Power Risk Analysis Workshop

Produced by the Knowledge Center, expert training from S&P Global Market Intelligence

Power Risk Analysis Workshop shows you how to create a comprehensive power risk methodology; one that addresses risk from the enterprise level all the way down to individual risks. You will learn how to make Value-at-Risk work in practice – how to design, implement and use scalable production Value-at-Risk measures. Real-world challenges are discussed as they relate to measurement and computation of energy-related uncertainty and risk.

What you'll learn:

In group exercises and case studies, you will examine best practices, identify key fundamental relationships and perform exercises to update models. Participants will also vet standard quant models and emergent techniques in risk mitigation and stress testing.

You will learn when and how to apply the appropriate calculation approaches for different applications and understand how the underlying statistics can make or break energy risk calculations.

Who attends?

This course presumes that participants are familiar with standard basic option pricing theory or risk modeling.

  • Market risk managers
  • Energy traders and managers
  • End-users of derivatives in corporations
  • Risk consultants
  • Risk and audit committee members
  • Finance department professionals
  • Compliance managers
  • Portfolio Analysts
  • Financial Performance Analysts
  • Market and Business Development

What others are saying:

"Very practical, with the right mix of theory."
– Risk Lead, an Electric Utility Company

"Models in Excel are very useful."
– Senior Associate, an international Renewable Energy Company

"Comprehensive. Helpful for a diverse group with unique situations."
– Power Analyst, an Electric Services Company


Kenneth Skinner, PhD

Vice President, Risk & Evaluation Products

Dr. Skinner has over 20 years’ experience in evaluation and risk measurement, having worked as an energy consultant with PHB Hagler Bailly and Financial Times (FT) Energy, and as the Derivative Structuring Manager for the retail energy supplier Sempra Energy Solutions. He earned his PhD from Colorado School of Mines, in Mineral Economics, with an emphasis in Operations Research, plus an MBA from Regis University and a BS in Engineering from Letourneau University. 

Dr. Skinner is a nationally recognized expert in economic evaluation and modeling of energy assets including energy storage, distribution and generation, efficiency and demand response, renewable energy alternatives, financial derivatives and structured contracts using net present value, econometric and statistical methods, optimization principles, and real option valuation techniques. Dr. Skinner is widely published and currently the technology columnist for Wiley Natural Gas and Electricity Journal. He is a noted speaker on energy related topics for organizations such as AESP, IAEE, ACEEE, PLMA, IEPEC, INFORMS, Infocast, EUCI, SNL Energy and PGS Energy Training. 

Notable risk management assignments include: developing the value at risk (VaR) reporting system for a natural gas trading company, assessing risk models for an international electric supplier,  advising an electric utility on risk adjusted reporting metrics, building the natural gas storage valuation model and mark-to-market reporting for a national gas company, assessing term risk for structured retail gas and electricity contracts, pricing risk associated with complex generation fuel supply and tolling contracts, and author of a national retail energy supplier’s structured pricing model.

