6-7 November 2013, London

An advanced training course for analysts on

The Econometrics of Energy Markets

Andrea Bucca, Glencore LtdMark Cummins, Dublin City University

Course Leaders

This course in the econometrics of energy markets is aimed at market analysts, quantitative analysts and risk analysts, as well as economists in the energy sector.

With this advanced course you will learn to model energy spot prices, including advanced features such as stochastic volatility and jumps. The course will give an overview of time series modelling, including cointegration and error correction models. Advanced modelling techniques for energy futures and options markets will also be presented in detail.

In order for you to understand how to use the theory in your every day work, the lectures will be mixed with practical exercises.

Who should attend?o Market Analystso Quantitative Analystso Risk Analystso Energy Economistso Middle-Offi ce Analystso Risk Managers

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Knowledge requirementsYou will need to have an understanding of basic statistical techniques (undergraduate level).

Laptop requiredYou will complete exercises on your own laptop. You will need to have MS Excel with the Solver addin installed on your computer and also have the open source econometric package GRETL installed, which is available at http://gretl.sourceforge.net/.

The Econometrics of Energy Markets

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Programme Day 1 Programme Day 28.30 - 9.00: Registration

9.00 -17:00:

Morning Session:Modelling in Energy Markets

▶ Introduction to energy markets – oil, gas and electricity ▶ Statistical properties of energy market prices ▶ Introduction to ordinary and generalized least squares modelling

▶ Application of autoregressive (AR), moving average (MA) and autoregressive moving average (ARMA) techniques

▶ Overview of error-correction models ▶ Application of cointegration techniques

Afternoon Session: Energy Spot Price Modelling

▶ Modelling seasonality in energy price behaviour ▶ Mean-reversion in energy market prices and application of mean-reverting spot price models

▶ Skewness and excess kurtosis eff ects: Stochastic volatility and jump modelling

▶ Application of GARCH techniques in modelling volatility and correlation

▶ Modelling of electricity spot prices: Application of mean-reversion jump-diff usion and regime switching models

All sessions incorporates interactive exercises!

9.00 - 17:00:

Morning Session:Energy Forward Curve Modelling

▶ Overview of statistical properties of energy forward markets

▶ Link between spot price models and forward prices ▶ Analysis of forward price premiums and estimation of market price of risk

▶ Forward curve models: From Black ’76 to multifactor Heath-Jarrow-Morton

▶ HJM forward curve model: Volatility modelling using PCA, and Monte Carlo simulation

Afternoon Session: Model Calibration in Energy Options Markets

▶ Introduction to energy options markets and option pricing ▶ Calibration on options data: Implied estimation of spot price and forward curve models

▶ Evaluating and testing model performance: Goodness-of-fi t, in-sample pricing and out-of-sample pricing

▶ Implied volatility: An examination of volatility surface dynamics in energy options markets

▶ Implied correlation: Analysis of energy spread options markets

All sessions incorporates interactive exercises!

Andrea Bucca is a risk manager responsible for the shipping division in Glencore; his specifi c control activities include measuring and reporting trading exposure, daily P&L reporting, VaR reporting, market risk reporting, as well as monitoring compliance with delegated authorities. Key responsibility is to interface with the trading managers, traders, schedulers and global business units.

Previously he was an Econometrician in the Risk Quantitative Analysis team (RQA) at BP Oil International Ltd. with responsibility for validation and review of existing models, and research and development of new modelling techniques in shipping, gas and power markets. Prior to this, he worked as a Senior Market Analyst at the London Metal Exchange and as aResearch Associate at the Commodities Finance Centre at Birkbeck. Andrea holds an MSc in Finance from Birkbeck, University of London.

Andrea BuccaRisk Manager, Glencore Ltd

Mark Cummins is a Lecturer in Finance at the Dublin City University Business School and Programme Chair of the MSc in Sustainable Energy Finance. He holds a PhD in Quantitative Finance, with specialism in the application of integral transforms and the fast Fourier transform

(FFT) for derivatives valuation and risk management. He has a keen interest in a broad range of energy modelling, derivatives, risk management and trading topics. He also has a particular interest in the area of sustainable energy fi nance, with particular focus on the emissions markets. He holds additional interests in the areas of model risk and model validation.

Mark has previous industry experience working as a Quantitative Analyst within the Global Risk function for BP Oil International Ltd., based in Canary Wharf, London. As part of the Risk Quantitative Analysis team, his primary responsibilities included derivatives and price curve model validation and development, with a global remit across BP’s oil, gas, power, commodities and carbon emissions activities. He now regularly works on a consultancy basis in the energy space.

Mark CumminsLecturer in Finance at Dublin City University

LEADERLEADERLEADERCOURSE LEADERS

LEADER LANGUAGEThe workshop will be delivered in English.

DATE 6-7 November 2013, London

SCHEDULEEach day starts at 09.00 and fi nishes at 17.00hrs.

REGISTRATIONhttp://www.energy-expert-network.com/coursesE-mail: Johanna.Oberg@energy-expert-network.comPhone:+46 (0) 708 55 65 62

FEESEarly Bird 2090€ (register before 26 September)Standard price 2290€

MULTIPLE REGISTRATION DISCOUNTRegister two or more people from the same companyand get a 10% discount per person.

FOOD AND BEVERAGEFood and beverages will be provided to theparticipants during the day. Specifi c wishes can besubmitted to the organization.

LAPTOPWorkshop participants are required to bring a laptop, which has installed both MSExcel (with Solver) and the econometrics package GRETL.

DOCUMENTATIONParticipants receive documentation, calculations andexercises in a manual.

ABOUT THE ORGANIZERS

ENERGY EXPERT NETWORKThe Energy Expert Network is a network of experts and hands-on energy market participants that provides companies with tailored courses.

The Energy Expert Network consists of the ‘best of the best’ industry experts, well known for their knowledge and experience in teaching energy industry professionals. Energy Expert Network also provide open courses on fi xed dates in co-operation with external experts.