Training

Intermediate Derivatives Markets, Hedging and Risk Management


Learn more Date of Training
18 Apr 2018

The course covers advanced instruments for basis risk management such as basis swaps and options and the use of correlation and regression to identify and measure basis risks. Case studies show to hedge in illiquid markets using proxy hedges.

The use of option strategies, exotic options and structured products is shown in an applied context, with emphasis on pros and cons vs. other hedging instruments. A new module covers how to perform Profit and Loss Attribution for Linear and Non-Linear Derivatives, includes several case studies. The main option “Greeks' (Delta, Gamma, Vega and Theta) are presented using practical exercises.

The course also provides an overview of energy price behavior, and applied probability and statistics using Excel exercises with hands-on calculations. After introducing the building blocks of risk analysis, we estimate volatilities, correlations and calculate Value at Risk and other risk metrics.

The course concludes by providing in-depth applications of market risk management of energy portfolios, with particular emphasis on VaR, Stress Tests and Backtesting. Delegates conduct hands-on calculations for variance-covariance, Monte Carlo and Historical Simulation VaR for energy portfolios.



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Date of Training

18 Apr 2018

derivativesderivatives marketsHedgingrisk managementFinanceMennta

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