ETRM Fundamentals Series: Middle Office Credit & Market Risk

Market risk in energy trading is a function of trade structure, model assumptions, and market regime dynamics. It extends beyond directional price exposure to include volatility risk, correlation breakdowns, and embedded optionality. 

A portfolio may appear hedged under normal conditions and still carry meaningful tail risk. Understanding how that risk flows, from trade structure to valuation, to sensitivities, to distributional outcomes is essential for effective oversight. 

In this session, we will walk through the mechanics of market risk within an ETRM framework. We will connect MTM valuation to Greeks, Value at Risk, and stress testing, using a practical power market example to illustrate how volatility and correlation regimes can materially reshape outcomes.

We will also extend the discussion into credit risk as the direct consequence of market-driven MTM volatility. Exposure is not defined by counterparty’s name alone; it is defined by legal agreements, netting sets, collateral thresholds, and settlement mechanics. Accurate credit measurement requires the ability to represent and track exposure at the proper level, distinguish secured from unsecured amounts, and combine forward exposure with realized exposure (AR/AP and settlement positions). 

This talk is intended for practitioners who want a disciplined, model-aware view of market risk and how it integrates with agreement-level credit exposure in energy portfolios. 

Registrations are manually reviewed and approved, and your confirmation email typically arrives within one business day. Registration ends at 10:55 a.m. CT. March 17.

Here’s what you’ll learn:  

• What market risk truly means in energy trading 
• Why MTM consistency is foundational to risk control 
• How VaR works and why stress testing is critical for tail risk 
• How exposure is tracked and why we look at it by agreement. 
• How collaterals work and how they act as part of exposure controls. 

Who will benefit from this webinar:  

• Middle Office and Risk professionals 
• Traders and portfolio managers 
• Quantitative analysts
• Energy trading leadership 
• ETRM users and system stakeholders 

About the presenters:  

Fernando Arriaga is an experienced energy commodities quant with a Ph.D. in mathematics from the Institute for Research in Applied Mathematics and Systems. Specializing in probability, statistics, and data science, Fernando combines deep analytical expertise with a practical approach to solving complex challenges in the energy sector. His work is driven by a passion for applying rigorous statistical methods to enhance decision-making and operational efficiency in energy trading. 

Marc Siemer is the Enterprise Solutions director at PCI Energy Solutions. Since joining PCI in 2020 as the Enterprise Solutions senior manager, Marc has been instrumental in driving innovation and enhancing the company’s risk management solutions. With over two decades of experience in business administration and management, Marc brings a wealth of knowledge and expertise to his role. Marc holds an MBA in business from Thomas More University and a bachelor of arts in business administration and management from Eastern Kentucky University. His extensive background in enterprise solutions and risk management has positioned him as a leader in the industry, committed to delivering value and strategic insights to PCI’s clients.