Energy Derivatives Markets, Instruments and Hedging - DPH1 

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

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Open date - Online training

Gold CourseThis popular course provides an overview of energy derivatives and physical markets as well as the main physical and paper instruments traded in those markets. The course explores exchange-traded and OTC products used for trading and hedging.

Delegates learn how to design market risk hedging programs using futures, forwards, swaps and options. The course also provides an overview of basis swaps and structured products.

Several case studies explore strategic and tactical issues that impact the design, execution and evaluation of hedging programmes for producers, marketers, and end-users. Delegates conduct several hands-on exercises to manage flat price and basis risk with swaps and options.

The topics covered in DPH1 and DPH2 can assist delegates preparing for GARP’s Energy Risk Professional (ERP) exam.

Recommended preparation courses: Fundamentals of Futures, Fundamentals of Options, Front to Back Office: Trading Controls and Best Practices

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

GARP rgbThe Oxford Princeton Programme is registered with GARP as an Approved Provider of Continuing Professional Development (CPD) credits. The Oxford Princeton Programme 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

  • 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:

101: Overview of Energy Physical and Financial Markets

-    Overview of energy markets, risks and players
-    Why are energy markets different?
-    Risk dimensions in energy markets: Price, basis, volumetric, operational, liquidity.
-    Exchange-based and OTC trading
-    OTC clearing: Nymex Clearport and ICE
-    Impact of physical delivery in hedging transactions
-    The Mark-to-market Process. Clearing, collateral and margin issues
-    Case Study: Mark-to-Market and Margin calculations for a futures contract
-    Overview of energy market regulations and impact on clearing (REGIONAL)

102: Spot Prices and Forward Curves in Energy Markets

-    Spot (Cash) Prices: Main Characteristics
-    Forward Price Curves: Contango and backwardation
-    What does the forward curve tell us?
-    Case study: Analysis of the Backwardation Index for Crude Oil
-    Arbitrage relations and forward curves
-    Impact of storability and transportation
-    Price Volatility in Energy Markets
-    Case Study: Building Energy Forward Curves for Mark-to-market and Risk Analysis (REGIONAL)
-    Case study: Forward curves for oil-linked gas contracts

103: Using Energy Futures, Forwards, Swaps

-    Energy forward and futures contracts
-    Case Study: Hedging with Futures and Strips of Futures.
-    Case Study: Hedging Floating and Fixed price purchases and sales
-    Fixed for Floating Swaps
-    Case study: End-user hedging with swaps (REGIONAL)
-    Exchange for Physical (EFP) and Exchange for Swaps (EFS)

104: Using Energy Options: Hedging and Speculation

-    Review of options types: Calls, Puts
-    Buying and Selling Options: Understanding option payoffs
-    Why use options?
-    What are the main drivers of option premiums?
-    Individual options vs. Strips of Options: Examples
-    Case Study: Hedging against price spikes with options (REGIONAL)

End of Day Summary: 4:45-5:00

Day 2.

105: Hedging Strategy and Risk Metrics

-    Designing and Effective Hedging Program
-    Understanding operations and entity-wide objectives.
-    Evaluating the impact of inaction vs. hedging. Payoffs under different scenarios.
-    Case Study: Hedging Strategy by Airlines
-    Hedging alternatives and Key Risk Indicators (KRIs)
-    Case study: Crude Oil Producer and trade-offs from alternative hedge strategies (REGIONAL)

106: Option Strategies and Structured Products

-    Average Price (Asian) Options
-    Barrier, Digital (binary), and Compound options
-    Options on Swaps (Swaptions) and Structured Swaps
-    Case study: Using exotic swaps with embedded options for hedging (REGIONAL)
-    Uses and Misuses of Exotic Options in Hedging Programmes
-    Case study: Use of ‘Knockout Swaps’ by Gas producer

107: Basis Risk Management and Derivatives on Multiple Assets

-    Spreads in energy markets
-    Spread-based strategies in energy
-    Gas, Oil and LNG transportation
-    Refineries and Power generation
-    Storage and calendar spreads
-    Basis Swaps – Uses and Valuation
-    Case study: Hedging refinery margins with a Crack Spread Swap. Illustration and revenue payoff before and after hedging (REGIONAL)
-    Spread options: Drivers of premiums on options with more than one underlying

108: Introduction to Derivatives Valuation and Disclosures:

-    Introduction to Fair Value
-    Mark-to-model vs. Mark to Market
-    Valuation of forward contracts and swaps using forward curves in Excel
-    Valuation of Options using Black-76
-    Assigning liquidity levels to derivatives instruments
-    Hedging Policy and Derivatives Use Disclosures
-    Hedge effectiveness and accounting issues (IAS 39 and IFRS 9) – (REGIONAL)
-    Credit valuation adjustments (CVA)


DR CARLOS BLANCO is an expert in energy, commodity, and financial risk management and modeling. He has been a faculty member of the Oxford Princeton Programme 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).


“Excellent class. Instructor was an excellent teacher who used – slides, hand-on exercises, videos and stories to bring the course material to us.” U.D., Shell

“This course exceeded my expectations.  The material covered was specific to the energy market and to the experiences/challenges faced by energy producers.  Carlos was great - very knowledgeable with practical examples.” M.S., Encana

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