PRMIA Calgary

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

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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

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]]> 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.

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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.

Risk Research Luncheon

Yesterday PRMIA Calgary hosted a luncheon featuring overviews of recent graduate student research in the field of risk management. Scott MacDonald, Hong Miao and Greg Orosi described their work on simulating Alberta power pool prices, VaR and CVaR non-normal regime switching frameworks and implied volatility surfaces. Links to the presentations are listed below. The luncheon is one component of PRMIA Calgary’s efforts to strengthen the connections between industry and local educational institutions. Many thanks to the presenters and to the event sponsor SAS/Risk Advisory.

Simulation of Alberta Pool Prices by Scott MacDonald

VaR and CVaR: A Non-normal Regime Switching Framework by Hong Miao

Implied Volatility Surface by Greg Orosi

Potential Future Exposure - Theory and Implementation

PRMIA Calgary thanks Dominic Pazzula (SAS/Risk Advisory) and Reza Simchi (Nexen Inc.) for their presentations on PFE yesterday. The presentations generated thoughtful discussion among audience members as we examined the issues associated with developing and implementing a PFE framework. Dominic's and Reza's powerpoint presentations are available here:
PFE Simulation Methodology
Credit PFE for Energy Entities

Credit PFE for Energy Entities

On Wednesday, October 4 PRMIA Calgary held a lunch session overview of potential future exposure (PFE) for energy entities. The presentation was deilvered by Reza Simchi, Senior Quantitative Specialist at Nexen Inc. Reza's presentation can be found here.

One objective of this session was to gauge members' appetite for a more in-depth session on credit PFE. We are seeking your input on this question, so please complete the attached survey and return to Scott Dalton by October 11, 2006.

Online Energy Trading Exchanges Meeting Review

Many thanks to the members attending PRMIA Calgary's meeting on energy trading exchanges last week. The speakers from NGX, NetThruPut and Watt Exchange gave excellent overviews of the risk management issues they face. The speakers have kindly agreed to make their presentations available. Follow the links below.
NGX
NetThruPut
Watt-Ex