Price Volatility & Market Risk Management

Price levels and price level fluctuations, as well as price differentials and the dynamics of those differentials

Public Course

Price Volatility & Market Risk Management


Tuesday 19 December 2024, 10:00-16:00 (CET)

Where and how?

Online (MS Teams)


1,250.00 excl. VAT

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



  • 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