Target groups
- Professionals in a business, control or support function, including trading operations experts; not for quants.
Learning objectives
- Mastering the concept ‘price volatility’
- Being able to interpret volatility numbers
- Understanding the impact of price volatility on consumption prices
- Understanding the impact of price volatility on a trader’s working capital
- Understanding the impact on cash management
- Understanding the impact on trading activity
Programme
- Price volatility – The concept
- Risk vs. opportunity
- Types of volatility
- Future volatility
- Estimated/expected volatility
- Implied volatility
- Calculation of volatility
- Data set
- Weighting factors
- Seasonality
- Collateralisation & margining
- The impact of price volatility on deposits
- The impact on finance liquidity
- The impact on market liquidity
- Consequences & solutions
- Supply contracts & pricing
- Volume flexibility contracts & other flexibility
- Risk premium
- Consequences & solutions
- Limit structures
- Position limits
- Price limits (level & volatility)
- Impact of volatility on the valuation and hedging of physical assets
- Processing capacity, storage capacity, transport capacity
- Cross-commodity spreads, time spreads, location spreads
- Spread options and their value
