08.00 Registration and breakfast

08.50 Welcome address

09.00 Keynote session

Energy and the Pied Piper: Expectations and the real market

Edward Morse, Head of Global Commodities Research, CREDIT SUISSE

09.40 Special address

Matthew Simmons, Chairman Emeritus, SIMMONS & COMPANY INTERNATIONAL

10.20 Coffee break

10.50 Market shifts on weather trading
• Traditional and modern approaches to (Weather) Risk Management
• Impacts of pending legislation

Lynda Clemmons, Independent Consultant

11.30 Financial reform proposals - impact on energy trading
• The controversy:
 Impact of speculators and commodity funds on price levels and price volatility vs. supply/demand fundamentals
 The systemic threat posed by derivatives
The impact of financial instruments on physical markets
Discussion: are these points valid?
• Solutions proposed for OTC products
 Strict position limits applied to all exchanges and OTC markets
 Mandatory exchange trading and clearing
 Higher capital requirements
 Reporting of transactions to central data repository
• Coordination of regulatory oversight: respective jurisdictions of FERC, SEC and CFTC

Vincent Kaminski, RICE UNIVERSITY'S JESSE H. JONES GRADUATE SCHOOL OF MANAGEMENT

12.10 Lunch and opportunity to visit the exhibitions

STREAM 1
Risk management in energy trading

13.10 Risk tolerance and risk appetite – a foundation for effective risk management
• Risk tolerance – what is it and why does it matter?
• Risk appetite – relationship to risk tolerance and value-driven ERM
• A decision-focused case study
• Influence on risk policy and hedging decisions

Robert Stibolt, Managing Director, GALWAY GROUP LP

13.40 Panel: Developments within Enterprise-Wide Risk Management

• Firm-wide considerations of a economic meltdown
• Credit considerations in an illiquid market
• Implementing a risk framework to identify and help manage risks often missed today
• Integrating liquidity considerations into the overall risk picture
• Integrating finance into risk – moving from measurement and transparency to include proactive forecasting
• Can an integrated risk picture be created? How far should that effort be taken
• If so, what is the value of spending the time and energy to paint the picture?

Sid Jacobson, PA CONSULTING GROUP

14.10 Managing extreme market risk
• Types of risk
• Knowing the data
• Knowing what is possible
• Methods for risk analysis
• Probability distribution
• Optimization
• Systems integration

Zak El-Ramly, President and Chief Executive Officer, ZE POWERGROUP

14.40 Multi commodity optimization with integrated risk management
• Why multi-commodity Optimization - One system solution for Portfolio - Optimization and ETRM Analysis covering the whole value chain including regulatory compliance
• What is impact on risk management?
• Complementing functionality to risk in ETRM: system view on risk supported by Scenario Management , Integrated Risk Hedging and Monte Carlo

Markus Seiser, Managing Director, Central Europe, OPEN LINK

15.10 Panel on risk management in energy trading
• Have advances in risk management and financial engineering made energy trading riskier?
• Ability to address risks through formal quantitative models
• Is VaR an effective measurement tool?
• Assessing the need for a more robust and independent risk management unit

Moderator: Robert Stibolt, Managing Director, GALWAY GROUP LP
Zak El-Ramly, President and Chief Executive Officer, ZE POWERGROUP
Sid Jacobson, PA CONSULTING
Markus Seiser, Managing Director, Central Europe, OPEN LINK
Leonard Huxtable, Practice Area Executive, ETRM Practice, THE STRUCTURE GROUP
Senior person, CME

15.40 Coffee break

Credit and market risk management

16.00 Innovations from financial institutions to overcome credit and collateral challenges

Nick Cioll, Chief Financial Officer and Chief Risk Officer, TRIEAGLE ENERGY

16.30 Incorporating liquidity risk and operational risks in the formal risk management process
• Key components of a comprehensive risk management program
• Measuring and managing liquidity risks
• Identifying measurable operational risks
• Quantifying and managing operational risks

