Inhalt

The goal is to model various energy data such as gas/electricity loads, spot-prices, electricity seasonalities, the relationship between temperature and load, etc. Some models may be used for forecasting or for improving existing forecasts, but the predominant application of our models is Monte-Carlo based pricing and risk analysis.
We will work with some quite advanced statistical/econometrical models without the usual math surrounding such topics. Instead we try to provide the intuition essential for understanding and developing the models by just implementing them in excel and experimenting with them.
We start with some simple descriptive stats and continue with ordinary least squares estimation. For the more complicated problems we apply maximum likelihood estimation using Excel’s solver to maximize the log-likelihood function.
We will emphasize the importance of checking and analysing the residuals during the model building process and look into various aspects of model selection.
Seminar delegates may take their own data to the seminar and we then try to develop an ad-hoc model in the seminar.

Themen

Designing and parametising a statistical model estimation methods least squares linear regression analysis nonlinear models maximum likelihood (MLE) maximizing the likelihood function using excel’s solver simulating the model mean-reversion stochastic volatility and GARCH various examples: EEX futures, gas spot prices electricity spots (hourly) modelling seasonalities day/week/year analysis of residuals autocorrelation likelihood-ratio tests

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.