PRMIA Calgary

Enterprise Risk Management and Operational Risk Event in Edmonton

PRMIA Edmonton Chapter is proud to host an Enterprise Risk Management(ERM) and Operational Risk event that will showcase leading practice and insight on Enterprise and Operational Risk Management. Industry leading ERM and ORM practitioners and thought leaders will share their insights.

Presenters include:

Franco Oboni, President, Oboni Riskope Associates Inc.
Denis Godcharles, CEO, Interis Consulting
Sridhar Manyem, Director, ERM, Standard & Poor's
Dave Rubel, Director, ERM, Alberta Health Services
John Servage, Principle, A3 Global Risk and Assurance Services
Arun Gupta, Partner, PwC Edmonton

For event details or to register, please visit:http://www.prmia.org/events/view_events.php?eventID=5075

New Regional Director to lead the Calgary Chapter

PRMIA announces today the appointment of Philippe Cote as the new Regional Director of the Calgary Chapter. In his role as the Director of Energy Trading and Global Risk Management, he is responsible for the Risk oversight and analytics of ScotiaCapital's Energy and Agricultural Commodities trading and marketing activities.

Philippe previously worked with BP from 2001 to 2010 in Singapore and Canada. He joined as Regional Head of Risk for the Integrated Supply and Trading - Eastern Hemisphere business unit until 2004 and moved to Front Office holding trading and trading management roles. He had previously worked in banking from 1992 to 2001 with the Bank of Canada, Bank of England and Royal Bank of Canada.

Philippe Cote will be replacing Scott Dalton as Regional Director of the Calgary Chapter. PRMIA would like to take this opportunity to thank Scott Dalton for his contributions to the Calgary chapter and PRMIA. Scott served the Calgary membership as Regional Director from 2005–2012. PRMIA is extremely grateful that Scott continues his support for PRMIA as a Steering Committee member.

PRMIA would like to acknowledge the Steering Committee members of the Calgary chapter, who will help the chapter achieve its goals:

• Raymond Cheng, Enbridge Inc.
• Roger Coroas, Markit Analytics
• Alexander David, Haskayne School of Business, University of Calgary
• Dave Evans, Sigma Associates, Ltd
• Carlos Morales, Independent Consultant
• Robin Moritz, Capital Power Corporation
• Nima Safaian, Scotiabank
• Mohammed Reza Simchi, Nexen Inc
• Anatoliy Swishchuk, University of Calgary
• Tony Ware, University of Calgary

U of C Graduate Student Presentations

Four University of Calgary graduate students presented overviews of their research at a PRMIA lunch in Bankers Hall on Tuesday. Many thanks to Ke Zhao, Elham Negahdary, Nelson Vadori and Paul Obour for all their hard work and for leading some excellent discussions with the audience. The students kindly agreed to have their presentations posted to the PRMIA Calgary membership (see the links below).
Taxonomy of Power Market
Delayed Heston Model: Pricing and Hedging of Volatility Swaps
Generalization of Black-76 formula: Markov-modulated Volatility
Crude Oil Hedging Strategies

PRMIA Global Risk Conference - May 14-16, New York

Join peers, colleagues and pre-eminent speakers in risk and finance at the PRMIA Global Risk Conference and 10th Anniversary Gala celebration in New York, May 14-16, 2012.

The conference presents leading approaches in risk management on:
• Macro risks, regulations and their impact on financial services
• Analytics for emerging risks in interconnected markets
• Crisis management, including non-market risks

Go to www.prmia.org/globalriskconference for complete details and registration for the 3 day program with 60+ outstanding international speakers, including pre-eminent economists and financial historians, senior regulators and policy makers, CROs of major financial firms and hedge funds, leading academic researchers and teachers, and C-level professionals and consultants in finance, law and strategy.

Plenary speakers include economic historian Kenneth Rogoff, Nobel Laureate Robert Engle, quant expert Emanuel Derman, and behavioral finance specialist Hersh Shefrin. Notable additional speakers include best-selling author James Rickards of "Currency Wars,” CROs of Goldman Sachs, Blackrock, HSBC Europe, Alfa Bank Russia, BRE Bank and various hedge funds, as well as Keynesian economist Paul Davidson, and senior regulators from the FSA, Basel Committee and Federal Reserve.

