Session 2 - Energy Risk Management

PROGRAM

June 8, 2016

08:30-09:00 Registration                                           

Chair: Rosella Castellano

09:00-09:30 Welcome and Opening Remarks
Rita L. D’Ecclesia, Sapienza University of Rome, Giorgio Di Giorgio, LUISS Rome

09:30-11:00 Gianluca Fusai, Università degli Studi del Piemonte Orientale and Cass Business School
Integrated structural approach to Counterparty Credit Risk of Commodity Swaps

11:00-11:30 Coffee Break

11:30-13:00 Chris Harris, University of Exeter, RWE npower
Whole hedging of uniform retail products

13:00-14:30 Lunch

Chair: Gianluca Fusai

14:30-16:00 Lutz Kilian, University of Michigan, MI
Oil Price Forecasts and How They Can be Useful in Understanding the Decline in the Price of Oil since
June 2014

16:00-16:30 Tea Break

16:30-18:00 Rüdiger Kiesel, University of Duisburg-Essen, DE
Intra-day trading of electricity

June 9, 2016

Chair: Rafal Weron

09:00-10:15 Roland Fuess, University of St. Gallen, CH
Electricity Spot and Derivatives Pricing when Markets are Interconnected

10:15-10:30 Coffee Break

10:30-11:45 Elisa Scarpa, Edison Trading, Milan, IT
Crude oil and speculation: new evidences

11:45 - 13:15 Andrea Roncoroni ESSEC Business School Paris, Singapore
Static Hedging of Quantity Risk

13:15 - 14:30 Lunch

Chair: Giorgio Calcagnini

14:30-16:00 Rafal Weron, Wroclaw University of Technology, PL
Advances in forecasting of wholesale electricity prices

16:00-16:30 Tea Break

16:30-17:30 Alvaro Cartea, Oxford University, UK
Model Uncertainty in Commodities

17:30-18:30 Carlo Andrea Bollino, University of Perugia, IT
Optimal Price Design in the Wholesale Electricity Market

20:30 Social Dinner – Palazzo Barberini