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Power Market I - Portfolio and Risk Management
Strommarkt I - Portfolio und Risk Management
Last Updated: 2026-02-05 15:24:08
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, strategy development and positioning.
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. Spot and OTC trading 1.4. European energy exchange EEX 1.5. Energy economics 2. Portfolio and Risk management 2.1. Portfolio management 1 (introduction) 2.2. Forward and futures contracts 2.3. Risk management 1 (m2m, VaR, hpfc, volatility, cVaR) 2.4. Risk management 2 (PaR) 2.5. Portfolio management 2 2.6. Options 1 - basics 2.7. Options 2 - hedging with options 2.8. Risk Management 3 (enterprise wide) 2.9. Derivatives 1 (swaps, cap, floor, collar) 2.10. Modelling of physical assets 3. Market model 3.1. Cross-border trading 3.2. Transfer capacity auctions 3.3. Ancillary services 3.4. Balancing power market 3.5. Hydro scheduling 3.6. Swiss market model 4. Strategy 4.1. Positioning 4.2. Development of strategy 4.3. Cases for team work
Resources
Lecture Notes
Handouts of the lecture
General Information
- Language
- German
- Levels
- MSC
- Frequency
- Yearly recurring
Examination
- Type
- session examination
- Mode
- oral 30 minutes
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| lecture with exercise | Strommarkt I - Portfolio und Risk Management |
|
4 h weekly |
Offered In
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Electrical Power Systems and Mechatronics (A total of 42 CP must be achieved during the Master Program. The individual study plan is subject to the tutor's approval.)
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Core Subjects (These core subjects are particularly recommended for the field of "Electrical Power Systems and Mechatronics".)
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