Power Risk Analysis Workshop Agenda

WEDNESDAY, November 2nd
07:30 am
Registration and Continental Breakfast Open:
08:00 am
Risk 101: Tools, Templates and Calculations:
• Key terms and definitions for energy risk management • Understanding and evaluating how companies approach commodities and capital markets risk • Hedging vs. optimization • Legislative/regulatory outlook for derivatives • Ratings and credit implications, including: o The statistical foundations of risk o Principal tools of risk analysis, including the fundamental concepts of VaR, EaR and risk management o Introduction to Monte Carlo simulation, correlation and Cholesky decomposition o Fundamentals of market risk and how to calculate value-at-risk (VaR); three approaches to calculating VaR – model-building, historical simulation and Monte Carlo simulation– advantages and disadvantages• Exercise: Statistical modeling and confidence intervals - Energy Budgetary Risk • Exercise: Monte Carlo simulation and correlating random numbers • Exercise: Comparing the three approaches to calculate VaR for a skewed portfolio • Exercise: Cornish-Fisher expansion to correct gamma error
11:30 am
01:00 pm
Principals of Enterprise Wide Risk Management:
In this session, we focus on the fundamental principles of enterprise wide risk management from strategic corporate goals to risk identification and reporting. The discussion includes methods and challenges of risk identification beyond financial instruments, to corporate wide earnings at risk measures. Real-world challenges are discussed relating to measurement and computation of energy related uncertainty and risk. Participants will learn: • What is risk worth? Moving beyond value at risk to value of risk • Impact of current regulations on use of derivatives for risk management • Regulated cost recovery of capital asset investment for reliability and risk • Keys to successful wnterprise-wide risk management • Strategic risk management and planning • Modeling known known’s, known unknowns, and unknown unknowns • Risk committee and policy essentials
02:45 pm
Energy Derivatives, Pricing and Hedging:
Understanding the valuation of options and derivatives; best practices to keep analysts on point, considerations in the option and derivative markets and how these elements impact the valuation on these instruments. Participants will learn different calculation approaches needed for different applications and understand how the underlying statistics can make or break energy risk calculations, including: • Fundamentals of Hedging Energy Risk • Price volatility; hedging strategies; understand how correlation and hedging work together to manage risk • Forecasting volatility using Geometric Brownian Motion (GBM), mean reversion jump diffusion and other financial engineering models • Develop the framework to analyze derivatives structures and long term contracts • Using the Efficiency Frontier and the Sharp Ratio to determine VaR limits and risk tolerance • Apply the variable of credit risk; identify the issues and use the appropriate models • Exercise: Portfolios and volatility – getting the units right • Exercise: Energy and energy volatility forecasting • Exercise: Monte Carlo modeling of risk factors • Exercise: Calculating the value demand uncertainty risk • Exercise: Building a weather hedge • Case Study – Hedging Energy Exposure • Case Study - Layered Hedging Strategy
05:00 pm
Day One Concludes:
THURSDAY, November 3rd
07:30 am
Continental Breakfast Opens:
08:00 am
Hedge Optimization to Increase Cash Flow and Minimize Risk:
Utility hedge design has generally focused on creation of balanced physical positions largely independent of market prices. Although disciplined rules applied to cover physical exposure work well, they fall far short of optimal hedging. Unleash the latent value of generation assets and load obligations by turning risk management into an affirmative business tool that drives value and reduces uncertainty in budgeted cash flows. This is a hands-on session that builds on lessons learned in previous sessions and will walk attendees through exercises on portfolio hedging for actual utility portfolios, including: • Interpreting and applying metrics of hedge effectiveness • Where basic hedge strategies fall short • How to apply dynamic hedging to meet corporate goals • Case studies in hedge applications with review and interpretation of results • Exercise: Regression Analysis of Hedge Effectiveness • Exercise: Delta and Dynamic Hedging
10:15 am
Analytics of Managing Commodities Risk as Markets Evolve:
This session will outline the knowledge and skills needed to pursue a comprehensive risk strategy in today's ever-changing commodities marketplace. Through practical exercises from the power sector, the instructor will walk participants through the process to develop a strategy that is comprehensive enough to take account of traditional fundamental drivers of price volatility while being flexible enough to cope with the new demands of the emerging regulatory framework. Key elements include: • Incorporate current margin and capital requirements to your risk models • Consider other trends in more recent instruments (weather contracts, catastrophic, volatility indices and credit default swaps) • Implementing extreme value theory (and other lessons from the banking crises) • Exercise: Building a NYMEX gas portfolio VaR calculation from scratch
11:30 am
01:00 pm
Case Studies: Risk Mitigation/Modeling:
The focus is on how to make value-at-risk work in practice—how to design, implement and use scalable production value-at-risk measures on real trading floors. The relationship between risk and value is further developed as we apply financial engineering principals to strategic capital asset problems. Participants will discuss best practices/identify key fundamental relationships as well as perform exercises to update models; vet standard quant models and examine emergent techniques in risk mitigation, strategic valuation and stress testing, including: • Selection and use of risk metrics and value drivers • How to incorporate forward market prices, unit characteristics, forced outages, and retail load • Visualization of market and physical component contributions to risk • Model validation and benchmarking of results • How to forecast strategic project risk using financial engineering methods • Exercise: Valuing Physical Energy Assets using Financial Engineering Tools • Exercise: Calculating the value of Energy Storage for Renewable Energy Intermittency Risk
04:00 pm
Program Concludes:

Ticket Info

Group pricing is available.

Event location

Downtown Conference Center 157 William Street New York, NY Although lodging is not provided as part of this program, the hotels listed below are convenient to the Downtown Conference Center.

Frequently Asked Questions

What is the dress code?
Business casual

Do I need a laptop?
Yes. The seminar's agenda includes learning to navigate and understand websites useful in constructing analyses. Access to the internet will be via WiFi (at no charge). Please be sure your laptop is WiFi-capable.

What is your cancellation policy?
Cancellations for this program are eligible for a full refund, less a $150.00 administrative fee, if received at least 15 business days prior to the start of the program. Cancellations received after that date but at least 5 business days prior to the start of the program receive a credit in the amount of the registration fee, less a $150.00 administrative fee, to attend another Knowledge Center program within 13 months. Cancellations received fewer than 5 business days prior to the start of the program are not eligible for a refund or credit.

Attendee substitutions from the same company may be made at any time.

In the event of a cancellation from a group discount, refunds or credits are issued beginning with the most heavily discounted price, minus a $150.00 administration fee.

"No shows" - or those who cancel within 15 days of the program - and have registered under the Invoice option, remain liable for the full program fee.

The Knowledge Center reserves the right to cancel/change programs, content, speakers or venue at any time. The Knowledge Center reserves the right to make portions of the program registration information available to program sponsors. The Knowledge Center will not be held liable for any costs incurred by registrant due to individual registration cancellation. In the event that a seminar is cancelled due to inclement weather, faculty cancellation or force majeure, the Knowledge Center will refund the registrant's tuition in full, however the Knowledge Center will not be liable for incidental or consequential out of pocket expenses incurred by the registrant. If you have questions regarding the Knowledge Center's refund, complaint or program cancellation policy, please call us at (434) 951-7786.

Registrant, as an individual person attending a Knowledge Center conference, seminar, or other program, hereby grants permission to the Knowledge Center to use and publish his or her image, likeness, or testimonials collected in connection with the program for advertising and trade purposes in connection with the Knowledge Center’s conferences, instructional, and/or marketing activities.

Continuing Education Credits

12.5 Hours
The Knowledge Center is registered with CFA Institute as an Approved Provider of professional development programs. This program is eligible for 12.5 CE credits hours as granted by CFA Institute. If you are a CFA Institute member, CE credit for you attendance at this event will be automatically recorded in your CE Diary upon request.
14.5 Hours
Participants attending the entire program qualify for 14.5 CPE credit hours (Specialized Knowledge and Applications). Program Level: Intermediate. Delivery Method: Group-Live. The Knowledge Center is registered with the National Association of State Boards of Accountancy (NASBA), as a sponsor of continuing professional education on the National Registry of CPE Sponsors. State boards of accountancy have final authority on the acceptance of individual courses for CPE credit. Complaints regarding registered sponsors may be addressed to the National Registry of CPE Sponsors, 150 4th Ave N, Ste 700, Nashville, TN, 37219-2417. Web site: