A. N. Comanici
281-***-**** ac7n1l@r.postjobfree.com Green Card holder
Summary: Business oriented professional with experience in model development, implementation & validation; market & credit risk, pricing & hedging for derivatives and structured deals, stress testing, machine learning &data analytics in energy and financial markets; retail and wholesale energy markets; load forecasting, econometrics, statistics, time series analysis, optimization, numerical simulations; business intelligence, reporting, combined with academic research
Technical: Matlab (8 years), Python (4 years) (scikit, mlpy, MDP, pandas, numpy, scipy, nltk);
SQL (8 years); Excel VBA (8 years); SAS (4 years), R (1 year); C++/ C# (3 years);
Endur (3 years), Allegro (2 years) ; Power BI (1 year), Tableau (1 year)
Experience:
Risk, pricing and hedging; stress testing:
Market risk (VaR, PaR, Greeks) and credit risk (PD, LGD, EAD); Volatility & correlation models
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
Stress testing, back-testing, scenario analysis
Knowledge: Nodal markets pricing; congestion revenue rights and financial transmission rights in ERCOT
Models & mathematical methods:
Monte Carlo simulations, bi/trinomial trees, finite-differences; stochastic differential equations
Analysis of time series; financial econometrics; co-integration
Dynamic programming; portfolio optimization; stochastic optimization; constrained optimization
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:
Jul 2018 – December 2018 (contract) Repsol, Houston, TX
Senior Consultant
Risk management (Allegro, Excel VBA, SQL, FEA, RiskWatch, Python)
Run daily reports for the business (oil & gas): positions, Value-at-Risk (VaR), economic PnL (profit & loss), financial books
Run valuation models for a portfolio of storages, swing options, transportation deals
Analyzed the reports and communicated risks to Front office
Collaborated with Product control and Back office on various issues related to daily reports
Automated all reports used by Middle office
Model validation & implementation (Excel VBA, SQL, FEA, Python)
Reviewed the methodology, validated and tested FEA models for gas storage and swing options (rolling basket of spreads, rolling intrinsic, spot optimization) and for gas transportation (spread options)
Calibrated mean-reversion models for gas and oil prices used in structured deals valuation
Performed statistical analysis on time-series of gas and oil prices
Fundamental analysis of gas and oil price formation and direction, gas supply & demand modelling
Jan 2017 -- May 2018 Direct Energy, Houston TX
Quantitative Risk Analyst/Manager
Risk management, model validation and data analytics (Matlab, SQL, Excel VBA, Endur, Power BI)
Contributed to implementation of risk control framework and methodology
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
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 all risk models: Value-at-Risk (VaR) and Profits-at-Risk (PaR) and option pricing models
Contributed to 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
Statistical analysis of ERCOT power & NYMEX gas prices (statistical inference and time series analysis)
Model development and implementation (Matlab, SQL, Excel VBA)
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
Implemented a spread option model for valuation of tolling contracts and a multi-commodity multi-
factor forward valuation model
Researched volumetric risk modelling (load - price)
Performed load forecasting modelling (traditional vs machine learning methods)
Implemented a delta hedging model for North-East tolling contracts
Automated risk models (DMVaR, VaR, 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 PnL 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 (PFE) 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 & electricity 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
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%)