CFVG MEBF 2014 riskGRID ETRM CTRM Game
- 1. The riskGRID? ETRM Game ¨C CFVG October 09-16, 2014 Hanoi & HCMC ? We are proud to announce that we will be offering a new and exciting opportunity to learn and practise Energy Trading and Risk Management at CFVG MEBF this year. ?? The course teaches the groundwork on Day 1-3 and then runs a competitive team game on Day 4. Day 1-3 will be different for Hanoi (09-11) and HCMC (13-16), Day 4 will be a Saturday or Sunday and common to both Campuses. ? http://www.cfvg.org/index.php/en/news/news/item/527-cfvg-specialized-master-in-finance-mebf-- marketing-mmss-application-2011-is-opening The riskGRID? ETRM Game Sponsored by 1 ¡
- 2. Content & Learning Outcome ? ETRM first principles. ? Fundamental analysis, Technical trading, Futures, Swaps, Options and Deal structuring (financial engineering). ? How trading companies, banks and hedge funds work. How index trades and deal structuring work. ? Deal booking, trading the price curve, trading the volatility surface, recognising and either leveraging or neutralising market moves by type. ? Defining a Risk adjusted Framework and managing an ETRM strategy. ? You will be graded as a team and individually. ? This is a market-driven course lead by practitioners. We don¡¯t teach from books, this is a pro-am event where our aim is to get you buckled in, down the runway and airborn as quickly as possible ¨C with someone helping you. Whether front, middle, or back office; or any of the STCB or CPG ETRM roles ¡. 2 You will be ideally prepared for an interview¡ or simply superbly introduced to ETRM.
- 3. Who learns ETRM/CTRM? ? Commercially Academically Professionally ¡°for traders, trader new-hires and the teams who work with them¡± ¡± for students and their teachers¡± ¡°corporate risk managers, accountants, lawyers¡± 1 live price and vols 2 futures physical and freight 1 practitioner dominated faculty yet academically sound 2 trading structuring role 1 Explains curve construction and management futures, trading, structuring, role-playing, 2 Teaches accounting and capability, index (Platts etc) financial engineering 3 real market curves and surfaces (price vol and correl) 3 a gradable case study in ETRM/CTRM regulatory best practice 3 Teaches risk management price, best practice 4 trading, structuring, role playing, financial engineering 4 constant assessment by pop-quiz and a variety of games and tests 4 Captures structured deals allowing reverse engineering 5 look at our recommendations on linkedin 5 ideal preparation for trading and risk management front/middle/back office positions 5 teaches ¡°as its taught¡± by your risk management service providers 3 ? ETRM ¨C Energy Trading & Risk Mgmt, CTRM ¨C Commodity Trading & Risk Mgmt
- 4. How do we know its good? ? Its like flying a fighter jet. When properly designed and built any experienced (pilot)trader can pick up the game and fly it after only minutes of familiarisation. ? We were constrained in academia by poor IT when compared to the commercial world. Our game runs across the internet on the students laptop. Every problem you solve is an opportunity and becomes a critical success factor while slowing the competition. ?? We developed software with ¡°live prices and live vols¡±. ? The game content is based on real events as they happened ¨C it is not a simulation but like the techniques used in the commercial world it is based on actual market action and information and heavily dependent on role playing within a real commercial environment. ? The game itself runs for 8 hours ¨C its a dense and intense day, just like the trading (ETRM) world. ? Students work in teams of four to build a strategy, execute, evaulate and rebalance within a Risk ?djusted Framework (R?F ? by riskGRID) while their corporate world and its needs change with a dynamic market 4 We were challenged to build something special
- 5. How do we know its unique? ? Its like flying a fighter jet. ? With an experienced design, engineering and delivery team we stripped down actual commercial software to first principles and built a student version with as few compromises as possible and many which were practical. ? We then rigorously trained and taught with it, honing and developing our ETRM game. ? At all times you will have experienced commercial market people training you hands on and taking the controls with you for the more complicated manouvers. ? We hired others to teach with their software as a benchmark. We out-performed at every level. 5 We built something special ¨C riskGRID? for Academia
