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Power grid Dispatching Network Hydro Plant

Seminar with John E. PARSONS (MIT), A DYNAMIC MODEL FOR RISK PRICING IN GENERATION INVESTMENTS

21 March 2014, from 17h30 to 20h00
Université Paris-Dauphine
Room Raymond ARON
2nd Floor


The Chaire European Electricity Markets (CEEM) is delighted to invite you to this seminar.

PLEASE CONFIRM YOUR ATTENDANCE VIA THE REGISTRATON FORM:
Inscription


Presentation
The past number of years has seen significant interest in the role of risk in the valuation of electricity generating technologies. Companies are keenly aware that different projects contain different levels of risk, that project risk may vary throughout the project life-cycle, and that the contract terms negotiated for a specific project shift the risk dramatically. Policy makers, too, have looked to shape the risk of certain investments in order to steer the profile of new generation towards low carbon sources. Unfortunately, this heightened interest has not been matched with adequate tools for properly evaluating different risk profiles. One approach leans on the now widespread availability of computing to generate large Monte Carlo distributions of payoffs to different assets or for the same asset financed with different contract. Usually the different distributions are compared on the basis of means and variances. Unfortunately, this approach ignores the key insight of asset pricing, which is that expected return is not a function of total variance, but rather of the component of variance that is correlated to macroeconomic variables. This literature is disconnected from the modern asset pricing literature. The proposed model resolves this weakness, showing how to incorporate standard risk pricing tools in order to evaluate different electricity generating technologies or different market and contracting structures. These standard risk pricing tools are known by various terminology: the stochastic discount factor, contingent claims analysis, real option valuation, and so on. When risk profiles satisfy certain simple assumptions, the tools reduce to the familiar discounted cash flow using a risk-adjusted discount rate derived from the CAPM. But the tools are flexible and also work when these assumptions do not apply. Unfortunately, for various reasons these tools are not yet widely employed by financial and policy analysts working in the power industry. This paper is intended to help remedy that.
Professor John E. Parsons, MIT, is a financial economist specializing in risk management, corporate finance and valuation. His current research focuses on the problems of risk in emissions markets—including the design of a US carbon market—risk in oil, natural gas and wholesale electricity markets, the role of trading operations in an energy company, and the valuation and financing of investments in energy markets. At MIT’s Sloan School, he teaches the finance elective Advanced Corporate Risk Management. He is also the Executive director of MIT’s highly regarded Centre on Energy and Environment Policy Research (CEEPR).

The seminar will be held in English.


PROGRAMME

17h30-17h50
Registration

17h50-18h00
Jan H. KEPPLER, Professor of economics, Université Paris-Dauphine, Scientific director CEEM,
Welcome and Introduction

18h00-19h00
John E. PARSONS, Professor of Finance, MIT Sloan School of Management, Executive Director, MIT CEEPR
A Dynamic Model for Risk Pricing in Generation Investments
Présentation

19h00-19h20
Marco COMETTO, Analyst OECD Nuclear Energy Agency
Combining DCF Accounting and the CAPM : Advantages and Risks – The Analysts’s View

19h20-19h40
Marc BUSSIERAS, Directeur du Pôle Économie, Direction Stratégie et Prospective, EDF
Risk Pricing Models and the Real World – The Industry View

19h40-20h00
Questions and answers from the floor

20h00 Reception in the hall of the 2nd floor across from the Salle Raymond Aron


For more information, please contact the Coordinator of the CEEM:
Fatoumata Diallo
fatoumata.diallo@fondation-dauphine.fr
Fondation partenariale Paris-Dauphine
Place du Maréchal de Lattre de Tassigny-75116 Paris Cedex
Tél. +33 (0)1 44 05 45 54

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