Autumn Semester 2020 takes place in a mixed form of online and classroom teaching.
Please read the published information on the individual courses carefully.

Gaudenz Alesch Koeppel: Catalogue data in Autumn Semester 2016

Name Dr. Gaudenz Alesch Koeppel
Häldeliweg 30
8044 Zürich
DepartmentInformation Technology and Electrical Engineering

227-0731-00LPower Market I - Portfolio and Risk Management Information 6 credits4GD. Reichelt, G. A. Koeppel
AbstractPortfolio and risk management in the electrical power business, Pan-European power market and trading, futures and forward contracts, hedging, options and derivatives, performance indicators for the risk management, modelling of physical assets, cross-border trading, ancillary services, balancing power market, Swiss market model
ObjectiveKnowlege on the worldwide liberalisation of electricity markets, pan-european power trading and the role of power exchanges. Understand financial products (derivatives) based on power. Management of a portfolio containing physical production, contracts and derivatives. Evaluate trading and hedging strategies. Apply methods and tools of risk management.
Content1. Pan-European power market and trading
1.1. Power trading
1.2. Development of the European power markets
1.3. Energy economics
1.4. Spot and OTC trading
1.5. European energy exchange EEX

2. Market model
2.1. Market place and organisation
2.2. Balance groups / balancing energy
2.3. Ancillary services
2.4. Market for ancillary services
2.5. Cross-border trading
2.6. Capacity auctions

3. Portfolio and Risk management
3.1. Portfolio management 1 (introduction)
3.2. Forward and futures contracts
3.3. Risk management 1 (m2m, VaR, hpfc, volatility, cVaR)
3.4. Risk management 2 (PaR)
3.5. Contract valuation (HPFC)
3.6. Portfolio management 2
2.8. Risk Management 3 (enterprise wide)

4. Energy & Finance I
4.1. Options 1 – basics
4.2. Options 2 – hedging with options
4.3. Introduction to derivatives (swaps, cap, floor, collar)
4.4. Financial modelling of physical assets
4.5. Trading and hydro power
4.6. Incentive regulation
Lecture notesHandouts of the lecture
Prerequisites / Notice1 excursion per semester, 2 case studies, guest speakers for specific topics.
Course Moodle: