VaR for Energy
The Grand Hyatt, San Francisco
September 16-17, 1999

FEA is offering a Value at Risk for Energy seminar in San Francisco. Mark Garman, Professor Emeritus of Finance, Haas School of Business Administration at UC Berkeley, and Founder & CEO of FEA will lead the seminar. Other speakers include Michael Pierce, Balazs Kralik, and Carlos Blanco of FEA, and John Lehman and Julia Long of FEA Energy Consulting. We welcome Owen Marx from Central and Southwest, and Warren Murdoch from Florida Power Corporation as guest speakers. These industry experts will provide first-hand information about the implementation and practical application of VaR. FEA’s high-quality intensive instruction–from general overview to specific applications–will develop and refine your understanding of VaR for energy.

Case studies and numerous examples will be presented throughout the seminar. After the second day an optional tutorial will teach you how to generate VaR reports using sample portfolios. You are invited to submit questions and sample trades in advance to be addressed during the presentations. The small-group collegial setting will offer an opportunity to discuss your own issues and ideas.

Highlights

• VaR assumptions and building blocks.
• Comparison of VaR methodologies (Monte Carlo, analytic, and historical simulation)
• Stress testing and scenario analysis for energy firms
• Seasonal forecasting of volatilities and correlations
• Creating risk management reports with Component VaR, VaRdelta, and VaRbeta
• How to comply with SEC and FASB rules regarding the disclosure of derivative positions
• Practical examples identifying options embedded in long-term energy contracts
• Case studies of energy portfolios presented by leading risk management practitioners
• How to set up VaR-based trading limits, including real-time limits
• How to account for counterparty and liquidity risk
• New theoretical developments including extreme-value techniques to speed Monte Carlo simulation, VaR hybrid methods, and more

Registration Information

Fee: $1495. This includes course materials, meals, and 30 days use of FEA software. FEA financial engineers and staff will host a reception at the conclusion of the September 16 session.

Early registration: Receive a 10% discount if you register by August 16, 1999.

Cancellation policy: A complete refund less a 10% administration fee will be given if written notice is received by FEA before September 1; a 50% refund less a 10% administration fee will be given for notice received by September 8. No refunds will be given after September 8. Substitutions are welcome.

Group discounts: Two or more people from the same company will receive a 20% discount.

Accommodations: FEA has reserved rooms a the Grand Hyatt San Francisco which will be held until August 23, 1999. Seminar attendees rates are $199.00 for a single room or $224.00 for a double room,. Reservations can be made directly with the Grand Hyatt San Francisco by calling 1-800-233-1234. To receive these rates, mention that you are attending FEA’s VaR for Energy Seminar.

For more information or to register, contact FEA.