Structuring and Valuation

Module: Structuring and Valuation (6 Credits)
Name in diploma supplement	Structuring and Valuation
Responsible	Prof. Dr. Rüdiger Kiesel
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 Master > Pflichtbereich > 2.-3. Sem, Compulsory ECMX Master > Wahlpflichtbereich > ME5 Economics > 1.-3. Sem, Elective EnergySc Master > Fortgeschrittene Energiewissenschaft > 1. Sem, Elective VWL Master > Wahlpflichtbereich II > 1.-3. Sem, Elective WiMathe Master > VWL-Energie > 1.-4. Sem, Elective
Elements	Lecture Structuring and Valuation (3 Credits) Exercise Structuring and Valuation (3 Credits)
Module: Structuring and Valuation (WIWI‑M0671)

Lecture: Structuring and Valuation (3 Credits)
Name in diploma supplement	Lecture Structuring and Valuation
Organisational Unit	Lehrstuhl für Energiehandel und Finanzdienstleistungen
Lecturers	Prof. Dr. Rüdiger Kiesel
Hours per week	2	Language	English
Cycle	summer semester	Participants at most	###LABEL_NOLIMIT###
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 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
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
Lecture: Structuring and Valuation (WIWI‑C0819)

Exercise: Structuring and Valuation (3 Credits)
Name in diploma supplement	Exercises Structuring and Valuation
Organisational Unit	Lehrstuhl für Energiehandel und Finanzdienstleistungen
Lecturers	Prof. Dr. Rüdiger Kiesel
Hours per week	2	Language	English
Cycle	summer semester	Participants at most	###LABEL_NOLIMIT###
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
Exercise: Structuring and Valuation (WIWI‑C0820)