North American Gas and Power Trading and Risk Management - NAGP 

CPE Credits Awarded: 24
Categories: The Natural Gas Industry , The Power Industry, Trading, Derivatives, Hedging and Risk Management, Global Association of Risk Professionals (GARP) Approved Course

Date Register by Date Duration Venue Price Register
14 Nov 2017 6 Oct 2017 3 Days Houston, TX Country: us
$ (USD) 3,200.00

2638fdbfc0063e01b3330faed06800ee150 150This highly interactive three-day course will expose delegates to North American gas and power trading and risk management through real-life case studies, team trading simulations and engaging discussions.

The course will enable participants to gain a practical working knowledge of gas and power market drivers, main players and common traded instruments. Delegates will gain a practical understanding of the various dimensions of risk in gas and power markets and the various tools to manage and transfer those risks.

We will present new approaches to hedge energy exposures with derivatives as well as useful techniques to unbundle gas and power structures in long term contracts and physical assets. Particular emphasis is placed on the use of derivatives as well as physical assets and contracts to manage price, credit, volumetric, and operations risk. A new section covers regulatory risk management and compliance for energy trading operations and case studies with lessons learnt from recent market manipulation cases.

Numerous case studies and trading simulations are presented throughout the courses, with particular emphasis on the interpretation and use of trading and risk management concepts introduced in real-life examples.  Delegate participation and group discussion is highly encouraged.

Please note: a laptop and Excel version 2007 or later is required in order to engage in market data.

Course Methodology And Materials

The courses are highly interactive, and we encourage delegate participation and group discussions.

Numerous case studies are presented throughout the courses, with particular emphasis on the interpretation and use of trading and risk management concepts introduced in real-life examples.

Delegates will make presentations to the group and conduct numerous individual and group exercises.

Trading Simulation

The trading simulation will provide an opportunity for delegates to use the main hedging instruments as well as take advantage of market views as a response to changes in gas and power market conditions. Delegates will execute their own trading strategy and will calculate and monitor their own P/L, adjust their hedge book, as well as keep positions within limits such as volumetric, stop losses, VaR and Stress tests.


The Pre-Study Course will focus on the following topics.

  • Basic Knowledge of Gas and Power Markets
  • Good working knowledge of Microsoft Excel. Delegates will receive a pre-course reading package reviewing the main Excel functionality that will be used during the course
  • Basic knowledge of physical transactions and derivatives. Knowledge of basic Physical sales and purchases, forward, futures, options.

GARP rgbThe Oxford Princeton Programme is registered with GARP as an Approved Provider of Continuing Professional Development (CPD) credits. The Oxford Princeton Programme has determined that this program qualifies for 24 GARP CPD credit hours. If you are a Certified FRM or ERP, please record this activity in your Credit Tracker at

  • Energy Traders and Marketers
  • Energy Analysts
  • Gas and Power Utilities staff
  • Power and Fuel purchasing managers<
  • End-users of derivatives in corporations
  • Market Risk Managers
  • Credit Risk Analysts
  • Risk consultants
  • Risk and Audit Committee Members
  • CFOs and Treasury Managers
  • Finance department personnel
  • Compliance and Internal Audit
  • Middle and Back-Office Personnel
  • Government agencies

Course Modules

101: Overview of Gas and Power Markets (I): Main players, market structure, and drivers

•    Overview of the Physical and Financial Gas and Power Markets
•    Market Hubs, Exchanges and OTC markets
•    Risk dimensions: Price, basis, volume, regulation, weather, operations
•    Long or short? Volumetric and Financial Considerations
•    How are gas and power bought and sold?
•    Gas markets: Supply and demand drivers
•    Power markets: Supply and demand drivers
•    Case Study: Power and Gas Market response to supply and demand shocks

102: Overview of Gas and Power Markets (II): Spot Prices, Basis, Forward Curves

•    Spot and Forward Prices for Gas and Power
•    Forward curve analysis for gas and power markets
•    Case study: Forward curves vs. Price Forecasts
•    Shaping the forward curve: Bullets, Trading Packages and Shaping Factors
•    Dealing with illiquid hubs and long term maturities
•    Understanding energy price behavior and its volatility structure

103: Gas and Power Physical and Financial Instruments (I): Physical Contracts and Linear Instruments

•    Physical purchase and sale contracts: Fixed Price, Index Price and Basis Deals
•    Main Types of Derivatives: Futures, Forwards, Swaps and Options
•    Exchange-based and OTC trading: Futures vs. Forwards. NYMEX ‘look-alike’ Forwards
•    Open Interest, Bid-ask Spreads and Volume
•    Clearing, collateral and margin issues
•    Swaps (Fixed-for-Floating, Index, Swing), Basis Swaps
•    Hedging Physical Purchases and Sales with Forward and Swaps
•    Case Study: Hedging seasonal production with a Strip of Futures

104: Gas and Power Physical and Financial Instruments (II) -  Options
•    Options and Strips of Options
•    Using Energy Options: Hedging and Speculation
•    Options types and payoffs
•    Average Price (Asian) Options
•    Understanding optionality and contract components
•    Implied price and implied volatility views in option strategies
•    Case Study: Gas Hedging with Swaps vs. Options
•    Case Study: Daily Options vs. European Options vs. Asian Options

