227-0731-00L Power Market I - Portfolio and Risk Management
Semester | Autumn Semester 2017 |
Lecturers | D. Reichelt, G. A. Koeppel |
Periodicity | yearly recurring course |
Language of instruction | English |
Courses
Number | Title | Hours | Lecturers | ||||
---|---|---|---|---|---|---|---|
227-0731-00 G | Power Market I - Portfolio and Risk Management | 4 hrs |
| D. Reichelt, G. A. Koeppel |
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 | 1 excursion per semester, 2 case studies, guest speakers for specific topics. Course Moodle: https://moodle-app2.let.ethz.ch/course/view.php?id=3271 |
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
Main link | Information |
Only public learning materials are listed. |
Groups
No information on groups available. |
Restrictions
There are no additional restrictions for the registration. |