Practical Portfolio and Risk Management for Utilities (PRM2) - PRM2 

CPE Credits Awarded: 16
Categories: The Natural Gas Industry , The Power Industry, Trading, Derivatives, Hedging and Risk Management, Global Association of Risk Professionals (GARP) Approved Course , Virtual Classroom Courses


Practical Portfolio and Risk Management for Utilities is a two-day instructor-led course presented by the energy training experts at Mennta Energy Solutions. This is an intermediate course on gas and power hedging and risk management for utilities in an applied context.

The course will enable participants to gain a practical working knowledge of portfolio management for utility portfolios in the context of market and volumetric risk due to variability in loads, renewable generation (hydro, wind, solar) and operational risks.

The course will present how to use simulations and scenarios to measure and manage material risk metrics for the portfolio and design optimal hedge portfolios.

We will present new approaches to hedge energy exposures with derivatives as well as useful techniques to unbundle gas and power structures in long term contracts and physical assets.  Particular emphasis is placed on the use of derivatives in the context of managing net positions including physical assets, physical contracts and hedge instruments.

Delegates will gain a practical understanding of the various dimensions of risk for utilities active in gas and power markets and the various tools to manage and transfer those risks.



  • Introduction to Hedging and Risk Management for Utilities or equivalent knowledge
  • Good working knowledge of Microsoft Excel. Delegates will receive a pre-course reading package reviewing the main Excel functionality that will be used during the course
  • Basic knowledge of physical transactions and derivatives. Knowledge of basic Physical sales and purchases, forward, futures, options.

Please note: a laptop and Excel version 2007 or later is required in order to engage in market data.


  • Energy Traders and Marketers
  • Energy Analysts
  • Marketing Managers
  • Sales Managers
  • Asset Optimizers
  • Power Utilities staff
  • Power and Fuel purchasing managers
  • End-users of derivatives in corporations
  • Market Risk Managers
  • Credit Risk Analysts
  • Risk consultants
  • Risk and Audit Committee Members
  • CFOs and Treasury Managers
  • COOs
  • Finance department personnel
  • Compliance and Internal Audit
  • Middle and Back-Office Personnel
  • Government agencies




Meaningful Risk Metrics for Utilities

  • Sources on uncertainty in utility portfolios
  • Integrated Risk Management for Physical transactions
  • Understanding and interpreting “at-Risk” measures, Value at Risk, Earnings at Risk (EaR), Cash Flow at Risk (CFaR)
  • Limitations of Mark-to-Market, Current Exposures and Value at Risk for utility portfolios
  • Key differences between Value and Flow metrics
  • Anticipating potential collateral and margin needs. Introduction to Collateral at Risk.
  • Sensitivity analysis and Stress Tests

Simulation Concepts for Physical and Financial Portfolios

  • Spot prices: Geometric Brownian Motion and GBM with Mean Reversion
  • Market price simulations: Day-ahead, hourly and subhourly
  • Forward Curve Simulations with Multi-factor models
  • Weather Simulations
  • Load Simulations
  • Hydro, Wind and Solar Simulations
  • Meaningful Uncertainty
  • Validation Tests

Real options and Physical Assets

  • Typology of Real Options
  • Optimization and Monetization Strategies
  • Standard vs. Real Options
  • Locational basis relationships in gas and power markets
  • Pipeline capacity
  • Congestion Revenue Rights (CRR) and Financial Transmission Rights (FTR)
  • Convergence trades in CAISO (day head vs. real time)
  • Natural Gas Storage
  • Power generation and dispatch optionality
  • Battery Storage and Renewable Generation

Best Practices for Risk and Trading Policies

  • Front, Middle and Back office Roles and Responsibilities
  • The role of risk governance and risk culture
  • Trading controls for utility wholesale market operations
  • Limit structure: Volumetric, Net Open Positions vs. risk-based hedges
  • Position Management for portfolios with assets, physical contracts and financial instruments
  • Designing effective position and risk reports
  • Risk-based Limits and Optimal Hedges

