Modeling, calibration and valuation of wind derivativesWind Derivatives

4-5 March, 2015, Amsterdam

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IntroductionThis two-day training is specifi cally designed to expand the participants’ knowledge and skills in interpreting weather risk analysis, wind turbine basics, as well as the modeling, calibration and valuation of wind and wind derivatives.

Depending on the experience levels of the participants, some parts of the training can be extended or shortened. The training is about wind derivatives, however, methods of modeling, calibration and pricing will also be discussed. There will also be time to explore the more practical sides of wind modeling in VBA, MATLAB or R.

A tentative program of the sessions in this training can be found below, however due to the high degree of overlap between the sessions, new content will build upon the material already covered, providing a seamless learning experience. There will be time for questions and discussions after the sessions.

This training is based on material developed in collaboration with Mercurious and the Delft University of Technology in the Netherlands.

Who should attend?This program is specifi cally developed for people within or around wind risk management of an energy company or people with mandate to trade weather derivatives at a trading company.COU

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Learning objectivesTo acquire new insight, knowledge and perspectives on:

▶ Weather and wind risk ▶ Statistical behavior of wind ▶ Basics of wind turbines ▶ Basics on modeling and calibration ▶ Setting up a well-defi ned model ▶ Modeling wind speed and power ▶ Types of wind derivatives ▶ Pricing of wind derivatives

TrainingThis training is characterized by a strong emphasis on interactivity, whereby the contribution of participants is of utmost importance. Theory and practice are combined, and the content of the training includes a combination of scientifi c frameworks, theorems and practical examples.

Documentation At the start of the training the participants will receive a syllabus with the learning material required for this specifi c program. This includes all relevant documents, such as the training set-up, defi nitions, examples and exercises.

Wind DerivativesA masterclass in weather analysis, wind turbine basics and the modelling, calibration and valuation of wind and wind derivatives.

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AGENDADAY 1Session 1 - Weather and Wind Risk

▶ Types of weather risk ▶ Fields of weather risk ▶ Basic statistical properties of weather risk ▶ Translation of weather to dollars ▶ Translation of wind to dollars ▶ Insurance versus hedging

Exercise: Weather risk in practice, and insurance against weather riskExercise: Qualitative wind risk assessment

Session 2 - Basics of wind and wind turbines ▶ Origin of wind ▶ Characteristics of wind in Europe ▶ Drivers of wind speed ▶ Development of wind speeds in long and short term ▶ Correlation between wind sites ▶ Translation of wind to wind speed ▶ Wind turbine basics and development ▶ Effi ciency / power curve

Exercise: Basics and nature of windExercise: How does a wind turbine work

Session 3 - Basics of modeling and modeling weather

▶ Basics of modeling ▶ Defi nition of a well-defi ned model ▶ Choosing the right mathematical model ▶ Calibration in general ▶ Eff ects and pitfalls of calibrations ▶ Modeling of weather

Session 4 - Modeling of wind ▶ Modeling of wind ▶ Handling daily and yearly seasonal eff ects ▶ Handling distribution over diff erent time scales ▶ Deseasonalizing and reseasonalizing data ▶ Mean reverting processes and their properties ▶ Choices of modeling components ▶ Wind speed ▶ Wind power

Exercise: Finding, and extracting seasonality from dataExercise: Eff ects of calibration

Session 5 - Hedging wind risk ▶ Current wind derivatives market and ways of trading ▶ Types of wind derivatives ▶ Wind speed derivatives ▶ Wind power derivatives ▶ Wind index derivatives ▶ Options and Futures ▶ Swaps ▶ CSAs ▶ Caps and Floors ▶ Alternatives to derivatives

Exercise: Pay-off of a wind derivative contract

Session 6 - Pricing of wind derivatives and wind risk ▶ Risk measures for wind ▶ Finding the right ingredients for a wind mitigation contract ▶ Pricing methods ▶ Monte Carlo methods ▶ Faster and more advanced pricing methods ▶ Risk reduction ▶ Interpretation of prices

Exercise: Calculate exposure to wind riskExercise: Diff erence in prices of contracts

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ESteven Hoyer has an MSc degree in Applied Mathematics from the Delft University of Technology.

He previously worked with Mercurious, where he discovered his interest in fi nancial engineering. He is currently employed as a consultant with McKinsey & Company, and continues his work in the fi eld of weather derivatives in close cooperation with the Delft University of Technology. author of the books ‘Milkshakes & Butterfl ies’, ‘Hit & Lift’ and ‘Energy problems & future perspective’

Steven HoyerConsultant at McKinsey & Company

LANGUAGEThe workshop will be delivered in English.

DATE 4-5 March, 2015, Amsterdam, The Netherlands

SCHEDULEEach day starts at 09.00 and finishes at 17.00hrs.

REGISTRATIONhttp://www.energy-expert-network.com/coursesE-mail: Johanna.oberg@energy-expert-network.comPhone:+46 (0) 85 333 2599

FEESEarly Bird: 2,290 EUR excl. VAT.(Register before 22 January)Price: 2,590 EUR excl. VAT standard price.

MULTIPLE REGISTRATION DISCOUNTTwo participants from the same company registering at the same time will receive an additional 10% discount.

FOOD AND BEVERAGEFood and beverages will be provided to theparticipants during the day. Specific wishes can besubmitted to the organization.

DOCUMENTATIONParticipants receive documentation, calculations andexercises in a manual.

ABOUT THE ORGANIZERS

ENERGY EXPERT NETWORKThe Energy Expert Network is a network of experts and hands-on energy market participants that provides companies with tailored courses.

The Energy Expert Network consists of the ‘best of the best’ industry experts, well known for their knowledge and experience in teaching energy industry professionals. Energy Expert Network also provide open courses on fixed dates in co-operation with external experts.