Intermediate Derivatives Markets, Hedging and Risk Management - DPH2 

CPE Credits Awarded: 16
Categories: Trading, Derivatives, Hedging and Risk Management, Global Association of Risk Professionals (GARP) Approved Course

Course Date Duration Venue Price Registration Deadline Register
04 Mar 2020 2 Days Calgary, Canada Country: ca
$ (USD) 2,471.00+5%GST
31 Jan 2020
30 Mar 2020 2 Days Singapore, Singapore Country: sg
$ (USD) 3,100.00+7%GST
14 Feb 2020
20 Apr 2020 2 Days Houston, TX Country: us
$ (USD) 2,471.00
20 Mar 2020
24 Jun 2020 2 Days London, UK Country: gb
£ (GBP)2,350.00+20%VAT
22 May 2020
16 Sep 2020 2 Days San Francisco, CA Country: us
$ (USD) 2,471.00
14 Aug 2020
28 Sep 2020 2 Days Calgary, Canada Country: ca
$ (USD) 2,471.00+5%GST
28 Aug 2020
12 Oct 2020 2 Days Singapore, Singapore Country: sg
$ (USD) 3,100.00+7%GST
28 Aug 2020


The Intermediate Derivatives Markets, Hedging, and Risk Management is a two-day class presented by the energy training experts at Mennta Energy Solutions. The course also provides an overview of energy price behavior, and applied probability and statistics using Excel exercises with hands-on calculations. After introducing the building blocks of risk analysis, we estimate volatilities, correlations and calculate Value at Risk and other risk metrics.

Delegates explore some of the main tools to manage market risk in energy portfolios, with particular emphasis on VaR, Stress Tests and Backtesting. Delegates conduct hands-on calculations for variance-covariance, Monte Carlo and Historical Simulation VaR for energy portfolios.

The course covers advanced instruments for basis risk management such as basis swaps and options and the use of correlation and regression to identify and measure basis risks. Case studies show to hedge in illiquid markets using proxy hedges. The use of option strategies, exotic options and structured products is shown in an applied context, with emphasis on pros and cons vs. other hedging instruments.

A new module covers how to perform Profit and Loss Attribution for Linear and Non-Linear Derivatives, includes several case studies. The main option “Greeks’ (Delta, Gamma, Vega and Theta) are presented using practical exercises.

Please note: a laptop and up-to-date version of Office would be an advantage in order to engage in market data; however it is not essential.


DPH1 or equivalent knowledge.

Not sure if you have the appropriate experience? Click here to test yourself on the knowledge necessary for this course.


  • Market risk managers
  • Energy traders
  • Trading managers
  • End-users of derivatives in corporations
  • Credit risk analysts
  • Risk consultants
  • Risk and audit committee members
  • CFOs and treasury managers
  • Finance department personnel
  • Compliance managers
  • Middle and back-office personnel
  • Treasurers and treasury analysts
  • Chief risk officers


Day I:

Course Introduction

201: Review of Energy Price Behavior, Probability and Statistics

  • Overview of energy price behavior; seasonality; mean reversion; spikes
  • Volatility structure in energy markets; spot vs. forwards
  • Probability distributions; moments of a distribution, histograms and QQ plots.
  • Excel exercises with hands-on calculations of volatilities, correlations
  • Case study: VaR calculation for a single exposure.
  • Calculating and interpreting rolling window volatilities and correlations in Excel

202:  Market Risk Management for Energy Trading (I)

  • Best practices of market risk management in energy markets
  • Understanding VaR and Expected tail loss (ETL)
  • A simple way to calculate VaR: Top Down Approach
  • Case study: interpretation of market risk disclosures for large energy firm
  • Risk limits and risk reports
  • Backtesting market risk models
  • Oil, power and gas specific issues

Lunch Break

203: Market Risk Management for Energy Trading (II)

  • VaR methodologies
  • Excel Case Studies
  • Analytic or Variance Covariance VaR.
  • Review of Matrix Multiplication in Excel
  • Monte Carlo Simulation
  • Geometric Brownian Motion
  • Simulating correlated market prices
  • Historical simulation
  • How to Game VaR
  • Overcoming known problems with VaR models

