Value-at-Risk for Energy Derivatives

This intermediate course is aimed at the energy professional who is familiar with energy derivative products but who requires an understanding of the theory and calculation of Value at Risk for energy derivative portfolios. The Excel based computer workshops deal with oil and gas as well as electricity derivatives.

This course can be tailored to your needs. A sample outline follows below.

Day 1


Understanding the VaR methodologies and issues

  • What is VaR?
  • Uses of VaR
  • Types of VaR methodologies
  • Implications of applying the risk metrics assumptions in energy markets
  • Delta VaR, historical simulation
  • Linear and Non Linear instruments

Workshop: applying simple VaR methodologies in the energy market


Calculation of energy portfolio VaR using simulation

  • Modelling the energy forward curve - single and multi-factor
  • Modelling the joint behaviour of different energies simultaneously
  • Calculation of covariances and correlations
  • Incorporating jumps
  • Detailed example VaR calculation for an energy portfolio

Workshop: simulating energy forward curves and calculation of VaR for an energy portfolio

To discuss your in-house course requirements, contact us.