Market and credit risk management for energy portfolios. incisive-training.com/mcrm

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1 Course highlights: Understand the strengths and weaknesses of the key market and credit risk metrics Incorporate physical assets into value-at-risk calculations Combine physical assets and complex contracts into cash flow based risk metrics Use cash flow-at-risk to measure the effectiveness of hedging strategies Credit risk metrics for energy incisive-training.com/mcrm Market and credit risk management for energy

2 Course Overview Market and credit risk management for energy Are you finding it difficult to report on relevant market and credit risk metrics with accuracy through your current risk systems? By attending this course, you will gain a thorough understanding of the range of market and credit risk metrics and their advantages and disadvantages for handling complex energy. We look at the unique characteristics of energy markets, physical assets (including power plants, gas storage facilities, and pipelines), and complex contracts (including, virtual storage, power purchase agreements, power and gas swing contracts). You will learn what the best-of-class market and credit risk measures are for joint of physical assets and financial contracts, as well as how to use these metrics to measure the effectiveness of hedging strategies. Venue To be confirmed please check website for details Learning outcomes What constitutes a best-in-class risk management division within an energy company? The types and relevance of available risk metrics How to generate forward curve scenarios with single and multi factor models Pros and cons of the different value-atrisk (VaR) metrics How to simplify physical assets and complex contracts for inclusion into VaR calculations Analysis of the different types of cashflow based risk metrics: cashflow-at-risk, profit-at-risk, gross margin-at-risk, revenue-at-risk and earnings-at-risk Analysis of credit risk measures including potential future exposure and credit VaR Target audience Heads of risk management Heads of market and credit risk Heads of risk control Heads of risk reporting Risk managers Risk analysts energy risk michael.squibb@incisivemedia.com web incisive-training.com/mcrm

3 About the tutors Market and credit risk management for energy Dr Chris Strickland, Director, Lacima Group Chris Strickland is Co-founder and Director of Lacima Group, a specialist provider of energy risk management, valuation and optimisation software and advisory services. He is an Associate Research fellow at the School of Finance and Economics, University of Technology Sydney, Australia and the Financial Options Research Centre, University of Warwick, UK. Chris consults extensively with senior executives globally in the areas of energy risk management, strategic assessment and implementation of risk systems. Previously Chris worked for RBC Gilts Ltd and Kitcat and Aitkin & Co in. Chris is the co-author, with Dr Les Clewlow, of the books "Energy Derivatives Pricing and Risk Management" and "Implementing Derivatives Models" and co-editor of the book "Exotic options: The State of the Art" and has a regular series of articles in Energy Risk Magazine. He has a First Class Honours degree in Pure Mathematics (Liverpool, UK), An MSc in Mathematics (Warwick, UK) and a PHD in Finance (Warwick). Chris is a member of Energy Risk s Hall of Fame. A group of individuals whose commitment and contribution to energy markets makes them a foundation of this business who took early ideas and concepts and shaped them into real markets that today have had a significant impact on the world's trade. Pierre Lebon, Senior Consultant, Lacima Group Pierre specialises in energy and commodity risk management consulting and the implementation of software solutions. He holds a Bachelor of Science from Notre Dame de Boulogne and a Masters of Financial Engineering from Leonard de Vinci University, Paris. Pierre has extensive experience in the implementation of valuation, optimisation and risk management software solutions in energy organisations. As a consultant, he has worked closely alongside risk management, trading, and portfolio optimisation teams and specialises in the analysis of physical assets such as gas storage, long term gas contracts and power plants. About Lacima Lacima is a specialist provider of software and advisory services dedicated to valuation, optimisation and risk management for global energy markets. We help you to maximise your profit potential and make more informed decisions by providing tools that yield more accurate valuations, hedging analysis and risk exposure analysis for of financial contracts and physical assets. Clients of our software and services include structuring, valuation and risk teams in vertically integrated energy companies, energy retailers, financial institutions and large energy consumers in Europe, North America and Australasia. Our software solutions have been developed and implemented by peer-recognised experts in energy analytics, offering an unparalleled level of expertise and personalised support. For further information, visit or info@lacimagroup.com michael.squibb@incisivemedia.com web incisive-training.com/mcrm energy risk

