Joe Maisano is Director, Energy Markets at TTA and was a co-founder thirteen years ago. While Joe's primary role is business development, he is 'hands-on' with intimate involvement in many consulting, analysis and software development activities. Joe has over sixteen years of experience in modelling financial derivatives and price curves, consulting reports on risk management, financial software development and data provision. Joe has been working in electricity markets since 2001 including the areas of risk management, trading support, retail pricing, derivative pricing and price / load forecasting.
Matt Zema, former CEO of VENCorp has been appointed the CEO of the Australian Energy Market Operator (AEMO). Commencing operations on 1 July 2009, the AEMO takes over the roles of NEMMCO, VENCorp, the Electricity Supply Industry Planning Council (ESIPC), the Retail Energy Market Company (REMCO), the Gas Market Company (GMC) and the Gas Retail Market Operator (GRMO). Brian Spalding, current CEO of NEMMCO, becomes the AEMO’s head of Operations.
On 17th December 2008, TTA presented to the Quantitative Methods in Finance conference on the topic of using Field Programmable Gate Arrays (FPGAs) to accelerate Value at Risk (VaR) calculations. The presentation was a combined effort of TTA, nabCapital and MathRidge who are working together on a proof of concept for commodity VaR applications.
In collaboration with d-cyphaTrade, TTA will offer its half hourly MtFFC via a subscription service on the d-cyphaTrade website. The MtFFC uses futures data supplied by d-cyphaTrade and incorporates all the necessary features of the spot market such as seasonality, peak-offpeak relationship and observable abrupt price changes. Unlike OTC products, futures are credit-free and market traded, so all prices are completely disentangled from the transaction counterparties. Exponential growth in futures trading volumes provides additional reliability to MtFFC-underpinned forecasting.
More detailed information will be made available on this web site soon. In the interim, please contact us.
TTA is a Bronze sponsor at this year’s Energy Risk & Trading Conference to be held at the Sydney Harbour Marriot in Sydney from the 24th to the 26th of October 2006. TTA’s Chief Quantitative Analyst, Dr. Alex Radchik will be presenting a research paper outlining an elegant model for the credit adjustment of Electricity Swaps. Extensive study by TTA has uncovered pitfalls in current methodologies and TTA proposes some simple remedies. For a full copy of the presentation please contact TTA.
A Constant Maturity Swap (CMS) is a floating/floating interest rate swap. In many ways, it is similar to a Basis Swap, in which you agree to pay a notional floating rate based on one reference rate (for example, quarterly BBSW) while receiving a floating rate with a different frequency (for example, semi-annual BBSW). While it is possible to have a cross-currency CMS, we’ll keep it simple here and consider only domestic swaps.
A Brief Look at Energy Risk Management
I recently had the good fortune to work on an especially challenging and interesting client engagement in the field of Energy Risk Management. Our client was an electricity retailer, not the largest in the state, but not the smallest either. The challenges that this client faced appear to be shared amongst the majority, if not all, of the energy retailers in New South Wales. With Full Retail Contestability (FRC) now in place, and the Enron memories (and lawsuits) still fresh in everyone’s mind, Energy Risk Management is increasingly being placed in the spotlight. With such a high political profile and large financial stakes, electricity supply and sales must be insulated from disasters arising from poor risk management. Any problems with systems, methodologies and/or procedures had to be identified and plans put in place to address such problems.
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