May 16, 2012

08.50 Welcome address

09.00 KEYNOTE: The Straits of Hormuz: The connection between energy risks and financial risks in the world economy

The impact of a cut-off of the Straits of Hormuz on the oil price itself and on the quadrillion of derivatives
How a derivative crisis can and will be coped with
The impact of a rise in the oil price on the price of petroleum based fertilizer and the world agricultural market
The impact of this crisis on each of the major industrial countries
The ability of the cross Arabian pipelines to divert production away from the Arabian Gulf to the Indian Ocean port outlets and its ability to alleviate the crisis

David Lifschultz, CEO, GENOIL

09.40 PANEL DISCUSSION: Development of the trading strategies for the natural gas markets

Capturing the relationship between Nat Gas futures and intra-month Nat Gas daily prices
Impact of the relationship to hedging intra-month daily prices
Potential importance:tolling agreements; risk-management of power plants; pipeline valuation; intra-month financial products; valuation of storage facilities
Impact of storage surprises
Ex-ante and ex-post results of the trading strategy

Ehud Ronn, Department of Finance, McCombs School of Business, UNIVERSITY OF TEXAS

Vince Kaminsky, Professor, RICE UNIVERSITY'S JESSE H. JONES

GRADUATE SCHOOL OF MANAGEMENT

Berney Aucoin, Vice President, Structure & Strategy, SEQUENT ENERGY MANAGEMENT

10:20 PANEL DISCUSSION: LNG - global and domestic supply and demand outlook

Development of LNG price indexes and swaps and other derivatives
Big importers and exporters
Newcomers and regions to watch

The drivers and prospects for global coal versus LNG competition

The economic viability of US LNG exports and shale gas production in the US and around the world

Chris David, Vice President, Portfolio Management & Structuring, REPSOL ENERGY NORTH AMERICA

Frank Wolak, Director, Program on Energy and Sustainable Development, STANFORD UNIVERSITY

Other speakers to be confirmed, please visit website for updates

10.50 Morning break

RISK MANAGEMENT AND TRADING

QUANTITATIVE ANALYSIS AND MODELING

Chairman's opening remarks

11.20 The role of CRRs (congestion revenue rights) and FTRs (financial transmission rights) in improving energy market efficiency

Use of CRRs in US nodal markets
How CRRs can enhance and detract from energy market efficiency
Auctions versus allocations of CRRs
Convergence bidding and CRR interactions
Developing a secondary market for CRRs

Frank Wolak, Director, Program on Energy and Sustainable Development, STANFORD UNIVERSITY

Challenges and pitfalls of commodity modeling

Evolution of models
Hedging challenges
Liquidity and incompleteness
Modeling requirements and model validation
Real option modeling: special challenges
Possible solutions

Alexander Eydeland, Managing Director, MORGAN STANLEY

12.00 Managing ETRM and Market Data under Dodd Frank

Sources and practical applications of data for the energy markets
Data standardization and consistency challenges - confirmations, deal capture, compliance, risk, clearing and settlement
Regulatory reform and its meaning for data management at different market participants
Real time reporting and challenges for ETRM system data

Speaker to be confirmed, please visit website for updates

Living with model risk - do you trust your model?

How model risk can undermine all forms of risk management
Definitions of 4 main categories of model risk
Maximum likelihood and LR testing
An example: toll valuation and the hidden assumption

Ivo Steijn, Manager, Risk Analytics, SOUTHERN CALIFORNIA EDISON

12.40 Lunch and opportunity to visit the exhibition

1.40 OTC clearing for commodity derivatives - challenges and risks arising from new regulations

What factors should be considered when selecting a dealer or FCM; clearing houses
Default management: what defences do US CCP's offer their clearing members?
How can buy -side effectively manage and optimise their collateral
Where are we at regarding preparations made across the industry for the changes in rules on clearing and execution process?
What are the requirements for organizations to standardize swaps to be traded under Dodd-Frank?

Representative from THE STRUCTURE GROUP

The value of wind curtailment

Wind power curve models
Impact of power curve model on the value of curtailed production

Hans Tuenter, Senior Model Developer, Energy Markets, ONTARIO POWER GENERATION

2.20 PANEL DISCUSSION: Weather risk management and hedging strategies

The development of the weather derivatives market
Managing combined weather and price risk for the energy industry - hedging considerations
Increasing occurrence of heat waves and cold snaps - impacts on price volatility in natural gas/power markets and hedging alternatives

Jenny Dissen, National Climate Data Center, Director of the Summer Institute on Climate Change, Member of AMS ENERGY COMMITTEE

Other speakers to be confirmed

Pricing and hedging tolling agreements

Types of tolling contracts
Forward vs. spot value
Spot value and DSP's
Standard heuristics and their relationship to optimal value
Optimal approximations

a. Optimal value classifications and martingale duality

b. Parametrization of the optimal approximation

Sufficient statistics of the pricing problem

a. Minimal martingales

b. Long-term correlation and cointegration

c. Forward and cash variances

Daniel Mahoney, Senior Quantitative Analyst, Front Office Quant Group, SOCIETE GENERALE

3.00 Risk impacts of growing renewable energy capacity in power markets

What are the effects on earnings volatility and how can they be managed/hedged?

Speaker to be confirmed, please visit website for updates

Wind power from a developer perspective

What risks are faced?
How are they going to mitigate it?
Wind modeling
Wind development

Cedric Kouam, Market Operations Manager, EDP RENEWABLES NORTH AMERICA

3.40 Afternoon break

4.10 Oil market outlook. Latest trends in crude oil pricing in North American markets and impact on margins

World oil prices long term outlook
Global trends' effect on demand in US and Canada for heavy and synthetic crude oil
Supply routes constraints and uncertainties
Oil sands producers' market diversification strategy and impact on pricing and margins
Oil sands' viability as a long term supply source in view of current global trends in the economy
Price differential dynamics and impact on investment in production, upgrades and refining revamps
Implications for prices and hedging programs if the US pipeline projects do/do not get approved?

Speaker to be confirmed, please visit website for updates

4.50 PANEL DISCUSSION: Sound hedging and risk management policy in energy portfolio management

Trends in ERM
Portfolio risk modeling
Stress testing of energy assets
Techniques for managing liquidity risk
How to foresee the threat of credit risk cycles

Swati Daji, Chief Risk Officer, DUKE ENERGY

Brett Humphreys, Executive Director, Commodities Risk Management, MORGAN STANLEY

Gary Taylor, Head of Market Risk, BP

Brenda Boultwood, Chief Risk Officer, CONSTELLATION ENERGY

5.30 Closing remarks from the chairman. End of conference.