIMprovidesdatamanagementtoolsthatquicklystoreandserveupthedata.Clientshaveaccesstohighpowerresearchtoolsforanalyzing,back-testing and forecasting the markets. lim.com

TIBCO Spotfire Analyticsprovidesanincrediblyfastandflexibleenvironmentforanalyzingcriticaldatatohelpyouandyourorganizationmakebetterandsmarter decisions. with powerful in-memory analysis, predictive modeling and a highly visual and intuitive interface, spotfire gives business and technical

professionals the ability to rapidly explore their data, helping them find key insights to give them a unique competitive edge.spotfire analytics is a single platform that spans the spectrum from rapid ad-hoc analysis to building custom analyticapplications,fromanalyzingspreadsheetanddatabasedatatoreal-timeandevent-drivendata,andfrom desktop-based data exploration to widely distributed web-based interactive dashboards. incorporating powerful statistics, spotfire is the most powerful analytic platform in the world, giving individuals and organizationsanimmediateinformationadvantageovertheircompetitors.spotfire.tibco.com

Murex is a leading provider of energy, commodity and financial market trading, risk management and processing solutions to major corporations and financial institutions around the world. mX.3, murex web-enabled and multi-tiered architecture platform, delivers extensive derivative and physical product coverage for power, natural gas, crude oil and refined products along with proven cross-market interest rate and foreign exchange hedging capabilities. mX.3 provides uncompromising specialisation and leading functionality coupledwithsuperiorpowerandflexibilityfromhighvolumetradingtoexoticproduct

structuring. the system provides on-line position and risk management, real time limits and full straight-through processing capabilities. its fault-tolerant infrastructure is massively scalable and extensible by design for integration of proprietary knowledge.Over200clientsworldwiderelyonourhighquality24-hourglobalsupportprovidedbyourteamofover 900specialiststhroughourofficesinNewYork,Paris,Dublin,Beirut,Singapore,Tokyo,SydneyandBeijing. murex.com

Ascend Analytics is a software and consulting company that provides risk management and planning solutions to utilities, generation owners, and other energy companies seeking to manage costs, reduce risk, and improve bottom-line performance. ascend software solutions provide actionable decision analytics around critical resource and portfolio management questions. ascendanalytics.com

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