08.00 Registration and breakfast

09.00 Welcome address

09.10 Keynote session

Edward Morse, Head of Global Commodities Research, CREDIT SUISSE

09.50 Special address

Matthew Simmons, Chairman Emeritus, SIMMONS & COMPANY INTERNATIONAL

10.30 Coffee break

11.00 Topic to be confirmed

Michael Bertuccio, Director, ARTURUS CAPITAL

11.40 Topic to be confirmed

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

12.20 Lunch and opportunity to visit the exhibitions

STREAM 1
Risk management in energy trading

1.30 Chairman's opening remarks

1.40 How have risk managers kept pace with the trading environment?

• Empowering risk managers
• How should risk managers take advantage of the spotlight on them now?
• What role does fundamental modelling have in energy trading?
• Interaction skills of “philosophers” quants with the traders

2.10 Risk management tools for energy trading companies to avoiding systemic failures

• Can value-at-risk be used for energy trading?
• What other indicators can you use such as cash-flow-at-risk and PNL-at-risk?
• How to measure risk of long-term investments?
• Counterparty risk
• Does ownership of physical assets present other risk management challenges?
• How to deal with extreme market events

2.40 Developments within Enterprise-Wide Risk Management

• Can an integrated risk picture be created? If so, what is the value of spending the time and energy to paint the picture?

3.10 Panel discussion: Risk management in energy trading

• Have advances in risk management and financial engineering made energy trading riskier?
• Ability to address risks through formal quantitative models
• Is VaR an effective measurement tool?
• Assessing the need for a more robust and independent risk management unit

3.40 Coffee break

Credit risk management

4.00 Chairman's opening remarks

4.10 Innovations from financial institutions to overcome credit and collateral challenges

4.40 Incorporating liquidity risk and operational risks in the formal risk management process

5.10 Assessment of counterparty risk in energy trading

5.40 Panel discussion: Credit risk management

• The increased emphasis on the importance of counterparty and credit risk
• Trust issue in agency ratings
• Benchmark in credit risk indicators

6.10 Closing remarks

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STREAM 2
Quantitative methods for energy markets

1.40 Modelling counterparty risk in commodity markets

2.10 Effective VaR techniques for the risk manager

• What is the best framework for your organizational set-up?
• Calibration issues
• Components in calculating CVaR
• Application of CVaR

2.40 Managing a book of financial positions and physical assets in the commodity space

3.10 Short-term forecasting of wind energy

3.40 Coffee break

4.10 Financial transmission asset pricing and portfolio selection
• Applying Bayesian approach to CRR and FTR pre-auction pricing and possibly post-auction MTM
• With application to California CRR (Congestion Revenue Right) and PJM FTR (Financial Transmission Right)

4.40 Managing model risk – aligning what you think you are doing, what you are actually doing and what you should be doing

• Identifying important models
• Methods of model validation
• Quantification of model error
• Calibration of models
• The modeling framework - global assumption reconciliation
• Importance of documentation

5.10 Algorithmic trading in energy trading

• Managing the risks involving multiple orders
• Product innovations and offerings

5.40 Dealing with “market price of risk” in fundamental market modeling

• Correcting fundamental model projections, which are systematically underestimating long term forward prices

6.10 Closing remarks