Training

Credit, Liquidity and Counterparty Risk Management in Energy Trading


Learn more Date of Training
14 Sep 2018

This course provides a comprehensive overview of credit, liquidity and counterparty risk management in energy trading.   

We will explore how to identify, quantify and mitigate credit and counterparty risk from derivatives and long term contracts. Case studies will illustrate the interaction of market, credit and funding liquidity risk with numerous examples from energy market participants. The course will also cover the critical components to establish sound liquidity and credit risk management policies and procedures.

Delegates will conduct hands-on exercises to implement credit and liquidity risk metrics such as Potential Future Collateral (PFC) and counterparty potential future exposure (PFE), as well as Credit Valuation Adjustments (CVA) in fair value calculations.

The course will also introduce applications of various counterparty risk mitigation tools such ISDA agreements, with emphasis on the Credit Support Annex (CSA) and collateral implications. Netting, guarantees, and credit derivatives will also be covered.

This highly interactive workshop uses up-to-date practical case studies, Excel exercises and group discussions to reinforce and consolidate the concepts presented in the lectures.

Objectives

  • Explore the various dimensions of liquidity and counterparty risk in the energy sector
  • Understand key netting and collateral clauses in ISDA agreements
  • How to perform Counterparty Valuation Adjustments (CVA) for energy derivatives
  • Use of credit mitigation tools such as netting, collateral and credit derivatives in the energy sector
  • Learn how to structure an internal rating system for derivatives counterparties
  • Become familiar with simulation-based approaches to calculate potential future collateral (PFC), potential future exposure (PFE) and other risk metrics using Excel
  • Understand how to set up a limit structure based on Current Exposures as well as Potential future exposures against various counterparties
  • How to aggregate counterparty exposures using netting and collateral terms to provide a single unified view
  • Set up effective credit and liquidity risk management policies and procedures for credit risk management including reserves and credit risk charges.
  • Learn how ratings, indicators, and bond and CDS spreads price default risk
  • Understand the impact of new OTC Derivatives regulations on liquidity and counterparty risk

Recent Updates and Case Studies

  • Impact of European regulations on credit and liquidity risk: EMIR, REMIT and MiFID II
  • Analysis of OW Bunker and Dynamic Oil Trading (Singapore) bankruptcy
  • Credit default swap and bond market assessment of Glencore bankruptcy risk
  • Defaults by oil and gas E&P firms and shipping companies in 2015
  • Credit Valuation Adjustments by leading energy firms



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Date of Training

14 Sep 2018

Creditcounterparty riskrisk managementFinanceenergy trainingMennta

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