Adela Comanici

281-***-**** ac5wrl@r.postjobfree.com

Summary: Business oriented professional with experience in model development, implementation & validation,

market and credit risk, pricing and hedging for derivatives and structured deals, stress testing,

data analytics in energy and financial markets, combined with academic research

Technical: Matlab, Python (scikit, mlpy, MDP, pandas, numpy, scipy, nltk); C++/ C#; SQL; Excel VBA

SAS, R; Endur, Allegro; Power BI, Tableau; Datastream Reuters; Bloomberg

Experience:

Valuation and hedging:

Energy and financial derivatives; structured transactions: tolling; power plant; gas storage; swings options

Retail and wholesale products in gas, power; solar, wind; volumetric & price risk; load forecasting

Knowledge: Nodal markets pricing; congestion revenue rights and financial transmission rights in ERCOT

Models & mathematical methods:

Market risk (VaR, PaR, Greeks) and credit risk (PD, LGD, EAD)

Volatility & correlation models; co-integration

Monte Carlo simulations, bi/trinomial trees, finite-differences

Stochastic differential equations; analysis of time series; financial econometrics

Dynamic programming; portfolio optimization; stochastic optimization; constrained optimization

Stress testing, back-testing, scenario analysis

Machine learning & data mining:

Classification: support vector machines (SVM), decision trees; Prediction: regressions; Clustering: k-means

Deep learning: neural networks; genetic algorithms, Bayes techniques

Dimension reduction: principal component analysis (PCA), factor analysis

Natural processing language (NPL) for unstructured data

Professional Experience:

Jan 2017 - Apr 2018 Direct Energy, Houston TX

Quantitative Risk Analytics Manager

Risk management,and data analytics (Matlab, Power BI, SQL, Excel VBA)

Contributed to implementation of risk control framework and methodology

Added value to the business by correcting the process of marking implied volatilities for NYMEX gas

Collaborated with Structuring, Product control and Front office on risk, models and hedging

Assessed risk embedded in new products & transactions and made recommendations to Front desk

Statistical analysis of ERCOT power & NYMEX gas prices (statistical inference and time series analysis)

Model validation and data analytics (Matlab, SQL, Excel VBA, Endur)

Performed validation for a valuation model (spread option & extrinsic haircut) including Greeks

methodology for an ERCOT tolling contract with embedded ancillary services

Validated the methodology for marking ERCOT power & NYMEX gas implied forward volatilities

Performed validation for the weather options pricing models used by the company

Reviewed the methodology for risk models: Value-at-Risk (VaR) and Profits-at-Risk (PaR)

and option pricing models

Validated the delta hedging & expected P&L model for a North-East (NYISO) tolling contract

Checked the implementation for a weekly retail hedge ratio reporting model (load, supply, hedges)

Performed validation for marginal default frequencies (MDF) methodology used by Credit risk team;

MDF are used in potential future exposures (PFE) model

Model development and implementation (Matlab, SQL, Excel VBA)

Maintained and enhanced the library of pricing and risk models for Market Risk & Credit Analytics

Developed a daily margin VaR (DMVaR) model that produces exposures and VaR calculations

by counterparties and credit support annexes; the exposures from DMVaR are used in the PFE model

Implemented a spread option model for valuation of tolling contracts

Proposed the implementation of a multi-commodity multi- factor forward valuation model

Researched volumetric risk modelling (load - price)

Literature research on load forecasting modelling (traditional vs machine learning methods)

Implemented the delta hedging model for another North-East (PJM) tolling contract

Automated risk models (DMVaR, PFE) to run daily via batch files

Supervision & other duties

Guided team members to understand Matlab code used in risk models to produce daily reports

Run ERCOT reports when ERCOT manager was in vacation

Run the option spread model, delta hedging model and daily P&L report for various tolling contracts

2016 – 2017 LCRA, Austin TX

Quantitative Risk Analyst

Pricing and hedging (Python, Matlab, SQL, Excel VBA)

Development and implementation of pricing models for options – gas and power & heat rates

Reviewed and risk assessed the hedging strategies used by company

Validated the methodology for two dispatch models used by the company

Weekly run of the old and new dispatch model for generation assets to compare the models’ outputs

