Summer School 2017 Videos


Courtesy of the speakers, we are pleased to show the videos of 4 speakers.

Clémence ALASSEUREnergy risk management, application to electricity

Clémence ALASSEUR, Executive Director at EDF – FIME Finance for Energy Market Research Center.

Abstract : The liberalization of electricity sector is accompanied by creation of dedicated markets where counterparties can exchange electricity with other market players. This represents new opportunities but also new risks as the price at which the electricity is sold/bought on the market is variable. Indeed, the revenues of electricity producers and providers is therefore indexed on market prices of electricity. Let’s point out that these risks were already existing for thermal assets because prices of gas or coal have long been quoted on international markets. In this context, electricity players have then to measure the financial value of their portfolio and also to assess the level of risks around it in order to forecast their expected revenues. They also can take actions to reduce the financial risk though hedging, i.e. by using financial options or forward markets which gives the opportunity to fix the price of coming production or consumption.

The main objectives are:

  • To understand electricity markets organisation and their fundamentals in order to model them efficiently for risk management purpose.
  • To identify the main financial risks an electricity player is facing and also the typical methods and indicators to quantify them.
  • To describe the financial models proposed for typical productions assets as thermal plants and storage assets.

Romuald ELIEDynamic incentives theory.

Romuald ELIE, certified actuary and Professor at University Paris-Est Marne-la Vallée.

Abstract : The mains purpose of contract theory is to design optimal contracting between two parties in a random economic environment. This theory emerged in the 70's, while it became obvious that the general equilibrium theory could not provide proper answers to these concerns, mainly due to the asymetry of informations between the two parties. As emphazised by Bernard Salanié: "Customers know more about their tastes than firms, firms know more about their costs than the government and all agents take actions that are at least partly unobservable."

This kind of Principal-Agent problem has mostly been considered in a static or discrete environment, leading to few explicit solutions. The extension of these models to a dynamic continuous time framework has been initiatied by Holmstrom and Milgrom.Holmstrom has in particular been recently awarded the Nobel prize of economics for his research on these topics. Their approach has been renewed and extended by Y. Sannikov around ten years ago. Recently, the mathematical community on stochastic control provided a clear mathematical understanding of such models and paved the way for interesting economic extensions. This talk will present the recent mathematical and economic results on this topic, emphasize his fruitfull interactions with Mean field games, and discuss several potential applications in finance, insurance and energetic transition modeling.


PANORisk would like to thanks MSH Ange-Guepin for the recording and video editing of these sessions.