227-0731-00L  Power Market I - Portfolio and Risk Management

SemesterAutumn Semester 2016
LecturersD. Reichelt, G. A. Koeppel
Periodicityyearly recurring course
Language of instructionEnglish



Courses

NumberTitleHoursLecturers
227-0731-00 GPower Market I - Portfolio and Risk Management4 hrs
Tue08-12HG D 7.2 »
27.01.16-20ETZ E 8 »
D. Reichelt, G. A. Koeppel

Catalogue data

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: https://moodle-app2.let.ethz.ch/course/view.php?id=2196

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits6 credits
ExaminersD. Reichelt, G. A. Koeppel
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is only offered in the session after the course unit. Repetition only possible after re-enrolling.
Mode of examinationwritten 180 minutes
Additional information on mode of examinationPrüfungsmodus: schriftlich 180 Minuten /
Zulässige Schreibutensilien: Ein nicht-programmierbarer Taschenrechner, kein Skript, keine sonstigen Aufzeichnungen.
Written aidsNone
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

Learning materials

 
Main linkInformation
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Groups

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Offered in

ProgrammeSectionType
Atmospheric and Climate Science MasterMinor in Sustainable Energy UseWInformation
Electrical Engineering and Information Technology MasterCore SubjectsWInformation
Energy Science and Technology MasterElective Core CoursesWInformation
Environmental Sciences MasterMinor in Sustainable Energy UseWInformation