The programmes “Energy Risk Management & Analytics” are specifically designed to expand students’ knowledge of, and skills with respect to, risk, exposures, managing uncertainty, portfolio management, setting limits and implementing controls. Next, the programmes aim at products & potential price changes. The focus is on risk with respect to trading & portfolio management, and therefore the primary aim is at market risk. Next, counterparty risk, liquidity risk and operational risk are considered as far as these relate to trading and portfolios. Next, analytics is also included, because analysis have to be made in order to form opinions and draw conclusions. Analytics also contains the application of statistics and mathematics, which are applied to construct forward curves and price contracts; crucially important for companies.
In the first level of the “Energy Risk Management & Analytics” programmes focus is on the identification of risk. The focus is at types and varieties of risk and how these should be addressed. This programme provides the fundamentals of risk; it covers definitions of risk, uncertainty, and volatility. The programme forms a solid basis for taking risk management to its next steps: assessing and quantifying risk, as well as controlling exposures.
Next to market risk, counterparty risk, operational risk, and liquidity risk are considered. It is explained what they mean to an organisation’s exposures. This programme also covers statistics for the application of such is of utmost importance for the quantification of risk.
In the second level of the “Energy Risk Management & Analytics” programmes focus is on the quantification of exposures. In this programme is shown by what ways risk can be measured. Probabilities are considered, as well as negative impact. Thorough attention is given to the Value at Risk methodology and a variety of sub-forms is provided, such as the parametric method, historical simulation method, and Monte Carlo simulations.
On top of the Value at Risk methodology, attention is given to additional methods and/or alternatives, such as stress testing, expected shortfall, or conditional value at risk.
In this programme students will experience how correlation coefficients can be used, and also what the consequences of such are. The advantages & disadvantages of correlations are taken into account.
In the third level of the “Energy Risk Management & Analytics” programmes focus is on risk control. Exposures need to stay within certain boundaries. This programme provides insight in the following elements: How are these limits set and how can exposures be lowered? This programme covers the application of derivatives as tools to control risk. Students are explained how forwards, futures, swaps and options can be used for hedging purposes.
This programme also covers risk management models, the limitations of the application of such and model risk.
In the fourth level focus is on risk optimisation. This programme goes beyond scenario analysis and includes performance management, as well as portfolio management. Focus is also on the fact that trading environments can be protected by a variety of elements to control operational risk. This programme also incorporates counterparty risk and therefore attention is given to specific credit risk management tools and methods.
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