Structuring and Valuation

Modul: Structuring and Valuation (6 Credits)
Name im Diploma Supplement	Structuring and Valuation
Verantwortlich	Prof. Dr. Rüdiger Kiesel
Voraussetzungen	Siehe Prüfungsordnung.
Workload	180 Stunden studentischer Workload gesamt, davon: Präsenzzeit: 60 Stunden Vorbereitung, Nachbereitung: 60 Stunden Prüfungsvorbereitung: 60 Stunden
Dauer	Das Modul erstreckt sich über 1 Semester.
Qualifikationsziele	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)
Praxisrelevanz	The models discussed and the quantitative techniques used are common standard and frequently used in financial institutions and the energy industry.
Prüfungsmodalitäten	Written exam (generally 60-90 minutes).
Verwendung in Studiengängen	BWL EaF Master > Pflichtbereich > 2.-3. FS, Pflicht ECMX Master > Wahlpflichtbereich > ME5 Economics > 1.-3. FS, Wahlpflicht EnergySc Master > Fortgeschrittene Energiewissenschaft > 1. FS, Wahlpflicht VWL Master > Wahlpflichtbereich II > 1.-3. FS, Wahlpflicht WiMathe Master > VWL-Energie > 1.-4. FS, Wahlpflicht
Bestandteile	Vorlesung Structuring and Valuation (3 Credits) Übung Structuring and Valuation (3 Credits)
Modul: Structuring and Valuation (WIWI‑M0671)

Vorlesung: Structuring and Valuation (3 Credits)
Name im Diploma Supplement	Lecture Structuring and Valuation
Anbieter	Lehrstuhl für Energiehandel und Finanzdienstleistungen
Lehrperson	Prof. Dr. Rüdiger Kiesel
Semesterwochenstunden	2	Sprache	englisch
Turnus	Sommersemester	maximale Hörerschaft	###LABEL_NOLIMIT###
empfohlenes Vorwissen 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.
Lehrinhalte Spot and forwad price modeling in energy markets Valuation of derivatives Risk positions and risk measures Modeling volatility and correlation in cross-commodity positions Analysis and discussion of emission markets
Literaturangaben 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.
didaktisches Konzept Presentation, discussion
Vorlesung: Structuring and Valuation (WIWI‑C0819)

Übung: Structuring and Valuation (3 Credits)
Name im Diploma Supplement	Exercises Structuring and Valuation
Anbieter	Lehrstuhl für Energiehandel und Finanzdienstleistungen
Lehrperson	Prof. Dr. Rüdiger Kiesel
Semesterwochenstunden	2	Sprache	englisch
Turnus	Sommersemester	maximale Hörerschaft	###LABEL_NOLIMIT###
empfohlenes Vorwissen Good knowledge in statistics and econometrics. Detailed knowledge of energy markets and frequently used quantitative models.
Abstract See lecture.
Lehrinhalte 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.
Literaturangaben See lecture.
didaktisches Konzept Presentation, discussion
Übung: Structuring and Valuation (WIWI‑C0820)