Formación y Consultoría

ELECTRICAL ENERGY

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Module 1: Retail gas and electricity markets

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• Current energy crisis situation

• Ukraine-Russia War

• Inflation and geopolitical risk

• market indicators

• Evolution of retail electricity and natural gas markets

  • Evolution of the demand for electricity and natural gas

  • Evolution of the sale of electricity and natural gas

  • The degree of loyalty in the electricity and natural gas sector

• Evolution of retail electricity and natural gas prices

• in the free market

• Consumer involvement in the retail market

• Energy consumer protection measures

• Actions of the CNMC, the European regulators and the European Commission                                                                                                             regarding consumer protection and the retail market since 2020

• Recommendations and regulatory proposals

• Regulatory proposals

• Recommendations to marketers

• Consumer Recommendations

 

 

Module 2: Electricity price models

 

• Building blocks

• Building Block Dimensions

• Retail electrical products

  • Guaranteed price products

  • "Flip-the-switch" (FrS)

  • Spot Price Products

  • product usage time

  • seasonal rate product

  • Fixed invoice product

  • Spot Price Products

  • Real-time prices (RTP),

  • Interruptible and Reducible Products (1IC)

  • Risk Management Products

  • cap price

  • floor price

  • Necklace Price

• weather coverage

• Calculation of the cost of products differentiated by risk: calculation of equilibrium prices

• Forward prices per hour

• Forward Retail Price

• Guaranteed price product

• Pricing of products differentiated by risk

• Value creation by sharing risk

• Bundling of value-added services with basic electricity

• Exercise 1: Spot price, equilibrium price, fixed price and price for time of use and renewal options

• Exercise 2: Derivatives Price, Cap, Floor and Collar

 

Module 3: Electricity price strategies

 

• Customer segmentation

  • commercial segment

  • industry segment

  • residential segment

  • Commercial strategies

• The role of pricing in a competitive market

• Consequences of incorrect pricing

• Customer expectations about prices

• Market models in the electric power industry

  • Classic Oligopoly Models

  • Oligopolistic market equilibria

  • Games theory

  • static games

  • Dynamic games

  • Bertrand and Cournot dynamical experiments

 

Module 4: Risks in the energy market

 

• the energy cycle

  • Exploration

  • production or extraction

  • Treatment

  • Transport and storage

  • Refinement

  • Distribution

  • Integrated and specialized companies

• Risks in the energy cycle

  • Overview

  • Market risk

  • Credit risk Operational risks

  • Liquidity risk

  • Political and regulatory risk

  • price risk

• Integrated vs specialized companies

• Common risk management tools

• Volatility and energy risk management

• Risks in renewable energy projects and their mitigation

  • Project development risks

  • Construction risks

  • Resource risks

  • Technical risks

  • Market risks

  • Regulatory risks

  • Other operational risks

 

Module 5: Market Risk Management in electricity companies

 

• Management of corporate risks in the electricity and energy market

• Objectives, roles and responsibilities

• Market Risk Appetite Framework

  • business strategy

  • business plans

  • Risk Appetite

  • risk tolerance

  • Risk Capacity

• Market risk management policies and procedures

• Treasury management in energy companies

• Boundary setting

• Market risk management cycle: Identification, monitoring, measurement, control and monitoring of market risk

 

Module 6: Univariate and Multivariate Analysis of risk factors

 

• Univariate Analysis

• Yield Estimation

• arithmetic mean, median, geometric mean

• Outlier Review

• Measures of dispersion

• Shape measurements

• Sample Skewed

• Groeneveld's measure

• Moors's measure

• Fitting probability distributions

• Multivariate analysis:

  • Arbitrage Pricing Theory

  • Return models

  • OLS regression

  • Heteroskedasticity Treatment

  • Outlier Treatment

  • Robust Regression

  • Principal Components (PCA)

  • Multifactor model

• Industry or country factors

• Exercise 3: Treatment of time series, non-stationary series, heteroscedasticity, outliers, multicollinearity in factors.

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Module 7: Power Purchase Agreements (PPAs)

 

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  What is a PPA contract

• Bases of the agreement

• Types of PPAs for Generators

  • Physical

  • Synthetic or Financial

• Negotiation of a PPA

  • Generation

  • Consumption

• Pricing Structures

• Fixed annual baseload pricing structure

• Fixed, escalation and indexing

• Fixed Price Nominal PPA

• Fixed price with escalation (stepped)

• Fixed Price with inflation indexation

• Variable price, market discount with Caps and Floors

• Market discount with floor

• Market discount with necklace

• Collar and Reverse Collar

• Necklace

• Reverse Collar (VPPA only)

• hybrid structures

  • Hybrid – % production

  • Hybrid - over time

• clawback

• Volume Structures and Risk Allocation

• PPA Risk Mitigation

• EEX Futures, Asian Put Option

• Exercise 4: Pricing PPA using closed formulas

• Exercise 5: Pricing PPA using copulas

• Exercise 6: Quantifying volumetric and correlation risk

Module 8: Treatment of Volatility

 

• Performance Treatment

• Exponentially Weighted Moving Average (EWMA)

• GARCH Univariate Model

• GARCH Multivariate Model

• GARCH Extensions

• Evaluation of variance models

  • In sample review with autocorrelation

  • Out sample review with regression

• Use of intraday information

• GARCH Multivariate model with copulas

• Exercise 7: GARCH (1,1) volatility modeling in R

• Exercise 8: Volatility modeling GARCH copulas in R