2011 to Present with Ernst & Young, Geneva-Switzerland
- Executive Director Commodity Trading & Risk Management
Appointed by Ernst & Young Risk Advisory to establish a new commodity trading and risk management cluster focusing on the following areas:
- Commodity structured trades advisory
- Energy Trading and Risk Management System implementation and integration
- Commodity fundamental market analysis
- Commodity risk management methodologies
2008 to 2011 with RWE Supply and Trading Switzerland SA (formely Essent Trading), Geneva-Switzerland
- Vice President Quantitative Analysis
Heading a team of 4 quantitative analysts, I am responsible for the maintenance and development of the key financial valuation models used to assess the front office complex energy deals and to measure their intrinsic and extrinsic values. My activities are centered around:
- Maintenance and development of financial valuation models used to assess complex or originated deals such as tolling, storage and swing models and providing a fair representation of their intrinsic and extrinsic values.
- Explanation and discussion of valuation results and help the structurers tailor the deal in a way which ensures a good risk-return ratio for the company, while meeting the requirements of customers;
- Providing general quantitative support to the rest of Structuring and Analytics and the company in topics like: (i) the stochastic description of commodity prices; (ii) optimisation models for Essent’s assets or contracts; (iii) temperature and load forecasting; (iv) advanced statistical analysis - for example for hedging purposes; (v) modelling of power plant stacks and/or pipeline networks; (vi) pricing of energy derivatives
- Acting as resident expert in financial and portfolio theory, which involves participating in the review of methodologies used to value assets/investments;
- Review and optimize the strategy of the business in areas like gas sourcing and power plant utilisation
- Coordinating with the IT department to ensure that the company’s systems properly link up with deal valuation models;
Achievements: My financial contribution to Essent Trading consisted of saving time by simplifying many processes (like streamlining parameter calibration and building a quick valuation tool based on Crystal Ball Monte Carlo to be used for the merchant strategy deals) and designing bottom-line initiatives such as a gas sourcing strategy generating 40 Millions Euros in the asset gas trading desk.
My focus has been on translating the business intuition into robust models and profitable strategies. I was selected by the management to participate in the Essent Executive Board's retention scheme for selected key employees.
From 2003 to 2008, with EnergyAustralia, Sydney
- Quantitative Systems Analyst and Developer (06/2003-12/2005)
- Senior Quantitative Analyst (01/2006-09/2006)
- Analytics Operations Manager (10/2006-12/2007)
Responsibilities and skills
- Research in advanced quantitative risk modelling techniques and financial instrument pricing models
- Researching finance literature and identifying new trading ideas
- Risk Analysis and statistical models development for financial trading strategies
- Real time support to the traders and optimisation of their trading books
- Team leader of three trading analysts
- Improvement and optimisation of the existing trading analytics processes
- Long and short term forecasting of power demand and prices using hybrid models
- Requirement gathering, scheduling and full software development cycle.
- Use of C++ design patterns in energy derivatives pricing applications
- Trader/middle office training and acceptance testing
- Microsoft Windows API, MFC, C++, CORBA, ASP, SQL
- Excel, VBA prototypes and migration into C++
- Component based architecture, client server, multithreading
- Front end GUI development, controls, 3rd party components
- Source control using Rational ClearCase and Visual SourceSafe
I started with EnergyAustralia as a quant analyst/developer responsible for developing risk management solutions to assist the traders in their decision making. The library I was maintaining and developing covers forecasting of weather, energy demand and prices, generating electricity forward curves, pricing of energy derivatives using different valuation models and calculating portfolio VaR based on Monte Carlo simulations. The analytics include optimisation, SDE models, ARIMA models, genetic algorithms, Poisson process, extreme value theory, copulas…
I have been using design patterns and the Unified Modelling Language as an aid in designing, communicating and documenting architectural features. I gained experience in engineering component based systems. I also implemented modules in CORBA to wrap C++ components and communicate with JAVA based applications. I have been involved in the full software development life cycle with releases scheduled on quarterly basis.
Then, I moved to a senior position where I could drive projects, by gathering the traders and the middle office requirements, and propose solutions to address issues faced by the business. Examples include advising the traders about different ways of optimising their hedging portfolio, producing price and load scenario analysis to assist the front office in choosing between alternative investment strategies, pricing energy derivatives using different valuation models, proposing new methodologies in forecasting gas demand using ARIMA models, enhancing the current Monte Carlo simulation by introducing copulas for load and price dependency in the paths generation. I have also performed quantitative analysis to assess the risk and return of new structured energy derivatives that have a weather component.
