Post-congress seminar 1, May 19, 2011

ENERGY MARKET RISK METRICS: APPROPRIATENESS/DESIGN, METHODOLOGY, INFRASTRUCTURE

Christian Ferrer, Director, Co-Head, Global Commodities Trading Market Risk, BANK OF AMERICA MERRILL LYNCH

09.00 Overview of Market Risk Metrics. Appropriateness. Design

• Brief History: Overview of Market Risks. From Banking to Energy. Energy 2001 - Present
• at-Risk Taxonomy / Classification of Metrics - Drivers, Comparisons (VaR, GMaR, CFaR, EaR)
• Anatomy of a Risk Measurement Lifecycle - Different Metric, Common Framework Components
• Comparative Analysis - Drivers. Consumers. Limitations. Benefit / Cost, Organizational Considerations.

10.30 Q&A / Coffee break

10.45 Methodology
• For each metric: Sample Methodology Illustration
• Inputs, Tools, Analytics, Reporting: Considerations by Methodology

12.15 Q&A on Morning Session

12.30 Lunch

13.30 Infrastructure (Part 1) - Framework Components

• Data acquisition (Exposure/Trade/Asset Data, Market/Fundamental/Physical Data)
• Risk Modeling (e.g., Micro asset valuation, integration of physical / financial modeling)
• Valuation / Analytics Requirements (3rd party tools, apps, integration of in-house libraries)
• Risk / Reporting Output Database requirements

15.00 Q&A / Coffee break

15.30 Infrastructure (Part 2) - Putting It All Together

• Front-to-back considerations; Seams, Integration Issues
• Trade-offs : Automated daily production / job vs Ad-hoc Analytics ‘Sandbox' Environment

16.30 Self-Assessment / Case Study

• Single-Asset (Energy) Portfolio - Homogenous risk
• Multi-Asset (Energy) Portfolio - Semi-homogenous risk
• Multi-Asset Class (Energy, Non-Energy Commodities, FX, Interest Rates, etc) - Heterogenous risk
• Each participant also has the opportunity to describe their current framework. Share ideas.

17.30 Q & A / End of seminar