27-28 May, 2013, Amsterdam

DISPATCH OPTIMIZATION, HEDGING STRATEGIES & REALISTIC VALUATIONS

Power Generation Valuation & Hedging

Cyriel de Jong, KYOS Energy ConsultingHans van Dijken, KYOS Energy Consulting

Course Leaders

Welcome to this popular and highly interactive course in Power Generation Valuation and Hedging

A summary of the courseThis two day course provides an in-depth analysis of methodologies to value and manage power generation assets and power contracts. The course mainly covers thermal plants, but also contains separate discussion of virtual power plant contracts, tolling deals, and wind and hydro generation assets.

With real life examples and cases studies the course will demonstrate what techniques can be used to properly value and manage power plants, thereby incorporating relevant technical and commercial plant constraints. Furthermore, the course shows how to construct realistic price scenarios, a key element in valuation and hedging.

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Who should attend?The course aims to attract a wide range of people active in the energy and fi nancial sector, including energy traders, asset developers, portfolio and risk managers, energy market analysts, regulators and consultants. The course does not require any specifi c pre-knowledge. The instructors are used to present technical details in an intuitive manner, both appealing to quantitative and non-quantitative people.

Case study and trading gameThe course is highly practical: throughout the course you will work on case studies with specialized analysis models for plant valuation and hedging analysis. The models will be provided to you for the duration of the course plus a month thereafter.Apart from case studies, the course also features an energy trading game. The goal is to optimize a portfolio of power plants, while hedging in the market and responding to news.

Power Generation Valuation & Hedging

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Programme Day 1 Programme Day 2Session 1: Power generation and power contract types

▶ Market overview ▶ Technologies ▶ Emissions

Session 2: Introduction power plant valuation ▶ Explanation of costs ▶ Financial evaluation: Net present value

Case study: NPV valuation (Excel)

Session 3: Real options approach to power plants ▶ From intrinsic to extrinsic value ▶ How to monetize fl exibility of power stations ▶ Introduction real options ▶ Pricing options: Black-Scholes, Trees, Monte Carlo ▶ Margrabe’s formula to price power plants

Case study: Plant value with Margrabes (Excel)

Session 4: Forward Curve Building ▶ From fundamental curves to tradable products ▶ Build-up of intrinsic value ▶ Impact wind and solar on hourly curve

Session 5: Dispatch Optimization ▶ Plant constraints: technical, commercial, environmental ▶ Mathematical optimization techniques for power plant dispatch

Case study: Optimal dispatch – Dynamic Programming (Excel)

Session 1: Power plant hedging ▶ Hedging: diff erence between gas and coal fi red power stations

▶ Purpose of hedging (risk reduction, profi t optimization) ▶ Hedge defi nitions: intrinsic, rolling intrinsic and delta hedge

▶ Hedging issues: ▷ Timing: when to start hedging ▷ What products to hedge (base, peak, calendar, season, etc)

▷ Adjust hedge in time: static or dynamic ▷ What to hedge: capacity or expectation? Expectation based on forward curve or simulations?

▷ What to hedge: volume or value ▶ Hedging strategies in practice

Case study: delta hedging – hedge eff ectivenesshedging power production

Session 2: Renewables ▶ Surge in wind power: impact on pricing ▶ Solar power: impact on peak power price

Session 3: Cointegration ▶ Cointegration versus correlation ▶ Eff ective simulation of spark and dark spreads ▶ Impact cointegration on power plant value

Case study: Cointegration (Excel)

Energy Trading Game

Before Cyriel de Jong founded KYOS, he was assistant professor at Erasmus University. Since 2001 he has been a trainer in energy markets, mainly focusing on fi nancial risk management and energy fi nance.

Cyriel has done a great number of projects related to energy derivative valuation, risk management and investment analysis (including real options). He is particularly active in the application of fi nancial simulation methodologies to value power plants, gas storages, long-term contracts, and transportation. Cyriel holds an MSc in Econometrics from the University of Maastricht and a PhD in Financial Derivatives from Erasmus University.

Hans van Dijken has been active in energy markets since 2001. Before he joined KYOS, he worked for Reliant Energy and Nuon in the Netherlands.

During this period, he worked in various functions within risk management and business development. Within KYOS, Hans has been working on various projects related to investment analysis, power plant valuation, tolling deals and implementation of hedging strategies. He is largely active in optimizing power plant dispatch decisions, while enhancing value through the application of hedging strategies.Hans holds an MSc in Business Administration from the University of Twente.

“I attended this course in 2011 and this was useful. I have learned/improved some concepts like Spark Spread, VPP, hedging and I implemented it in my work. Moreover, I practiced in a small hedging game. But for me, the most important thing was that I met people from diff erent companies and countries with whom I could discuss about our business.”Davy Swennen, Business Expert & Controlling Analyst at EDF Luminus

“The course Power Generation Valuation and Hedging gives a very good overview for beginners about how generation assets are used in the diff erent power markets. It also provides an excellent insight on mathematical models for generation optimization and hedging strategies on an advanced level.”Jan Smolka, Portfolio Manager (Generation Assets & Energy Trading) at Trianel Gmbh

Cyriel de JongPartner, KYOS Energy Consulting

Hans van DijkenPartner, KYOS Energy Consulting

Reviews:

LEADERLEADERLEADERCOURSE LEADERS

LEADER LANGUAGEThe workshop will be delivered in English.

DATE 27-28 May 2013, Amsterdam, The Netherlands

SCHEDULEEach day starts at 09.00 and fi nishes at 17.00hrs.

REGISTRATIONhttp://www.energy-expert-network.com/coursesE-mail: Johanna.Oberg@energy-expert-network.comPhone:+46 (0) 708 55 65 62

FEESEarly Bird 2225€ (before 15 April) + Dutch VATStandard price 2475€ + Dutch VAT

MULTIPLE REGISTRATION DISCOUNTRegister two or more people from the same company and receive an additional 10% discount.

FOOD AND BEVERAGEFood and beverages will be provided to the participants during the day. Specifi c wishes can be submitted to the organization.

LAPTOPProvided the character of the workshop participants are required to bring a laptop, which has installed MS Excel.

DOCUMENTATIONParticipants receive documentation, calculations and exercises in a manual.

ABOUT THE ORGANIZERS

ENERGY EXPERT NETWORKThe Energy Expert Network is a network of experts and hands-on energy market participants that provides companies with tailored courses.

The Energy Expert Network consists of the ‘best of the best’ industry experts, well known for their knowledge and experience in teaching energy industry professionals. Energy Expert Network also provide open courses on fi xed dates in co-operation with external experts.