Volumetric Risk for Utilities: Supply Portfolio

  • Key sources of volume risk in supply portfolios
  • Renewable generation and impact on power markets
  • Volumetric risk and Operational Risk
  • Case study: Curtailment risk for renewables
  • Possible problems when hedging physical exposures with financial forwards
  • Excel example: Joint simulation of price and generation risk and impact on hedging strategy
  • Unplanned Outage Insurance
  • Battery storage as a hedge instrument for utilities portfolios

Volumetric Risk for Utilities: Load Serving Obligations

  • Key sources of volume risk in load serving entities
  • Understanding shape risk
  • Problems when hedging physical exposures with block contracts (on peak/off peak)
  • Renewable penetration and net loads
  • Covid-19 and impact on load forecasts
  • Hedging Volumetric Risk: Weather Derivatives and Multiple-trigger contracts
  • Excel example: Joint simulation of price and load risk and impact on hedging strategy
  • Battery storage as a hedge instrument for utilities portfolios

Counterparty Risk Management

  • Counterparty Credit Policy
  • Guidelines to qualify suppliers and counterparties
  • Monitoring and reporting counterparty exposures
  • Credit Risk Measurement and Management: Netting, Collateral and Credit Triggers
  • Current Exposure and Walk Forward Analysis
  • Credit Exposures and Potential Future Exposure Modeling
  • Case study: Uses of PFE in risk reports

Comprehensive Case Study: Portfolio Management and Hedging for a Utility in the Pacific Northwest during 2019 and 2020

  • Description of utility portfolio and key sources of uncertainty
  • Risk Management Goals
  • Wholesale Revenue at Risk: Budgets, Actuals and Projected Net Revenues
  • Budget vs. Actual revenues. Attribution reports.
  • Mark-to-market reports
  • Counterparty risk reports
  • Important developments: Hydro conditions, Forward Market Developments, Impact of Covid-19 on Net Revenues for different quarters


DR CARLOS BLANCO is a financial risk management expert with over 20 years of diverse experience in energy and financial markets. Throughout his extensive career, he has worked with some of the largest energy and commodity market firms worldwide providing advisory services, educational and software solutions.

He is currently managing director for Ascend Analytics a firm providing market intelligence and decision analysis tools to support the energy transition. He has advised risk groups, boards and senior management in renewables, oil, gas, power, mining and trading firms on risk management and business strategy including governance, risk policy, hedging strategy, risk appetite, risk and performance metrics and risk model development and validation.

Dr. Blanco is an active faculty member for Mennta Energy Solutions since 2004, and he has conducted a wide range of energy derivatives hedging, pricing and risk management seminars worldwide. He also teaches several courses on environmental finance, sustainability, and climate risk as well as portfolio management for renewables resources. A frequent conference speaker and writer, he has coauthored over 150 articles for Energy Risk Magazine, Journal of Portfolio Management, Commodities Now, Energy Metro Desk, Oil and Gas Journal and others.

He is a former VP Risk Solutions at Financial Engineering Associates, Inc (a MSCI/BARRA Company), where he managed the market risk suite of products as well as the firm’s product support and professional services group. He also taught finance at the University of California, Berkeley, and the ABN AMRO Academy. Dr. Blanco was recently awarded the GARP Sustainability and Climate Risk (SCR) certification.

GARP rgbMennta Energy Solutions is registered with GARP as an Approved Provider of Continuing Professional Development (CPD) credits. Mennta Energy Solutions has determined that this program qualifies for 16 GARP CPE credit hours. If you are a Certified FRM or ERP, please record this activity in your Credit Tracker at

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Mennta Energy Solutions (formerly The Oxford Princeton Programme, Inc.) is not affiliated with Princeton University, Oxford University, or Oxford University Press.