4 Market and credit risk management for energy Unrivalled insight, unlimited access for your entire organisation Coming up Can t find what you re looking for? Incisive Training values our delegate feedback and is always looking for new ideas and suggestions for interesting topics you would like to see produced as a training course. If you would like to submit a subject area or have a topic you would like to see covered at one of our training events please contact Adrianna Lobo adrianna.lobo@incisivemedia.com With a corporate subscriptions package you and all your colleagues will benefit from: Unlimited access to the analysis behind the news from Energy Risk Individually chosen newsletters to keep you informed of new content A searchable archive to track industry trends Insight from the industry s leading players through video interviews, commentary and webinars Continuous access anytime, anywhere via the mobile-compatible version of the site For more information: Visit risk.net/corpsubs School of Energy Risk Management June degrees Financial Risk Management best practice in credit, market & operational risk NewYork 22, 23, & 24 June , 28 & 29 June Enterprise Risk Management Techniques and Practices NewYork 1 3 August QuantWeek 2011 cutting edge quantitative Companies already seminars benefiting 6 10 Junefrom 2011 a corporate New York 3 7 October subscription: Algorithmics FSA Australian Securities GFI Asset Exchange Liability Management Techniques and IMF / World Bank Group Practices Bank of America Merrill Brussels August 2011 ING Bank Lynch Chicago 3-5 October 2011 Moody s Analytics Bank of Canada PwC Bank of England Assessing the impact of central ScotiaBank BNP Paribas Fortis clearing on the buyside Sungard Cass Business School NewYork 14 & 15 September Standard 2011Chartered Bank Depfa 21 Bank & 22 September 2011 Thomson Reuters mailto:traininginfo@incisivemedia.com EIB Advanced internal ratings approach 29 & 30 September 2011 NewYork 29 & 30 September 2011 mailto:traininginfo@incisivemedia.com corpsubs@risk.net or call +44 (0) risk.net/energy-risk michael.squibb@incisivemedia.com web incisive-training.com/mcrm energy risk

5 Market and credit risk management for energy Tuesday 13 November 2012 Day Registration and coffee 0900 Market and credit risk measures What constitutes a best-in-class risk management division within an energy company? The types and relevance of available risk metrics At-risk metrics versus scenario analysis Underlying markets oil, gas, power and other commodities Assets and contracts Physical assets (power plants, gas storage, pipelines) Financial contracts Forwards, swaps, options, asians Gas storage, swing, tolling agreements, power purchase agreements Generating the scenarios Single and multi-factor models Model risk Traded versus non-traded books 1030 Morning tea and coffee break 1100 Workshop: scenario generation 1330 Value-based risk metrics Analysis of value-at-risk (VaR) for energy and commodity Delta VaR (parametric, analytical) Delta-gamma VaR Historic simulation Monte-Carlo simulation Extreme value theory Incremental and marginal VaR Vega VaR Confidence levels and holding periods Stress testing versus VaR metrics Simplifying physical assets and complex contracts into VaR calculations Gas storage Power and gas swing contracts Power plants Back testing strategies 1530 Afternoon tea and coffee break 1600 Workshop : historical, delta and simulation VaR, incremental VaR 1730 End of day one 1230 Lunch web michael.squibb@incisivemedia.com incisive-training.com/mcrm

6 Market and credit risk management for energy Wednesday 14 November 2012 Day Registration and coffee 0900 Cashflow based risk metrics Going beyond VaR for asset heavy The different types of cashflow based risk metrics Cashflow-at-risk, profit-at-risk, gross margin-at-risk, revenue-at-risk, earnings-at-risk Deriving cashflows for physical assets and complex contracts Power plants thermal, wind and hydro Full dispatch or approximate as spreads? Gas storage and gas swing contracts Consolidating cashflow-at-risk across power and gas Sensitivity analysis Using cashflow-at-risk to measure the effectiveness of hedging strategies 1030 Morning tea 1100 Workshop 3: cashflow-at-risk for of assets and financial contracts, analysing hedging strategies 1230 Lunch 1330 Credit risk metrics Key components of credit risk models Assessing creditworthiness Capital allocation and performance measurement Credit Value Adjustments Potential future exposure (PFE) Credit VaR what is your definition? Credit risk models Credit metrics Modelling credit rating changes Simulation of counterparty market values Recover rates Portfolio calculations Liquidity Analysis 1500 Afternoon break 1530 Workshop 4: calculating PFE for energy contracts 1700 End of day two web michael.squibb@incisivemedia.com incisive-training.com/mcrm

