This critical two-day course will give you an integrated framework needed to understand various types of financial risk as well as how to measure, monitor and manage them. The course provides attendees with a practical yet rigorous understanding of business ethics and reputation risk, compliance and regulatory risk (including Sarbanes-Oxley Act of 2002 and FASB 133 compliance issues), legal risk, systemic risk, operational risk, market risk, liquidity risk and credit risk. In addition, the course covers tools for managing market risk (including Value-at-Risk and stress testing), implementation of broad-based and specific best practices and trading controls. Finally the course provides detailed case studies of both failures in trading controls as well as a SOX compliance case study.
Portfolio Risk Trading Simulation - This real-time trading simulation will enable participants to examine market risk of a hypothetical portfolio and so allow attendees to familiarize themselves with correlation risk, standard deviations of linear assets, as well as risks of various options held within a portfolio.
This course is delivered through our training partner The Energy Management Institute (EMI).
Who Should Attend
The course is applicable to all levels of the energy infrastructure, oil, natural gas, electricity and coal. Individuals in every functional area of responsibility in all energy industries whose decisions have significant financial impact will benefit from this program. Managers from areas such as trading, risk management, compliance, human resources, ethics, credit, contracts, operations, marketing, sales, supply and distribution, purchasing, financial and accounting will find the course highly beneficial.
- What business ethics and reputation risks are and how these issues affect the structure of all publicly traded companies
- Corporate social responsibility issues
- History of the Securities and Exchange Commission and how it led to the Sarbanes-Oxley Act
- Cutting-edge issues in compliance and regulatory risk including FASB 133 and an in-depth study of SOX
- What legal and systemic risk involve and how these issues affect companies within the energy industry
- Different types of market risk and how hedging of outright price risk results in basis and optionality risks
- The "Greeks"
- All of the tools at your disposal to manage market risk including traditional, position-based tools such as stop loss placement and volumetric limits as well as portfolio-based tools such as mark-to-market, Value-at-Risk, stress testing and fixed fractional money management
- Application of statistical theories and how they relate to calculation of Value-at-Risk including assumptions of a normal distribution as well as how non-normal distributions (skewness, kurtosis and stable Paretian distribution) effect Value-at-Risk calculations. Included are tools such as Extreme Value Theory and GARCH which are specifically designed for measuring the tail of a stable Paretian distribution
- Models for Calculating Value-at-Risk including the Linear model, the Delta-Gamma model, the Historical Simulation model and the Monte Carlo Simulation model. A discussion of the pros and cons in the employment of each of the four major types of VaR models is also included
- Application of theories of financial mathematics and how they relate to calculation of Value-at-Risk including the difference between a VaR measure, VaR model and a VaR metric. Portfolio mapping, inference procedures and transformation procedures are also included
- Modeling for price shocks and paradigm shifts
- What liquidity risk is and how to integrate it within a dynamic market risk management program
- The importance of the implementation of broad-based and specific trading controls in order to reduce operational risk
- Credit risk management issues including various credit risk models (such as CVaR, KMV, Z-Score, Econometric, Actuarial and Rating Agency) and mitigation tools (including credit derivatives)
- Financial risk case studies: Cray Inc., Barings Bank and Enron