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Portfolio and Risk Management
Portfolio und Risk Management im liberalisierten Strommarkt I
Last Updated: 2026-02-05 14:55:14
Objective
Understand the worldwide liberalisation of electricity markets, the various markets models, pan-european power trading and the role of power exchanges. Financial products (derivatives) based on power prices, management of a portfolio containing physical production, contracts and derivatives, evaluation of trading and hedging strategies, methods and tools of risk management.
Content
Open power markets all over the world, market models of the European countries, Swiss electricity market today, pan-european power trading, management of the physical portfolio of power plants and delivery contracts, power market indices, hedging strategies using futures, case study (1): hedging strategie, European energy exchange (EEX), energy market risk (value at risk, profit at risk), options and structured products in the power market, enterprisewide risk management (Basel II), case study (2): Barings Bank, introduction of swaps and other derivatives on electricity prices.
Resources
Lecture Notes
Handouts during the lecture
General Information
- Language
- German
- Frequency
- Yearly recurring
Examination
- Type
- session examination
- Mode
- oral 30 minutes
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| lecture with exercise | Portfolio und Risk Management im liberalisierten Strommarkt I |
|
2 h weekly |