E-mail or call PRMIA with questions about the conference at support@prmia.org or call 612-605-5370 Monday – Friday, 8:00 a.m. – 5:00 p.m. US CST.

Your participation is highly valued -- join in the discussion and combine networking with learning, discussion and career development!

Risk Management Internships at Direct Energy

Today at a PRMIA Calgary lunch function Elham Negahdary and Wes Devauld presented summaries of their recent internships at Direct Energy. The internships were organized with the University of Calgary through the MITACS Accelerate program. Click on the links below for copies of their presentations.

Credit Risk Modelling in the Energy Industry by Elham Negahdary

Independent Price Verification by Wes Devauld

PRMIA Calgary 2011 Q3 Newsletter

Download file

Managing Differential Risks in Energy Commodities

Yesterday Jeff Kralowetz, Canada Country Manager at Argus Media, provided overview of the many aspects and nuances of differential pricing in energy markets. Jeff covered a wide range of topics, including the recent divergence of WTI to Dated Brent, the growing relevance of LLS as a crude benchmark, and the implications of different index price calculation methods.

Jeff's presentation is available by clicking here.

Valuation and Hedging of Natural Gas Storage

On Tuesday March 22 Ali Sadeghi, Senior Quantitative Specialist with Nexen Marketing, gave PRMIA Calgary members his insights into the valuation and hedging of natural gas storage. Ali's presentation was followed by a lively question and answer session with members of the audience. Ali's presentation can be downloaded by clicking here. At the end of the presentation file is a link to Ali's detailed paper on the subject.

Commodities/Energy Risk Management

PRMIA Calgary members gained insights into several aspects of commodities and energy risk management on Tuesday this week. Hillary Till, Nedia Miller and Jeff Mantel provided their thoughts, opinions and analysis on several issues facing risk managers today. Their presentations can be downloaded from the links below.

Hillary Till - Intelligent Commodity Investing and Risk Management

Nedia Miller - Oil Price Risk and Risk Management Strategies

Jeffrey Mantel - Impending US Regulations and Their Effects on Commodity and Energy Markets

Quantifying Cost and Schedule Risks for Major Energy Projects

Download file

]]> In today's presentation Ian Henderson provided insights into the challenges and benefits of managing major energy projects risks. Ian's approach and opinions were tempered with over 40 years experience.

Credit Market Liquidity Risk Presentation

On Monday September 20, Carlos Blanco presented "Integrating Market, Credit and Liquidity Risk to support trading and hedging decisions" at the Westin downtown. The event, sponsored by KPMG, provided insights into the challenges and opportunites of an integrated approach to risk management. Below is a link to Dr. Blanco's presentation.

Download file

Stochastic Modeling of Electricity and Related Markets

On Tuesday May 4, Dr. Swischuk reviewed the book 'Stochastic Modelling of Electricity and Related Markets' by F. Benth, J. Benth and S. Koekebakker, World Sci. Publ. Co., 2008.

The book provides a concise and rigorous treatment on the stochastic modelling of energy markets. Ornstein-Uhlenbeck processes are described as the basic modelling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented in the book pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.

Click here to download presentation.

PRMIA Calgary Bylaws

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Enterprise Risk Management Presentation

On June 30 PRMIA Calgary held a luncheon focusing on enterprise risk managment. Doug Rabey of TD Commodity and Energy Trading, and Arron Kaura of EnCana Corporation provided overviews of ERM as it relates to their respective organizations. Several common themes emerged as well as many points on which the two companies diverged.
Doug's presentation is available here.

Real Option Analysis in Energy

On Friday October 26, Michael Samis and David Laughton presented a half-day workshop on applying dynamic discounted cash flow and real options to petroleum projects. Attendees from across the energy industry participated in this open-format workshop. The session included case studies on the long term cash flows of a SAGD project, equity and government cash flows of a coal bed methane project and assessing the value of adding a dual-fuel boiler at a SAGD project. Please click here for a copy of the presentation materials.