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Energy Derivatives Trading and Risk Management Seminar 02 - 05 February 2009, Moscow, Russia

Energy Derivatives Trading and Risk Management Seminar
2-5 February, 2009, Moscow, Russia

This four-day seminar is designed to provide oil industry professionals with a high level understanding of financial markets, fundamentals of trading and risk management. It is a well balanced mix of detailed presentations, practical case studies and interactive trading and risk management simulation software. It is a truly in-depth trading workshop designed to demystify commodities derivatives markets and financial instruments. This course is designed for both novices and seasoned industry professionals. The main topics of discussion include financial derivatives pricing, exposure and risk measurement, key trading strategies and practical application of derivatives to physical trading for risk management purposes. The course will be conducted in an informal setting and each newly introduced theoretical concept will be supported by hands-on exercises and trading simulation games.

This course will be supported by commodities trading and risk management interactive software TradeCruiser© which is specifically designed to apply previously introduced trading concepts in practice.

The main coverage topics include:

Flat price trading

Crack spread trading

Calendar spread trading

Financial arbitrage

Cross-commodity trading

Options trading Delta hedging

Options structuring

Risk management for producers, consumers and refiners

Physical trading

Freight trading

Storage optimization

In addition, there will be complimentary presentations of topics that are often overlooked (but just as important) such as risk management tax and legal framework, exposure management, mid and back office functions as well as principles of control. This seminar will also touch upon such popular topics as financial structured products, real options and deal valuation and structuring.

PROGRAMME

DAY ONE, 2 February, 2009

Introduction, overview and objectives

Introduction to Financial Markets

Financial markets basics and terminology

Characteristics of listed and OTC markets

Market participants

Physical and Derivatives Trading

Trading terminology

Convergence of physical and financial markets

Futures contracts and OTC instruments

Information processing and trading judgement

Oil pricing

Pricing mechanisms

Crude and product markers and formula pricing

Flat prices, differentials, pricing periods

Swap pricing

Trading game 1: Flat price trading

Introduction to refining margins

Feedstock and products overview

Key refining processes and components

Conversion/ quality improvement

Refining Margin Calculations

Absolute and Relative Price

Trading game 2: Crack spread trading

Term structure and relative market strength

Contango / Backwardation

Interpretation of the shape of the forward curve

Trading along the curve

Liquidity and depth of the forward curve

Trading game 3: Calendar spread trading

DAY TWO, 3 February, 2009

Financial instruments as a price discovery tool

Physical tender price valuations

Arbitrage

Trading game 4: Arbitrage

Introduction to Options Theory

Options definitions and terminology

Characteristics of an option; Greeks

Simple option valuation techniques

Trading game 5: Vanilla options trading

Managing Options Portfolio

Understanding underlying exposure

Delta Hedging

Trading game 6: Delta hedging

Option Trading Strategies

Put and call spreads, fences and minies.

Calendar spread options

Volatility trades

Trading Game 7: Option structuring

DAY THREE, 4 February, 2009

Risk Management Fundamentals

Measuring risk and identifying exposure

Risk management program design

Strategic and tactical hedging

Basic Risk Management Strategies

Hedging with futures and swaps

Option hedging strategies

Advanced hedging strategies: ratio swaps, knock-is and knock-outs, extendibles, range swaps, etc.

Practical Application of Risk Management Strategies

Physical trading

Refining

Storage

Trading game 8: Risk management game

Corporate Risk Management

Dynamic Hedging

Indexation

Producer Hedging Structures

Structured Transaction

Commodities Linked Capital Markets Structures

Volumetric production payment structures

Pre-pay forwards

Commodities as an investment class – structured products

DAY FOUR, 5 February, 2009

Value of real options in trading

Option based project evaluation

How to extract value in contracts/ operations

Important considerations for setting up derivatives trading and risk management department

Risk Management policy

Outsourcing vs. in-house setup

Legal framework and documentation

Jurisdictional issues and compliance

Derivatives taxation

Value-at-risk (VAR)

Investor communications

Credit considerations: mark-to-market (MTM) vs. potential future exposure (PFE)

Trading game 9: Operations game – margining, mark-to-market and settlements

Principles of Control

Control committee setup

Issues of delegation of authorities, internal audit and reporting

Managing reputational risks