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Module (6 Credits)

Structuring and Valuation

Name in diploma supplement
Structuring and Valuation
Responsible
Admission criteria
See exam regulations.
Workload
180 hours of student workload, in detail:
  • Attendance: 60 hours
  • Preparation, follow up: 60 hours
  • Exam preparation: 60 hours
Duration
The module takes 1 semester(s).
Qualification Targets

Students

  • analyze current problems in the field of energy trading.
  • understand complex quantitative techniques and apply them to analyze the structures of financial contracts and physical assets frequently used in energy markets.
  • are able to evaluate the risk attended by such contracts and to explain it to non-experts.
  • are able to critically discuss and interpret model results as well as to extend models.
  • are able to implement the introduced models in a common programming language (e.g. Python)
Relevance

The models discussed and the quantitative techniques used are common standard and frequently used in financial institutions and the energy industry.

Module Exam

Written exam (generally 60-90 minutes).

Usage in different degree programs
  • BWL-EaF-Ma-2015Pflichtbereich2nd Sem, Compulsory
  • EnergySc-Ma-2016Fortgeschrittene Energiewissenschaft1st Sem, Elective
  • VWL-Ma-2009-V2013Wahlpflichtbereich II1st Sem, Elective
  • WiMathe-Ma-2013VWL-Energie1st Sem, Elective
Elements
Name in diploma supplement
Lecture Structuring and Valuation
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
summer semester
Participants at most
no limit
Preliminary knowledge

Good knowledge in statistics and econometrics.

Detailed knowledge of energy markets and frequently used quantitative models.

Abstract

Principles of risk management in energy markets (risk positions, risk measures), analysis of transactions in energy markets (volatilities, correlations), structured products, principals of emissions trading, credit risk.

Contents
  1. Spot and forwad price modeling in energy markets
  2. Valuation of derivatives
  3. Risk positions and risk measures
  4. Modeling volatility and correlation in cross-commodity positions
  5. Analysis and discussion of emission markets
Literature
  • Burger, M.,  Graeber, B.  and Schindlmayr, G.: Managing Energy Risk: An Integrated View on Power and Other Energy Markets,  JohnWiley & Sons, 2007.
  • Kaminiski, V.: Energy Markets, RISK books, 2013 
  • Eydeland, A. and Wolyniec, K.: Energy and Power Risk Management, JohnWiley & Sons, 2003.
  • Geman, H.: Commodities and Commodity Derivatives, JohnWiley&Sons, 2005.
  • James, T. and Fusaro, P.C.: Energy and Emissions Markets , JohnWiley & Sons, 2006.
Teaching concept

Presentation, discussion

Participants
  • BWL-EaF-Ma-2015PflichtbereichModul "Structuring and Valuation"2nd Sem, Compulsory
  • EnergySc-Ma-2016Fortgeschrittene EnergiewissenschaftModul "Structuring and Valuation"1st Sem, Elective
  • VWL-Ma-2009-V2013Wahlpflichtbereich IIModul "Structuring and Valuation"1st Sem, Elective
  • WiMathe-Ma-2013VWL-EnergieModul "Structuring and Valuation"1st Sem, Elective
Lecture: Structuring and Valuation (WIWI‑C0819)
Name in diploma supplement
Exercises Structuring and Valuation
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
summer semester
Participants at most
no limit
Preliminary knowledge

Good knowledge in statistics and econometrics.

Detailed knowledge of energy markets and frequently used quantitative models.

Abstract

See lecture.

Contents

Recap, discuss, apply and deepen topics covered during the lecture with the help of scientific papers, practical applications and training exercises. Improve theoretical knowledge as well as applied research skills.

Literature

See lecture.

Teaching concept

Presentation, discussion

Participants
  • BWL-EaF-Ma-2015PflichtbereichModul "Structuring and Valuation"2nd Sem, Compulsory
  • EnergySc-Ma-2016Fortgeschrittene EnergiewissenschaftModul "Structuring and Valuation"1st Sem, Elective
  • VWL-Ma-2009-V2013Wahlpflichtbereich IIModul "Structuring and Valuation"1st Sem, Elective
  • WiMathe-Ma-2013VWL-EnergieModul "Structuring and Valuation"1st Sem, Elective
Exercise: Structuring and Valuation (WIWI‑C0820)
Module: Structuring and Valuation (WIWI‑M0671)