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

Courses

Catalogue data

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	Case studies and ML exercise for Power Market can give bonus points for the exam. Guest speakers for specific topics.
Competencies	Subject-specific Competencies Concepts and Theories assessed Method-specific Competencies Decision-making assessed Media and Digital Technologies assessed Problem-solving assessed Project Management assessed Social Competencies Communication fostered Cooperation and Teamwork fostered Personal Competencies Adaptability and Flexibility fostered Creative Thinking fostered Critical Thinking fostered

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits	6 credits
Examiners	D. Reichelt, G. A. Koeppel
Type	session examination
Language of examination	English
Repetition	The performance assessment is only offered in the session after the course unit. Repetition only possible after re-enrolling.
Mode of examination	written 180 minutes
Written aids	Zulässige Schreibutensilien: Ein nicht-programmierbarer Taschenrechner, kein Skript, keine sonstigen Aufzeichnungen.
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

Learning materials

Groups

Restrictions

Offered in

Programme	Section	Type
Electrical Engineering and Information Technology Master	Recommended Subjects	W
Electrical Engineering and Information Technology Master	Specialisation Courses	W
Energy Science and Technology Master	Electrical Power Engineering	W
Computer Science Bachelor	Minor Courses	W
Science, Technology, and Policy Master	Energy and Mobility	W
Environmental Sciences Master	Minor in Sustainable Energy Use	W