In the same time, I kept developing my programming skills by converting VBA legacy code into C++ engines, wrapped into DLL, which then get called from Excel.
Achievements (in chronological order)
From June 2003 to December 2005, I successfully maintained the code of a multi-million dollar suite of trading analytics applications and extended it by implementing new modules according to the business need. I also developed from scratch the following applications:
- General Curve Builder: C++ MFC application with GUI interface incorporating ADO database calls. This application performs bootstrapping and generation of half-hourly forward curves using profiles extracted from an underlying and partitioned by time buckets.
- Option Pricing Dashboard: C++ MFC application with GUI interface using ADO database calls, third party components (Xtreme Toolkit, Component One) composed of PricingEngine.dll, PricingModels.dll, CalibrationEngine.dll, EngineConfig.dll and BusLogic.dll. This application prices user specified sets of contracts stored in an Oracle database, according to built-in models selected by the user. These models include: Schwartz one and two factors and the mean reverting jump diffusion model. It also allows the user to compare the pricing results for each model and store the workspace in XML format.
As of January 2006, besides being the first point of call in trading strategy analysis, and optimising many of the critical trading processes, I designed and developed from scratch the following applications that are now used on a daily and weekly basis in the front office:
- Trading Book Builder: This application allows bootstrapping of the electricity forward curve and sculpting of the prices based on a historical underlying, with user selectable time partition for bootstrapping and sculpting (e.g. 4 day types by month). It allows the traders to quote half-hour prices 5 years ahead for large customers based on the last movement in the market forward curve. Green energy books are also an output of this application.
- LT Pool Price Forecaster: This Excel interface application uses a hybrid model combining demand, capacity, reserve requirement and network constraints to produce 2 years electricity pool price forecast. This application has a bootstrapping, calibration, back testing, forecasting and archiving engines.
- The partition Hub: This application allows numerous statistical operations on data time series using any imaginable time partition. Creation of the partition is done in a clickable tree built in Java, the partitioning and statistics code is implemented in C++ and the user interface is Excel.
2002 to 2003, with MUREX S.A., Sydney
Financial Engineer
Murex provides fully integrated front, middle and back office software solutions to handle cash and derivatives trading, risk management and processing in the areas of foreign exchange, energy and commodities, equities, credit and interest rates.
Responsibilities and skills
- System support
- Client advice and consultancy
- User training
- Pricing exotic options
- Microsoft Windows API, C/C++
I spent 3 months in Paris office for training in pricing various financial market products and market risk analysis. In Sydney office, I was providing consultancy, training and support to traders and quantitative analysts of three major Australian banks in using the system for pricing, hedging and risk analysis; I was involved in front office activities including implementing external models into Murex system using APIs written in C++ and JAVA.
Achievement:
I developed Mxrates.dll: a C++ dynamic link library used as an API with Murex system to price upfront discount caps, an interest rate exotic option.
1999 to 2002, with Towers Perrin(formely Classic Solutions), Sydney
Financial Engineer
Responsibilities
- Research and development of term structures of interest rate models
- Risk consulting
- User training
During this period, I modelled, designed and implemented a generic term structure of interest rates and equity returns. The interest rate process was modelled using Heath-Jarrow-Morton (HJM) framework with constant, time-dependent and stochastic volatility functions. The equity returns were modelled using Capital Asset Pricing Model (CAPM) approach with a Generalized Autoregressive Conditional Heteroskedastic (GARCH) error process.
Achievement:
I implemented the following application in MOSES: Asset Pricing Generator (APG). This application is integrated into an asset-liability management package developed with collaboration of Ernst & Young. APG was designed into Moses software modeller (Marginal On Services Evaluating System) using C++ and allows the user to select different models of interest rates to price their assets.
1998 to 1999, with BNP-Paribas, Paris, France
Analyst/Programmer
I started my career with BNP equities as a member of the Research on Options team, analyzing and testing a new credit risk measurement approach, “ValRisk,” based on CreditMetrics developed by JP Morgan. I also worked as part of a team that developed a software “ETK” for the trading room, allowing flexible exchange of financial data using TDL, C/C++ programming languages.
I left when I was invited by my Australian Lecturer in France to carry out a PhD with him in Sydney.