Coffee Break

204: Stress Testing and Backtesting  for Energy and Commodity Firms

  • Designing and conducting stress tests for energy portfolios
  • Benefits of stress tests
  • Standard & Poors liquidity risk survey and Stress Testing
  • Integrating stress tests in the risk modeling process
  • Stress tests for crude and products; gas; electricity
  • Exercise: Creating and presenting stress test reports

End of Day Summary

Day 2

205. Analysis of Derivative Strategies

  • Review of key option concepts.
  • Zero-cost collars. Uses and misuses.
  • Case Study: Using Zero Cost Collars in a Hedging Programme
  • Call and Put spreads. Main uses.
  • Three-way Collars: Aggressive vs. Conservative strategies
  • Volatility Plays: Straddles and Strangles
  • Comparing the risk and benefits of various hedging strategies

Coffee Break

206: Understanding option sensitivities through the "Greeks"

  • Review of Black-76 and valuation of options
  • Delta and Gamma, Vega and Theta: Definition, calculation and main uses.
  • Case study: calculating and visualizing "Greeks" in Excel
  • Delta hedging of option portfolios; key considerations.
  • Delta-gamma hedging and Delta-gamma-vega hedging
  • Analyzing the dynamics of delta, gamma and vega for a straddle position

Lunch Break

207: Profit and Loss Attribution for Linear and Non-Linear Derivatives (NEW)

  • P&L decomposition and attribution for linear and non-linear books
  • Case study: P/L decomposition for physical books
  • Taylor series expansions and the use of Greeks to conduct P/L decomposition
  • Case Study: Identifying price and volatility views using P/L decomposition
  • Deconstructing Risk: Marginal VaR
  • Explaining VaR changes with a risk attribution report

Coffee Break

208: Basis Risk Management and Derivatives in Energy Markets

  • Types of basis risk
  • Managing basis risk with basis swaps
  • Case study: Managing NYMEX/ICE basis risk with OTC basis swaps
  • Hedging with futures and basis swaps
  • Understanding and using correlation in valuation and risk measurement.
  • Pitfalls of correlation as a measure of dependence
  • Short-term correlation vs. long term co-movement (cointegration)
  • IAS 39/IFRS 9 and Hedge Effectiveness. Ex-ante vs. Ex-post Tests.
  • Minimum Variance Ratio using Volatility and Correlation Analysis

Course Wrap-up


DR CARLOS BLANCO is an expert in energy, commodity, and financial risk management and modeling. He has been a faculty member of Mennta Energy Solutions since 2004, where he teaches the Derivatives Pricing Hedging and Risk Management Certificate Programme as well as courses on Counterparty Risk Management and Gas and Power Trading and Risk Management.

He has published over 100 articles on financial, energy, and commodity trading, hedging and risk management. He is the founder and managing director of a risk management advisory firm with clients in North America, Europe, Africa and Asia. Carlos is a former VP, Risk Solutions at Financial Engineering Associates. There, he worked over six years as an essential contributor in the development of the energy derivatives valuation and risk management models of the firm. He also provided leading-edge risk advisory and educational services to over 500 energy and commodity trading firms and financial institutions worldwide. He also managed the world-class support and professional services department within the firm. Prior to FEA, Carlos worked for a hedge fund in the Midwest and an asset management firm in Madrid, Spain. He is a former regional director of the Professional Risk Managers’ International Association (PRMIA).


“The course was very informative.  I liked that we spent the time to go through the building blocks before diving into more complicated examples.  I also liked the hands-on method of engaging the material in excel.” A.M., Elbow River Marketing

“DPH2 picked up where DPH1 left off with the application models, trading strategies and real world (simplified) Excel examples. Excellent class!” U.D., Shell

“The instructor was extremely knowledgeable and the materials/tools will be useful for years to come in my organization!” S.H., Imperial Irrigation

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 CPD 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.