Dieter Reichelt: Catalogue data in Autumn Semester 2021 |
| Name | Dr. Dieter Reichelt |
| Address | Hutweg 4 8573 Alterswilen SWITZERLAND |
| Telephone | 071 699 13 09 |
| reichelt@ethz.ch | |
| Department | Information Technology and Electrical Engineering |
| Relationship | Lecturer |
| Number | Title | ECTS | Hours | Lecturers | |
|---|---|---|---|---|---|
| 227-0731-00L | Power Market I - Portfolio and Risk Management | 6 credits | 4G | D. Reichelt, G. A. Koeppel | |
| Abstract | Portfolio 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. | ||||
| Learning objective | Knowlege 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. | ||||
| Content | 1. 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 notes | Handouts of the lecture | ||||
| Prerequisites / Notice | 1 excursion per semester, 2 case studies, guest speakers for specific topics. Course Moodle: https://moodle-app2.let.ethz.ch/enrol/index.php?id=11636 | ||||