Power Plant Management

Henry Jiao MSc., MBA

**** ****** ***** **

Katy,TX 77494

832-***-**** (cell)

Summary

Broad experience in structured deals, hedging of complex deals and risk

management in general across a wide variety of energy products and

services. Able to support own analysis through knowledge of various tools,

including fundamental analysis and use of SENDOUT, Excel, VBA, Access,

SQL, MetrixND, @RISK, LIM, Energy Velocity, Bloomberg and SAS. Have

working knowledge in C++.

Experience

Integrys Energy Services, Inc., Houston, TX

5/2008 - 1/2010

Senior Analyst, Structuring and Valuation

Responsible for wholesale structuring and providing load forecasting,

product pricing, asset valuation and risk assessment.

. Analyzed structured deals such as NSTAR, Vectren Energy, MichCon

Transportation and provided load forecasting and asset valuations for

wholesale gas and power business activities to establish cost and margin

expectations

. Performed natural gas price and power price analysis and worked with

traders to identify and quantify associated hedging activities and risks

. Provided storage and transportation valuations(such as Egan, Moss Bluff)

in support of originations efforts and participated in development and

enhancement of energy market modeling systems and the application of

those systems by traders and originator

. Worked with traders and originators by using pipeline and transmission

knowledge to evaluate opportunities for business development into new

markets

. Worked with risk management and credit, as well as legal department to

insure that the deal transactions were in compliance with all Integrys

policies and made sure those transactions received the appropriate

approvals.

. Collaborated with the Accounting, Risk Administration and IT Functional

Groups in developing enhanced gas accounting and risk management systems

and methods

BG Group North America, Houston, TX

10/2006 - 5/2008

Senior Quantitative Risk Analyst

Worked with traders and originators to analyze structured deals. Examples

are

. Algonquin gas flow to Lake Road power plant(provided valuations for

power marketing to establish cost and margin expectations)

. Con-Edison power plant valuation as a validation for GED's proposal

Performed natural gas prices and power prices scenario analysis, performed

stress testing, and back testing of BG commodity models to assess the

impact of commodity price movements, improved the models to adapt to

counterparty performance and liquidity risks

In charge of performing daily risk monitoring tasks through daily VaR

calculation and VaR analysis and reporting any significant changes to risk

management

Provided ad-hoc analysis to FO/Risk Compliance on the risk drivers that

contributed to VaR

Validated BG commodity models and hedging strategies to ensure the assets

are correctly valued

Utilized analytical and quantitative methodologies for daily risk

monitoring, financial and transaction modeling, and valuation

Guided the analytical development of trading and risk applications

including Nucleus, Oracle, FEA, and other applications as required by the

S&O business

Modeled Nymex gas and mass power peak and off-peak prices, forecasted load

based on historical load data by using stochastic volatility model,

provided asset valuation and risk assessment in support of income stream

revenue generation activities

Performed quantitative studies and analysis of spot/forward prices &

volatilities for modeling long term natural gas curves to fit company's

risk management need

Developed and run BG daily gas and power model to provide daily P&L for

risk and accounting, collaborated with the Accounting, Risk Administration

and IT Functional Groups in developing enhanced gas accounting and risk

management systems and methods

Provided fundamental analysis for North America Gas market by using

regulatory expertise and knowledge of pipeline and transmissions

Florida Power and Light Company, Juno Beach, FL

10/2004 - 10/2006

Senior Quantitative Analyst, Risk Analytics, Energy Marketing & Trading

Highlights of Assignments:

Performed natural gas price analysis, especially prices of NYMEX Henry Hub,

FGT Z1, Z2 and Z3, and worked with traders to identify and quantify

associated hedging activities and risks

Analyzed Bay Gas and several other storage and transportation valuations in

support of originations efforts and participated in development and

enhancement of energy market modeling systems and the application of those

systems by traders and originators

Analyzed structured deals such as gas supply deals with FGT and Pan-Handle

energy companies, and provided valuations for whole sale gas and whole

sale power business activities to establish cost and margin expectations

Performed energy market scenario analysis, performed stress testing, and

back testing of FPL's financial hedge models to assess the impact of

natural prices as well as residual oil prices movements, to ensure the

model cover sufficient amount of risks regarding counterparty performance,

and liquidity risks

Modeled FGT Z3 and peak and off-peak Southern prices as a joint mean-

reverting process, forecasted load by incorporating daily temperature as

well as historical volatilities, used the model to provide valuation for a

proposed heat rate call option sales to Progress Energy as one of many

examples to support FPL's income stream revenue generation activities

Modeled the prompt NYMEX gas and NYH 1% fuel oil contracts as independent

processes mean reverting to trends, ran Monte Carlo simulations to estimate

probabilistic distributions for future prices

Modeled peak, off-peak, and the whole Indian River generation plant,

valuing a compound option (call on a call) feature of the proposed gas and

power supply agreement

Researched volumetric production payments (VPPs) as an alternative source

of physical gas for FPL, studied their history, and put a together a

presentation outlining the risks and benefits to buyers and sellers,

approaches to pricing, and regulatory and accounting treatments

E-Trade Canada, Toronto, Ontario 2003 - 2004 (6 month

contract position)

Senior Analyst

Developed test plans and performed function test on routing system,

verified code and made changes to configuration files to provide reliable

results. Developed scripts and automated test cases, documented test

process.

Algorithmics Inc., Toronto, Ontario

1998 - 2003

Financial Engineer

Analyzed clients' requirements and developed solutions in several projects,

Involved in design and development of many financial functions of

RiskWatch, ASE and PCRE

Built data models to validate RiskWatch functions such as Recovery Value of

Bonds in Default, Discounted Exposure and Loss, Credit Spread Curve,

Scenarios on Credit States and Recovery Rates, Credit-to-Close Exposure,

Advanced Netting Hierarchy, Monte Carlo HW Lattice methods for Consumer

Products (Demand Deposit, Credit Card, Insurance), HW Lattice Swaptions,

Callable Bond (OAS calibration), Callable Swap, Fixed Maturity Swaptions,

Credit Derivatives (Total Return Swap, Default Swap, Credit Spread Options)

Studied and validated financial risk models, some examples include Asian

option, VaR, VegaVaR, Swaption, Credit derivatives, MBS, ABS, Monte Carlo

Simulation and Commodity Future, Commodity Swap, FEA Energy Swaption

Calculated VaR and performed Stress test in various projects

Education

Master of Business Administration, Schulic School of Business, York

University, Ontario 1998

Specialization: Finance / Quantitative Analysis.

Master of Science in Statistics, University of Guelph, Ontario, 1996

BSc in Mathematics and Computer Applications, People's University, Beijing

1987

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