105: Mark to Market, P/L and Position management
•    Front, Middle and Back Office
•    Mark to market vs. Mark to Model
•    Bid-ask spreads in Gas and Power transactions
•    Introducing the Liquidity Dimension
•    Setting up reserves for illiquid positions
•    Profit and Loss decomposition for a trading book
•    Case study: Pricing a Natural Gas swap. Step by step calculations
•    Case Study: Assigning liquidity levels to an energy derivatives book

201: Trading Strategy and Technical Analysis
•    Trading Psychology and Technical Analysis
•    Line Charts, Bar, and Candlestick Charts
•    Identifying Trends, Support, Resistance
•    Moving Averages, Oscillators, Divergence and Convergence Indicators
•    Integrating Fundamental and Technical Analysis
•    Backtesting Trading Models
•    Case Study - Elements of a Trading Strategy

202: Market and liquidity Risk Management (I)
•    Market risk measurement and reporting
•    Understanding and interpreting “at-Risk” measures:
•    Value at Risk, Earnings at Risk (EaR), Cash Flow at Risk (CFaR)
•    Sensitivity analysis and Stress Tests
•    Market Liquidity vs. Funding Liquidity Risk

203: Hedging Strategy and Key Risk Indicators (KRI)
•    Hedging and Trading Philosophy and Policy
•    Tenor and Volume Decisions
•    Key dimensions in hedging: Market, Credit, Liquidity, Accounting, Regret
•    Common hedging mistakes
•    Case study: Alternative hedging programmes: Pros and Cons
•    Trading Limits: Stop Loss, VaR/EaR limits, Volumetric and Counterparty Limits
•    Risk adjusted performance (RAROC)

204: Gas and Power Physical and Financial Instruments (III):  Physical Assets and Contracts as Real Options
•    Physical Assets as Real Options
•    Using basis swaps to fix prices; hedge transportation and transmission
•    Pipeline capacity
•    Natural Gas Storage and Calendar Spread Strategies
•    Optimization based on Intrinsic Value
•    Re-optimization
•    Monetization of Real Options

205: Gas and Power Physical and Financial Instruments (IV): Cross-Commodity Instruments and Real Options
•    Hedging Physical Asset and Contractual exposures
•    Spark Spreads and Heat Rate Forwards and Options
•    Case Study: Generation Assets as real options.
•    Case Study: Monetization of the optionality in Generation Assets

301: Market and Liquidity Risk Management (II)
•    Position Management for portfolios with assets, physical contracts and financial instruments
•    Exposure Maps and Front-month Equivalent positions
•    Overview of main VaR methodologies
•    How to Game “at- Risk” limits
•    Backtesting market risk models
•    Case Study: Analysis of Amaranth’s Natural Gas calendar spread trading strategy

302: Greeks, Option Strategies and Volatility
•    Zero Cost Collars and Three Way Collars
•    Extendable and Participating Swaps
•    Energy option ‘Greeks’: uses and limitations
•    Case Study: Explaining P&L changes with “Greeks”
•    Straddles and delta-neutral strategies
•    Tips for negotiating with derivatives counterparties
•    Common Derivatives Pricing mistakes and how to avoid them.
•    Implied volatilities, Volatility skews and volatility surfaces
•    Case Study: Bank of Montreal Natural Gas Options Book

303: Volumetric Risk and Weather derivatives
•    Key sources of volume risk in power markets
•    Volumetric risk and Operational Risk:
•    Unplanned Outage Insurance
•    Case study: Hedging storage contracts and operational risk
•    Possible problems when hedging physical exposures with financial forwards: Plant outages, Plants not dispatched.
•    Hedging Volumetric Risk: Weather Derivatives and Multiple-trigger contracts
•    Prepayment deals and force majeure

304: Counterparty Risk Analysis
•    Key issues in credit risk management for Gas and Power Markets
•    ISDA agreements: Netting, Collateral and Credit Triggers
•    Other Credit Risk mitigation tools: Prepayments, Letters of Credit, Credit derivatives
•    Novation and OTC Clearing
•    Market Based Default Probabilities: Bond Markets and Credit Default Swaps
•    Current Exposure and Walk Forward Analysis of Credit Exposures
•    Credit Exposures and Potential Future Exposure Modeling

305: Regulatory Risk Management and Compliance (NEW)
•    Regulatory risk management and compliance in energy physical and financial trading
•    Identifying potential regulatory risk ‘red flags’
•    A practical framework for analysis of market manipulation
•    Case study: FERC enforcement case against BP for alleged market manipulation
•    Proactive compliance monitoring techniques
•    Effective exception reporting and intervention
•    Case study: FERC market manipulation cases against JP Morgan and Barclays Bank

End of Seminar and Certificates


Dr Carlos Blanco


"Instructor was knowledgeable, well prepared, able to respond to questions and offered very relevant discussion. Thanks very much! " R.S., PPL Energy Plus

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