7 Market and credit risk management for energy Registration & payment details I would like to book: Price Early Bird Early Bird Standard (2011) (before 3 August) (before 5 Oct) (after 5 Oct) * * 2599* Energy Risk Subscribers save 20%. Please add your subscriber number here: **Price 20% (Discounts cannot be combined) 4364/12 Please complete the form below in BLOCK CAPITALS. Title First name Family name Job title / Position Department Company Address City Post/zipcode Country Telephone (direct) Telephone (main) Fax Approving manager Training manager Please note that payment must be received prior to the start of the event. A pro-forma invoice will be forwarded to you automatically should you not provide details with your booking. I have enclosed a cheque made payable to Incisive Financial Publishing Ltd. Please debit my: Amex Visa Mastercard Maestro Issue number Card no: Expiry date CVS Account address if different from above I have read and agree to the terms and conditions: Signature Date Incisive Financial Publishing Ltd. VAT No: GB For companies in EU member states only. Please write your VAT/TVA/BTW/IVA/ MCMS/MWST/FPA number here: Payment is required prior to the event. If you require an invoice please inform us stating whether you need an original or a fax copy. We accept company cheques, credit cards and bank transfers. Please allow a minimum of seven working days for a bank transfer to reach us and phone or fax us when it has been sent. Please state the event name and delegate name to which it relates. call +44 (0) michael.squibb@incisivemedia.com fax +44 (0) web incisive-training.com/mcrm

8 Market and credit risk management for energy Your fee Your registration fee includes breakfast, lunch and refreshments and your documentation pack. Book online or fax the completed form with your credit card details, or follow up the provisional reservation with a cheque made payable to Incisive Financial Publishing Ltd. In order that we process your registration with maximum efficiency, we request that a copy of this booking form accompanies your payment. Subscriptions If you currently don t subscribe to Energy Risk Magazine please contact pedro.gastal@incisivemedia.com for more information Accommodation Please see website for more information Customer Services Office mail Conference Administration, Incisive Media, Haymarket House, Haymarket,, SW1Y 4RX, UK call +44 (0) fax +44 (0) conf@incisivemedia.com Warning: Energy Risk is a registered trademark, and the title, contents and style of this brochure are the copyright of Incisive Media. We will act on any infringement of our rights anywhere in the world. Incisive Media. Cancellation: A refund (less 10% administration fee) will be made if notice of cancellation is received in writing three weeks before the event. We regret that no refunds can be given after this period. A substitute delegate is always welcome at no extra charge. Disclaimer: The programme may change due to unforeseen circumstances, and Incisive Media reserves the right to alter the venue and/or speakers. Incisive Media accepts no responsibility for any loss or damage to property belonging to, nor for any personal injury incurred by, attendees at our conferences, whether within the conference venue or otherwise. *All discounts must be redeemed when booking, discounts will not be valid or applied after this time. Incisive Financial Publishing Ltd reserve the right to decline any discount offers and this offer cannot be used in conjunction with any other offer. Incorrect mailing, data protection: If any of the details on the mailing label are incorrect, please return the brochure to our database administrator at Incisive Media so that we can update our records and ensure that future mailings are correct. Please find our mailing address and fax details above. By registering for this training course, Incisive Media* will send you further information relating to this event. In addition we will send you information about our other relevant products and services which we believe will be of interest to you. If you do not wish to receive other relevant information from Incisive Media via a particular medium please tick the following relevant boxes: Mail Phone Fax . Incisive Media will also allow carefully selected third parties to contact you about their products and services. If you do not wish to receive information from third parties via any of the following media please tick the relevant boxes: Mail Phone Please tick if you are happy to receive relevant information from carefully selected third parties by and Fax. Please remember that if you choose not to receive other literature you may miss out on some exclusive offers. *For a list of companies included in Incisive Media please see our website