the garp 2001 convention dear mr kaminski
thank you very much for your prompt reply and for the information you sent
me . i have incorporated this information in the program and am sending you
it again for one last confirmation . ( in particular , i hope that i have your
job title and organization name correct ? ) .
measuring energy risk  ) tackling price volatility , adapting var , scenario
modelling and regulatory requirements
the challenge of modeling price dynamics in the energy markets .
- seasonality
- fat tails
- jumps
- mean ( or floor ) reversion
price volatility in the energy markets : definition and estimation
adapting value - at - risk for the energy markets :
- combination of physical and financial contracts
- correct representation of price dynamics and inter - market price
relationships
- capturing complexity of energy contracts
historical vs . monte carlo simulation vs . scenario analysis . pros and cons
of different approaches
regulatory uncertainty and value - at - risk
vince kaminski , managing director , research , enron corp .
if there are no alterations required i will assume that everything is fine
as it is and will proceed to the printers in due course . i also look forward
to receiving a short biography of about fifty words in due course .
?
if you have any queries please do not hesitate to contact me , otherwise i
look forward to seeing you in new york in february .
?
kind regards
?
andreas
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
andreas simou
garp 2001 - conference producer
tel ? + 44 ( 0 ) 20 7626 9301
fax + 44 ( 0 ) 20 7626 9900
the garp 2001 convention
dear mr kaminski
thank you very much for your prompt reply and for the information you sent
me . i have incorporated this information in the program and am sending you
it again for one last confirmation . ( in particular , i hope that i have your
job title and organization name correct ? ) .
measuring energy risk  ) tackling price volatility , adapting var , scenario
modelling and regulatory requirements
the challenge of modeling price dynamics in the energy markets .
- seasonality
- fat tails
- jumps
- mean ( or floor ) reversion
price volatility in the energy markets : definition and estimation
adapting value - at - risk for the energy markets :
- combination of physical and financial contracts
- correct representation of price dynamics and inter - market price
relationships
- capturing complexity of energy contracts
historical vs . monte carlo simulation vs . scenario analysis . pros and cons
of different approaches
regulatory uncertainty and value - at - risk
vince kaminski , managing director , research , enron corp .
if there are no alterations required i will assume that everything is fine
as it is and will proceed to the printers in due course . i also look forward
to receiving a short biography of about fifty words in due course .
?
if you have any queries please do not hesitate to contact me , otherwise i
look forward to seeing you in new york in february .
?
kind regards
?
andreas
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
andreas simou
garp 2001 - conference producer
tel ? + 44 ( 0 ) 20 7626 9301
fax + 44 ( 0 ) 20 7626 9900