Validated load forecasting model used by company

Risk management (Matlab, Python, SQL, Excel VBA)

Development and implementation of risk models for market risk– Value-at-Risk (VaR) and Greeks

Weekly run of VaR model with and without hedges to keep track of portfolio diversification effect

Researched risk metrics to quantify liquidity risk in the company

Back-testing and stress testing for risk models

Data analytics & position reporting (Allegro, Excel VBA, Tableau, SAS, Python)

Contributed to implementation of a business intelligence platform that it is used to get a better understanding of the outputs from risk and pricing models

Statistical analysis of historical load, capacity, NYMEX gas and ERCOT power prices

2014 – 2016 CMHC, Canada, Quantitative Specialist

Canada, Independent Consultant

Model development and implementation (C++.NET, Matlab, Excel VBA, SAS, GEMS - ESG)

Development and implementation of risk models for market risk-- Value-at-Risk (VaR) for investment portfolios; credit risk -- probability of default (PD), loss given default (LGD) and exposures at default (EAD); economic capital

Model implementation for potential futures exposures for interest rates derivatives (swaps) involving mortgage backed securities (MBS) and bonds (CMB) (fixed income modelling)

Worked on economic capital stress testing

Studied correlation matrix in normal and stressed conditions

Consulting services on various projects in energy and finance (Matlab, Python, C++, SQL, Excel VBA)

Portfolio Value-at-Risk (VaR) and Profit-at-Risk (PaR); Greeks calculations

Credit risk in energy and financial transactions (PD, LGD, EAD)

Pricing and hedging using derivatives; risk management in structured transactions

Predictive analytics; data analytics/mining

Data mining & machine learning (Matlab, Python, SQL, Excel VBA)

Researched trading strategies (via machine learning methods) & portfolio optimization

(SVM, neural networks and econometric models comparison for stock prices)

Implementation of risk management tools for trading strategies

2013 – 2014 Gazprom M&T, London UK

Quantitative Analyst

Pricing and hedging - model development & implementation (Python, C#.NET, Excel VBA)

Developed models to support retail expansion strategy in power, gas, carbon and embedded generation (fixed, indexed and variable products) to increase company profits

Priced retail products in European gas &power markets (multi-commodity multi-factor forward model)

Performed pricing for energy derivatives and developed hedging strategies

Valuation for storage, tolling agreements, interconnectors; power plant economic dispatch modelling

Calibrated pricing & demand models for gas and power markets

Contributed to gas & eletricity demand forecasting model (times series methods)

Priced power production deals based on wind and solar production (Markov chains)

Implemented retail portfolio effect into pricing model to achieve portfolio optimization

Risk management & data analytics (Python, SQL, Excel VBA, Endur)

Kept track of daily changes for Greeks for various hedging options strategies

Reviewed the Value- at- Risk (VaR) methodology

Assessed the risk of individual customers to understand retail portfolio effect

Statistical analysis of European gas and power prices

2010 – 2013 FSA/Bank of England, London UK

Quantitative Analyst

Model development, validation and implementation (Matlab, Excel VBA, SAS, R, SQL)

Performed model validation and review of risk models (Value-at-risk (VaR), Credit VaR) and pricing models for derivatives (commodities, FX/rates, equities) for financial institutions (regulatory capital models from various foreign and domestic banks)

Implemented a VaR model for a portfolio for a hedging exercise used to investigate how VaR changes under various strategies, scenarios and hedging horizon, volatility time horizons and correlation matrices (used by fundamental review policy FSA)

Contributed to the development of wholesale credit risk model – PD and LGD; as well as credit index model via Kalman Filter and state space models (PD – probability of default; LGD – loss given default)

Implemented econometric models (regressions and auto-regressive models)

Estimated parameters via maximum likelihood method and optimal least squares (OLS)

Researched systemic risk contagion in financial networks from interbank lending and liquidity shocks

and the influence on regulatory policy changes for financial stability

PD models:

oAnalyzed a numerical method for the variable scalar adjustment for new internal model PiT PD

oAnalyzed the forecasting power of two PD factor models: one with four macro-economic factors; the other with one macro-economic factor (logistic regressions)

Implemented different measures for mortgage analysis to compare risk and performance among various financial institutions

