08.00 Registration and breakfast

08.50 Welcome address

09.00 Keynote session

Richard Sandor, Chairman, CHICAGO CLIMATE EXCHANGE

09.40 Regulatory roundtable
Coping with the impact of the latest regulations – how should energy companies respond?
• CFTC position limits
• State of the OTC derivatives market
• Status of OTC derivatives market legislation
• Differences between legislators and between regulators
• Impact of legislation on market liquidity, company hedging and speculative activities by type of company

Mike Gill, Partner, CROWELL AND MORING, LLP
Gregory Mocek, Partner, MCDERMOTT WILL & EMERY LLP
John Wengler, Chief Risk Officer, ENTERGY SERVICES

10.50 Coffee break

STREAM 1
Market developments

11.10 Risks within ERCOT zonal – nodal transition
• Congestion Hedging Choices/Complexity Increase
• Day Ahead - Real Time Choices
• Dynamic TX Grid—technical and market characteristics
• Credit with ISO

Speaker and topic to be confirmed

11.30 Changing landscape of the gas market in the US

• Impact of shales natural gas on the production and prices of LNG and natural gas
• How will the changing pipeline grid change the dynamics of gas prices?

Porter Bennett, President and Chief Executive Officer, BENTEK ENERGY

12.10 Wall street and energy, the value proposition from the equity markets

John Olson, SANDERS MORRIS HARRIS GROUP

12.40 Riding the steel bronco
• Understanding steel industry drivers of price volatility
• Achieving greater transparency of steel price risk in energy company procurement practices
• A look at tactics and tools to mitigate exposure to price/supply volatility

Patrick McCormick, Managing Partner, WORLD STEEL DYNAMICS and President, WORLD STEEL EXCHANGE MARKETING

13.10 New technology and demand-side management
• A look at the changing power market
• Conversion between power and gas market
• Reliability of supply
• New legislations

Speaker to be confirmed

13.40 Lunch and opportunity to visit the exhibitions

Environmental risk management

14.40 Renewable portfolio standards – a multi-stakeholder perspective
• Risks (market, regulatory, liquidity, etc.) facing generators, utilities & electricity suppliers, lenders, and liquidity providers in the U.S. RPS/REC markets
• Assessing the financial impact of state policies
• Highlighting the unique risks facing each stakeholder in RPS states

Peter Toomey, Manager, Environmental Markets, IBERDROLA RENEWABLES USA
Dan Scarbrough, Senior Vice President, CHICAGO CLIMATE FUTURES EXCHANGE

15.10 Integrating wind energy in ERCOT
• The CREZ process and what it means for wind energy in ERCOT
• How has ERCOT addressed wind integration in the past
• What are the future wind integration challenges and how are they being addressed

Jess Totten, Director, Competitive Markets, PUBLIC UTIITIES COMMISSION OF TEXAS

15.40 Coffee break

16.00 Topic to be confirmed

William Windle, RENRE ENERGY ADVISORS

3.40 Panel on carbon trading and environment risk

• What’s the future for a US carbon cap and trade program?
• State Renewable Portfolio Standard (RPS) REC markets
• U.S. Clean Air Act Markets for SO2 and NOx
• New technologies in renewable energy
• True profits without government subsidies

Peter Toomey, Manager, Environmental Markets, IBERDROLA RENEWABLES USA
Jess Totten, Director, Competitive Markets, PUBLIC UTIITIES COMMISSION OF TEXAS
William Windle, RENRE ENERGY ADVISORS

17.00 Closing remarks

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STREAM 2
Quantitative methods for energy markets

10.50 Chairman's opening remarks

11.10 Pricing and hedging options on physical gas storage
• Motivations and modeling approach
• Fast and reliable underlying storage model
• The compound option pricing and risk management

Zimin Lu, Head of Quantitative Research, BP

11.40 Statistical properties of energy prices
• Scaling laws: Examples: natural gas and crude oil prices
• Stable distributions
• Extreme value theory

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

12.10 Complex models for risk managers in the commodities and natural gas markets

• In a New York minute: 80-20 rules for a faster world
• Top tips and dirty tricks continued: how to ruthlessly kill complexity
• Instant rules for total VaR, incremental VaR, expected shortfall, the value of optionality, the change in risk due to hedging
• Attack of the clever art-history majors: how to set yourself apart from anyone else who knows how to use a computer
• “What’s on your fridge?” Refrigerator formulas for risk managers
• Application to natural gas, coal, and emissions

Chris Schlegel, Manager, Risk Analysis Services, SOUTHERN COMPANY

12.40 Risk management and valuation of generation assets
• A look at different modelling approaches
• Implementing modelling via numerical techniques
• Calculating intrinsic and extrinsic value
• Determining the effects of operational constraints and emissions on the value of generation assets

Chris Strickland, Director, LACIMA

13.10 Structural models of commodity price dynamics
• Structural models vs. reduced form models: uses and comparative advantages
• Implications of structural models for storable commodity forward curve dynamics
• The relation between the curve and volatility
• Unspanned stochastic fundamental volatility, storage, and option pricing

Craig Pirong, Professor of Finance, Director, Global Energy Management Institute, Bauer College of Business, THE UNIVERSITY OF HOUSTON and Member, CFTC ENERGY MARKET ADVISORY COMMITTEE AND CFTC TECHNOLOGY ADVISORY COMMITTEE

13.40 Lunch and opportunity to visit the exhibitions

14.40 Liquidity Risk – Avoiding the “Roach Motel” Trade
• What are the risks and costs around lack of liquidity?
• How do we estimate liquidity in the market? What defines a “big” position?
• Constructing a liquidity VaR.
• Appropriately adjusting MTM values based upon underlying liquidity

Brett Humphreys, MORGAN STANLEY

15.10 Simulating multivariate time series while estimating no parameters
• Why we prefer nonparametric simulation methods
• What we do to simulate multivariate time series
- Stationary series
- Non-stationary series
• How we test time series simulations for adequacy

Mark Morss, Principal Analyst, Market Risk Analytics, AMERICAN ELECTRIC POWER

15.40 Coffee break

16.00 Transaction cost, liquidity, and risk for a dynamically hedged spread option portfolio
• Replication of option position through delta hedging
• Transaction costs and liquidity in commodity trading
• P/L distribution with and without transaction cost under dynamic hedging
• Discrete hedging error and risk
• Implication of transaction cost in structuring, pricing and risk management

Kenneth Deng, Head, Quantitative Strategies, Vice President, Structuring, EDF TRADING NORTH AMERICA

16.30 Correlation and conditional probability for multiple underlying assets
• Discussion focusing on the cental problem of conditional probability distributions for multiple underlying assets
• Measures of dependence
• Uses and limitations of correlation in capturing linear dependence
• Alternatives to traditional linear dependence in valuation
• Applications to typical energy derivative instruments

Dayne Zimmerman, Head of ERCOT Trading, DIRECT ENERGY

17.00 Closing remarks