- 6. riskGRID? the GUI feed¡ Generators Transaction types Database h h i l OC F d Vol GEN Exchange, Physical, OTC Futures, Swaps, Options Price Fundam Data entals Price GEN Basis, Index, EFP Curve GEN riskGRID? Architecture Commodities Biz Mgmt, Compliance & Controls Oil Gas Electricity CRM ? Customer positions, limits, reports... C dit Li it Ri k Li it t Regional & Global Carbon, LNG, Weather, Structured i t b ddd CRO ? Credit Limits , Risk Limits, reports¡ Risk ? By commodity, strike, expiry¡ Finance etc can be added 6 Stack Agrimax
- 7. riskGRID? - the front end of the Trader System Account: All 1 +/- day 0 30-Mar-12Prices riskGRID AS OF: 30 ¡°Give me a lever long enough +/ March 30, 2012 Commodity last ¦¤ +/- IVol% +/- TDelta TGamma $Theta $Vega $Rho $P&L YTD $P&L TDY Futs Swaps TDelta 1d ¦¤ IV% 1w ¦¤ IV% 0 0 0 WTI (CL) Apr-12 103.02 (4.50) 0.00 20.00% 0.00 0 0 0 0 0 0 $ - 0 0 0 0.01% 0.01% May-12 103.54 (4.41) 0.00 20.00% 0.00 0 0 0 0 0 0 $ - 0 0 0 0.01% 0.01% J 12 104 03 (4 22) 0 00 20 00% 0 00 (0) (2) 139 (92) 25 (1 503) 200 100 300 400 0 01% 0 01% and a fulcrum strong enough, Jun-104.03 4.22) 0.00 20.00% 0.00 1,503) $ 0.01% 0.01% Jul-12 104.40 (3.90) 0.00 20.00% 0.00 0 0 0 0 0 0 $ - 0 0 0 0.01% 0.01% Aug-12 104.66 (3.55) 0.00 20.00% 0.00 0 0 0 0 0 0 $ - 0 0 0 0.01% 0.01% Sep-12 104.86 (3.23) 0.00 20.00% 0.00 0 0 0 0 0 0 $ - 0 0 0 0.01% 0.01% Oct-12 105.05 (2.92) 0.00 20.00% 0.00 0 0 0 0 0 0 $ - 0 0 0 0.01% 0.01% Nov-12 105.23 (2.63) 0.00 20.00% 0.00 0 0 0 0 0 0 $ - 0 0 0 0.01% 0.01% Dec-12 105.33 (2.35) 0.00 20.00% 0.00 0 0 0 0 0 0 $ - 0 0 0 0.01% 0.01% (0) (1.6) $ 139 $ (92) $ (1,503) $ 200 100 300 400 HEAT (HO) Apr-12 316.84 (3.75) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01% May-12 317.01 (3.49) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01% Jun-12 317.94 (2.50) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01% and I will move the world.¡± Jul-12 318.91 (2.11) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01% Aug-12 319.81 (1.78) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01% Sep-12 320.53 ( 1.55) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01% p ) Oct-12 321.07 (1.51) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01% Nov-12 321.48 (1.65) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01% Dec-12 321.76 (1.74) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01% 0 0.0$ - $ - $ - $ - 0 0 0 Archimedes RBOB (RB) Apr-12 338.99 13.27 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01% May-12 330 81 5 74 0 00 20 00% 0 00 0 0 0 $ - $ - 0 $ - $ - 0 0 0 0 01% 0 01% May 330.81 5.74 0.00 20.00% 0.00 0.0 0.01% 0.01% Jun-12 324.93 2.69 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01% Jul-12 319.47 1.00 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01% Aug-12 313.91 (0.15) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01% Sep-12 308.24 (0.84) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 Oct-12 292.10 (1.41) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 Greece 0 ca. 0 300 0.01% 0 0 0.01% BC 0.01% 0.01% Nov-12 287.40 (1.38) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01% Dec-12 284.94 (0.85) 0.00 20.00% 0.00 0 0.0 $ - $ - 0 $ - $ - 0 0 0 0.01% 0.01% 0 0.0 $ - $ - $ - $ - 0 0 0 7 Stack Agrimax
- 8. STCB ¨C Short Term Commercial Bank 8
- 9. CGP ¨C Consumer Packaged Goods e.g. A Tesco 9
- 10. The full Academic Course Dynamic Commodity Trading ABC Modules Overview Modules elements and duration ? 3 hrs ABC Modules A iti A, B, C Common elements Duration ? 3 hrs A Fundamentals ? Booking ? 1 hrs Technicals ? 2 hrs Futures ? 1 hrs Swaps ? 1 hrs Options ? 1 hrs Swaptions Appreciation 30 Hours ? 3 hrs ? 3 hrs ? 3 hrs ? 9 hrs deals ? Curve Structure ¨C Price ? Curve Structure - Vol ? Market Moves ? Trading Game ? 1 hrs Deal Structuring Basic 60 Hours cumulative ? 1 hrs Fundamentals ? 1 hrs Technicals ? 1 hrs Options ? 1 hrs Swaptions ? Booking deals ? Curve Structure ¨C Price ? Curve Structure - Vol ? Market Moves ? 3 hrs ? 3 hrs ? 3 hrs ? 3 hrs B ABC module total duration p ? 1 hrs Deal Structuring ? 1 hrs How Trading Companies Work ? 1 hrs How Banks Work ? 1 hrs How Hedge Funds Work ? 1 hrs How Index Trades Work ? 1 hrs ? A Module allows total of 30 teaching hours ? B Module allows total of 30 ? Trading Game ? 9 hrs Competent 90 How Structured Trades Work ? 2 hrs Indices ? 2 hrs Platts teaching hours ? C Module allows total of 30 teaching hours ? 2 hrs ? 3 hrs C ? Booking deals ? Curve Structure ¨C Price Hours cumulative ? 1 hrs Swaptions & Financing ? 1 hrs Deal Structuring - for Finance ? 1 hrs How Trading Companies Trade ? 1 hrs How Banks Trade ? 1 hrs How Hedge Funds Trade ? 1 hrs Structured Leverage ? 3 hrs ? 3 hrs ? 9 hrs ? Curve Structure - Vol ? Market Moves ? Trading Game How Index & Trades