Pre-congress seminar 1, May 16, 2011

MANAGING AND MITIGATING CREDIT AND MARKET RISK

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

09.00 Introduction to energy risk management

• Risk management as a social engineering problem: overcoming institutional and IT obstacles to effective risk management
• Financial risk management and energy risk management: a brief history
• Classification of risks

10.30 Coffee break

11.00 Market risk assessment: Value-at-Risk

• Analytical VaR
• Simulation VaR
• Historical VaR
• Limitations of VaR in energy risk management

12.15 Extreme Value Theory: POT approach

12.30 Lunch

13.30 Credit Risk

• Estimation of default risk
• Credit agreements used in energy trading in US and Europe
• Energy portfolio credit VaR

15.00 Coffee break

15.30 Operational Risk

16.30 Probabilistic Risk Assessment Method

17.00 Case studies:

• US MGRM
• BP Macondo Well

17.30 End of seminar