Darilyn Jones, Senior Vice President, Risk Control, SEQUENT ENERGY

17.00 Managing price risk and volatility in electricity markets
• Increased demand-side participation
• Greater use of intermittent generation

Ron McNamara, Independent Consultant and ex-Managing Director, Power Trading, SARACEN

17.30 Panel on credit and market risk management

• The increased emphasis on the importance of counterparty and credit risk
• Trust issue in agency ratings
• Benchmark in credit risk indicators

Darilyn Jones, Senior Vice President, Risk Control, SEQUENT ENERGY
Nick Cioll, Chief Financial Officer and Chief Risk Officer, TRIEAGLE ENERGY
Ron McNamara, Independent Consultant and ex-Managing Director, Power Trading, SARACEN
Mark Jackson, Director of Risk Management, SOLARC

18.00 Closing remarks

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STREAM 2
Quantitative methods for energy markets

13.10 Managing model risk – aligning what you think you are doing, what you are actually doing and what you should be doing
• Identifying important models
• Methods of model validation
• Quantification of model error
• Calibration of models
• The modeling framework - global assumption reconciliation
• Importance of documentation

Alexander Eydeland, Executive Director, MORGAN STANLEY

Roza Galeeva, Executive Director , Commodity Market Modeling Group, MORGAN STANLEY

13.40 Determining strike specific volatility estimates for off-Hub locations
• Common practitioner complaints
• An overview of available data
• A survey of current techniques in the literature

Kevin Kindall, Director of Quantitative Analysis, CONOCOPHILLIPS

14.10 Hedge optimization methods to increase cash flow and minimize risk
• Evaluate hedge effectiveness
• How to incorporate market data effectively into hedge design
• Reshape and rebalance hedges for increased value
• Manage hedge payoff structures to support your portfolio

Gary Dorris, President, ASCEND ANALYTICS

14.40 Managing a book of financial positions and physical assets in the commodity space
• Aluminium smelters and oil refineries as portfolios of spread options
• Electricity spikes and virtual nuclear plants auctions
• Forward freight agreements, spot rates and implied freight rates in the coal market

Helyette Geman, Director of the Commodity Finance Centre, UNIVERSITY OF LONDON and ESCP Europe - Member of the Board, UBS BLOOMBERG COMMODITY INDEX

15.10 Actuarial approach for using weather derivatives for managing business risk
• Combining numerical weather prediction and determinism of nonlinear processes
• A new view of weather derivatives which is simultaneously robust in its fundamental approach while remaining sensible for everyday practitioners
• Analyzing the risk/return and hedging characteristics of weather derivatives

Michael Friedlander, COO and CFO, APG ASSET MANAGEMENT ASIA

15.40 Coffee break

16.00 Financial transmission asset pricing and portfolio selection
• Applying Bayesian approach to CRR and FTR pre-auction pricing and possibly post-auction MTM
• With application to California CRR (Congestion Revenue Right) and PJM FTR (Financial Transmission Right)

Joseph Chen, Quantitative Risk Manager, TRANSALTA CORPORATION

16.30 Short-term forecasting of wind energy
• Short-term versus Long-term forecasting
• Persistence forecasting as a benchmark
• Incorporating meteorological forecasts and its value
• Experiences at OPG with short-term forecasting

Hans Tuenter, Senior Model Developer, ONTARIO POWER GENERATION

17.00 The marginal effects of CO2 prices on electric generation
• The market-based framework for CO2 pricing
• Modeling the effects of CO2 pricing on electric generation
• The significance of marginal and average effects
• How the changing marginal effects of CO2 pricing influence costs and emissions

Ted Kury, Director of Energy Studies, Public Utility Research Center, UNIVERSITY OF FLORIDA

17.30 Dealing with “market price of risk” in fundamental market modeling

• Correcting fundamental model projections, which are systematically underestimating long term forward prices

Art M. Altman, Research in Methods for Energy Risk Management, Market Forecasting and Portfolio Optimization, ELECTRIC POWER RESEARCH INSTITUTE (EPRI)

18.00 Closing remarks