Inhalt

We start with a simple position in standard products and calculate the VaR in Excel using historical simulation. Then we proceed to the analytical VaR calculation based on the normal distribution of the market factors. As stochastic inputs (market factors) we use EEX futures. The VaR will then form the starting point for analyzing further aspects of risk management: computing marginal VaR (the sensitivities of VaR), creating a risk minimizing hedge analytically, doing the same numerically with Excel's solver, etc. As an alternative to the analytical approach we do Monte Carlo simulations to produce the VaR figure and discuss when this method should be used in practice. Monte Carlo simulation will also be our method of choice for solving other risk management problems, such as measuring credit risk and liquidity risk. In this seminar we develop a number of useful and not too complex Excel sheets to illustrate the fundamentals of risk management and risk measurement in the energy context.

Themen

Value at Risk (VaR), a quantile modeling the probability distributions volatilities and correlations using an exponentially weighted observations VaR analytically in multi dimensions more complex problems the simulation approach to obtain a VaR figure Monte Carlo and historical simulations market and credit risk liquidity risk

Zielgruppe

risk management, trading, analysis and statistics, portfolio management, procurement, sales, and all others interested from the energy sector a good working experience with excel is required.

Format

100% Excel-Workshop highly interactive, lots of space for individual aspects and questions design your own excel sheets following the course instructors guidance solve sample problems extend your excel capabilities create and benefit from practically useful excel sheets.

Hinweise zur Technik

On the computers we provide there is Office 2007 installed which can be used in either English or German. Also there is a German Office 2003 but (as of now) the language cannot be changed. Windows is in German and the keyboard layout is German as well. In case you prefer to use your own notebook computer please make sure that Excel's solver is installed and memory sticks can be used.