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Power Market I - Portfolio and Risk Management
Last Updated: 2026-02-05 15:36:17
Abstract
Portfolio and risk management in the electrical power business, Pan-European power market and trading, futures and forward contracts, hedging, options and derivatives, performance indicators for the risk management, modelling of physical assets, cross-border trading, ancillary services, balancing power market, Swiss market model.
Objective
Knowlege on the worldwide liberalisation of electricity markets, pan-european power trading and the role of power exchanges. Understand financial products (derivatives) based on power. Management of a portfolio containing physical production, contracts and derivatives. Evaluate trading and hedging strategies. Apply methods and tools of risk management.
Content
1. Pan-European power market and trading 1.1. Power trading 1.2. Development of the European power markets 1.3. Energy economics 1.4. Spot and OTC trading 1.5. European energy exchange EEX 2. Market model 2.1. Market place and organisation 2.2. Balance groups / balancing energy 2.3. Ancillary services 2.4. Market for ancillary services 2.5. Cross-border trading 2.6. Capacity auctions 3. Portfolio and Risk management 3.1. Portfolio management 1 (introduction) 3.2. Forward and futures contracts 3.3. Risk management 1 (m2m, VaR, hpfc, volatility, cVaR) 3.4. Risk management 2 (PaR) 3.5. Contract valuation (HPFC) 3.6. Portfolio management 2 2.8. Risk Management 3 (enterprise wide) 4. Energy & Finance I 4.1. Options 1 – basics 4.2. Options 2 – hedging with options 4.3. Introduction to derivatives (swaps, cap, floor, collar) 4.4. Financial modelling of physical assets 4.5. Trading and hydro power 4.6. Incentive regulation
Resources
Lecture Notes
Handouts of the lecture
General Information
- Language
- English
- Levels
- BSC , MSC
- Frequency
- Yearly recurring
Examination
- Type
- session examination
- Mode
- written 180 minutes
- Aids
- Zulässige Schreibutensilien: Ein nicht-programmierbarer Taschenrechner, kein Skript, keine sonstigen Aufzeichnungen.
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| lecture with exercise |
Power Market I - Portfolio and Risk Management
The lecturers will communicate the exact lesson times of ONLINE courses.
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4 h weekly |
Offered In
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Energy and Power Electronics (The core courses and specialisation courses below are a selection for students who wish to specialise in the area of "Energy and Power Electronics", see . The individual study plan is subject to the tutor's approval.)
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Specialisation Courses (These specialisation courses are particularly recommended for the area of "Energy and Power Electronics", but you are free to choose courses from any other field in agreement with your tutor. A minimum of 40 credits must be obtained from specialisation courses during the Master's Programme.)
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Major Courses (A total of 42 CP must be achieved during the Master Programme. The individual study plan is subject to the tutor's approval.)
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Recommended Subjects (These courses are recommended, but you are free to choose courses from any other special field. Please consult your tutor.)
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Electives (These courses are particularly recommended, other ETH-courses from the field of Energy Science and Technology at large may be chosen in accordance with your tutor.)
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