Contributed to implementation of automated platforms for mortgage analysis and structured finance products

Data analytics & statistical analysis (Matlab, SAS, SQL, Excel VBA)

Statistically analyzed various datasets used in the models developed (risk and econometric models)

- data preparation and explanatory analysis, cross-correlation between variables, distributions estimation

Clustering techniques applied to a dataset of mortgages and loans

Performed statistical analysis of balance sheets of banks and building societies to understand how changes in liabilities structure influence the assets structure (clustering k-means, times series analysis, statistical inference methods, principal component analysis - PCA)

Designed relational databases models for various risk models built in FSA

2004 – 2010 Virginia Tech & Univ of Houston & Rice University, USA

Univ of Glasgow & Isaac Newton Institute UK Postdoctoral Fellow

Taken exams: Probability and Statistics, Financial Mathematics, Finance/Financial Reporting, Models

Key achievement: Designed and implemented an algorithmic strategy that increased efficiency in decision making for control of disease transmission (50% disease transmission decrease)

Data mining & statistical analysis (C++, Matlab, Access, SQL, Excel)

Designed and implemented a new reduction algorithm in C++ and Matlab (PCA, Clustering, k-means) for the dataset of livestock movements in the UK using data mining, graph theory and time series analysis;

the algorithm preserves the dynamics and evolution of diseases on reduced and original datasets; the

dataset size is highly reduced, but the network characteristics are preserved

Performed statistical analysis for a large dataset of livestock movements in UK

Investigated the important risk factors for the disease transmission

Detected patterns in the data related to the movements of animal and spread of the infectious diseases and developed regression models to explain these patterns

Performed exploratory data statistical analysis and statistical inference on biological datasets

Designed and implemented new reduction strategies for biological and network models using advanced techniques from partial differential equations, dynamical systems, asymptotic and perturbation theory, Fourier analysis; reduction simplifies analysis of models, while preserving dynamics and information

Modeling, validation and implementation (C++, Matlab)

Developed stochastic differential equations to explain disease transmission using techniques from biological math, statistics, probability, differential equations, ergodic theory, time series analysis

Implemented Monte Carlo simulations for stochastic disease models

Estimated parameters from historical data and validated models against data using statistical methods

Developed parabolic differential equations and network models for biological systems for pattern detection and evolution using techniques from bifurcation theory, asymptotic and perturbation theory, Fourier analysis, symmetry techniques, dynamical systems, pattern recognition

Implemented numerical methods and simulations for biological models and networks; simulation results are used to detect patterns, to understand the evolution and transition of patterns in biological systems and networks

Estimated parameters for biological models and networks; validated models

Investigated long-time evolution of patterns in parabolic differential equations using time-map,

projection and shooting methods, asymptotic and perturbation methods

Risk analysis and control (C++, Matlab, Excel)

Analyzed various scenarios (sensitivity analysis) and proposed to team a new algorithmic and more effective strategy for controlling disease transmission

Calculated various epidemiological quantities to detect most vulnerable farms and markets

Taught undergraduate level courses: differential equations, multivariable calculus, linear algebra

Education:

2000 – 2004 PhD in Applied Mathematics, GPA: 4/4

University of Ottawa, Canada

1998 – 2000 BSc in Computer Science, First Class (1:1)

Babes-Bolyai University, Cluj-Napoca, Romania

1997 – 1998 MSc in Mathematics, First Class (1:1), GPA: 10/ 10

University Paris VI & Babes-Bolyai University

1993 – 1997 BSc in Mathematics, First Class (1:1), GPA: 10/10

Babes-Bolyai University, Romania

Scholarships & Awards:

2004 – 2010 Prestigious travel awards to attend and present research at international conferences

2000 – 2004 Canadian postgraduate and Excellence scholarships

1993 – 1998 Romanian Honor Scholarships (MSc and BSc)

1989 – 1993 National Competitions in Mathematics (top 25%)

Courses/Certifications:

Introduction to Energy Futures and Options – ICE, London UK

PRIMIA Workshop – Counterparty Credit Risk – London UK

Matlab Courses (from Mathworks) – London UK

SQL Courses – London UK

Python Courses – London UK

C++, Shell/Unix Courses – Romania

Contact this candidate