DAY ONE STREAM TWO

11.40
Implementing a comprehensive risk management strategy for the electricity market
• Identifying the range of risks impacting power trading functions
– price risk – basis risk
– operational risk – weather risk
– market risk – credit risk
– swing risk – currency risk
• Evaluating the impact of volatility on risk management
• Overcoming market illiquidity
• Key considerations when developing a risk management strategy
• Practical case study
Grant Thain, Senior Vice President,
CITIZENS POWER

1.50
Developing and implementing dynamic hedging strategies
• Understanding the fundamentals of hedging
– assessing the instruments available for hedging; exchange traded vs OTC
• Determining the difference between hedging and speculating
• Deciding when and how to hedge
• Hedging in a regionalised market
• Underlying contracts with trading strategies
• Importance of re-evaluating hedging strategies periodically
• Hedging a portfolio of contracts
Nick Horler, Managing Director,
POWERGEN

2.30
Establishing a risk control function
• Developing a risk aware corporate culture
– establishing a risk management policy
• Implementing efficient communication lines
• Establishing correct reporting procedures
• Identifying and clarifying roles and responsibilities
• Educating senior management
• Identifying risks in business
Patricia Concessi, Director,
DELOITTE & TOUCHE

4.20
Practical techniques to measure and manage credit risk
• Analysing the implications of credit risk for the European energy market
• Identifying key drivers of credit risk
• Exploiting stochastic techniques to measure credit risk exposure
• Applying the electricity forward curve to estimate credit risk
• Tracking and reporting credit risk exposure
– setting and monitoring credit limits
• Valuing credit risk using simulation techniques
• Lessons learned from defaults in the US and NordPool
Ellen Lapson, Senior Director,
FITCH IBCA INC.

5.00
Evaluating the credit worthiness of a trading counterparty
• Analysing techniques for evaluating the credit worthiness of a counterparty
– rating agencies and their limitations
– assessing the financial status of trading partners: due diligence; information gathering; measuring counterparties assets
• Establishing the credit worthiness of unrated counterparties
• Estimating default probabilities
• Ensuring the legality of trading contracts
– assessing the development of standardised contracts
– comparing legal regimes across Europe and implications for trading and contracts
– ensuring legal enforceability
• Determining the value of credit enhancement techniques
– parent guarantees
– collateral agreements
– netting agreements
Ellen Lapson, Senior Director,
FITCH IBCA INC.

5.40
Integrating market risk and credit risk
• Balancing market risk and credit risk to achieve a reliable estimation of total risk
• Incorporating market risk into a credit risk model
• Calculating probability of default using credit risk and market risk
• Refining business practice to reflect credit risk and market risk evaluations
Ben Parsons,
Senior Quantitative Analyst,
ENRON EUROPE

Day One Stream Two, 3 April 2000
Advanced risk measurement and management for European energy trading *(Move the mouse over the description marked with a star for further details)

8.00 Registration and coffee

8.30
Opening remarks from the chair
Grant Thain, CITIZENS POWER

8.40 KEYNOTE ADDRESS:
Overcoming the obstacles to entering new energy markets
David Weaver, President & CEO, DUKE ENERGY INTERNATIONAL (EUROPE)

9.20
CEO/Senior executive roundtable discussion: Forecasting the development of a common European energy vision
Randall Balhorn, CEO, EDF TRADING,
Hans Tormod Hansen, President and CEO, HAFSLUND ASA
Trevor Christmas, Senior Vice President, Business Development, IPE

10.20 KEYNOTE ADDRESS:
The prospect for energy trading in Europe’s rapidly evolving market
Barney Rush, CEO, Europe Group, SOUTHERN ENERGY INC.

11.00
Morning break and opportunity to view the software exhibition

Stream Two:
Advanced risk measurement and management for European energy trading

11.30
Opening remarks from the chair
Nick Horler, POWERGEN

11.40
*Implementing a comprehensive risk management strategy for the electricity market
Grant Thain, CITIZENS POWER

12.20
Lunch and opportunity to view the software exhibition

1.50
*Developing and implementing dynamic hedging strategies
Nick Horler, POWERGEN

2.30
*Establishing a risk control function
Patricia Concessi, DELOITTE & TOUCHE

3.10 Trouble-shooting roundtables

Practical implementation of VAR in energy companies

Application of weather derivatives in the energy

Pricing and applying electricity derivatives

Developing effective hedging strategies

Building the forward curve

3.50
Afternoon break and opportunity to view the software exhibition

4.20
*Practical techniques to measure and manage credit risk
Ellen Lapson, FITCH IBCA INC.

5.00
*Evaluating the credit worthiness of a counterparty
Ellen Lapson, FITCH IBCA INC.

5.40
*Integrating market risk and credit risk
Ben Parsons, ENRON EUROPE

6.20
Closing remarks from the chair

6.30
Cocktail reception

8.00
Congress dinner

Day one, 3 Aprill 2000	Stream One	Stream Two	Stream Three
Day two, 4 Aprill 2000	Stream One	Stream Two	Stream Three