FINANCIAL QUANT; DIRECTOR OF THE MIDDLE OFFICE (RISK CONTROL); POWER AND GAS INDUSTRY RISK MANAGEMENT CONSULTANT
Senior Business Analyst; Corporate M&A
Representative Clients: Tennessee Valley Authority, PG&E Energy Trading, Oklahoma Gas and Electric, General Electric Power Systems, Petroleum Inst. of Research Associates, Progress Energy.
Manager, Quantitative Risk Management, Progress Energy
Supervised, mentored, and recruited a staff of eleven including two part-time doctoral students in applied math, two part-time MBA students engaged in independent study for course credit (merger and acquisitions, asset valuation), and coordinated a research project with North Carolina State University in meteorology (forecasting extreme summertime temperatures) with two graduate students and a professor.
Supervised group responsible for producing forward curves used for marking-to-market of the trading floor portfolio as well as long-term investment deals involving the construction of merchant power plants.
Calculated Value-at-Risk for power and gas trading.
Provided quantitative support to traders and marketers by evaluating proposed trades, suggesting new trades based on market conditions, and developing risk management strategies. Calculated the value of transmission rights linking the Carolinas to Southern Company as a spread option.
Hosted "lunch and learn" seminars to foster communications between the Front and Middle Offices: "How to Calculate Value-at-Risk Starting with a Blank Sheet of Paper," "Trading Strategies Based on September and October Power Forward Prices," "A Proposal for Financial Swap Trading in the Hourly Market," "A Comparison of the Asset Manager's Valuation and the Middle Office's Mark to Market for the Rowan 3 Plant."
Invited speaker at the EPRI 13th Price and Load Forecasting Symposium, Nashville, TN.
Senior Portfolio Risk Manager and In-House Counsel, General Electric.
Analyzed the financial risks associated with General Electric's portfolio of long-term service agreements for maintenance and repairs of gas turbine and combined-cycle generating plants.
Developed expertise on the statistical foundations of GE's availability guarantees (92% - 98%) included in these maintenance contracts.
Director of the Middle Office, PG&E Energy Trading:
Directed the financial trading control department of PG&E's unregulated power trading floor.
Supervised staff in the calculation of daily profit and losses and Value-at-Risk (VaR) for the entire electricity portfolio.
Also supervised staff in the construction and updating of forward curves used for marking-to-market.
Placed ad on the Internet to hire additional staff, sifted through 70+ resumes in response, and conducted and coordinated phone and in-person interviews.
Provided risk management perspective on deals originated by marketers.
Structured Finance, TVA:
Served as a one-person structured finance desk for TVA's power trading floor.
Delivered in-house training seminars on Asian (average price) options, binary options, spread options, and hybrid binary-Asian options on electricity.
Determined the agency's tolerance for risk and helped develop risk management policies and procedures, including appropriate trading limits, consistent with those preferences.
Persevered in helping to change institutional attitudes and the organizational culture.
Consulted on hedging strategies, execution of structured finance and trading strategies, option evaluation, forward curve analysis, and portfolio management.
Determined fair value of options on electricity using a modified Black-Scholes formula and a separate contingent claims model.
Using the SAVA Risk Management software and broker quotes for physical delivery up to eight months out, generated forward curves for various regional markets that could be used for marking to market.
Performed generalized autoregressive conditional heteroscedasticity (GARCH) regressions on six years of daily price data for the 5x16 electricity product taking account of both long term and short-term determinants of prices.
Subcontractor, Oak Ridge National Laboratory (ORNL), Oak Ridge, TN, (1992 - 1994, Summer 1995), Senior Risk Analyst
Credit Suisse First Boston, Frankfurt and London, (1991 - 1992)
Research Manager (Asst. Vice President level)
Deutsche Asset Management, Deutsche Bank Group, Frankfurt, (1989 - 1991)
Quantitative Research Manager
Oak Ridge National Laboratory, Oak Ridge, TN, (1985 - 1989)
Subcontractor, U. S. Department of Energy Postdoctoral Research Fellow, and Graduate Research Assistant
Jet Propulsion Laboratory, Pasadena, CA, (1982 - 1984)
Economist and Graduate Research Assistant
"Empirical Tests of May Spot Prices: A Special Trading Strategy Analysis," The Desk (March 15, 2002).
"Futures, Futures, and TVA," The Desk (Feb. 22, 2002).
"Benefits of Accurately Determining Electricity Price Distributions: Better Risk Metrics, Beating the Market on Trades," The Risk Desk, Jan. 2002.
"The Mythical Logic of Power Futures Markets," The Risk Desk, Dec. 2001.
"Electricity Demand in the Digital Economy," Energy and Power Risk Management, Nov. 2001.
"Availability Guarantees on Combined-Cycle Plants," Power Engineering, March 2001.
"Blowing Hot and Cold," Energy and Power Risk Management, April 2000.
"An Expert System for Curtailing Power," West Virginia Journal of Law and Technology (March 1999), available on-line at http://www.wvjolt.wvu.edu/Latest%20Issue/guth.html
"Anticipating Antitrust Concerns Nets M&A Success," Electric, Light, and Power, October 1999.
Power and Gas Industry
Trade Journal and Magazine Articles
THE CORRECT STATISTICAL DISTRIBUTION FOR ELECTRICITY POWER PRICES
THE NEGLIGIBLE IMPACT OF THE INTERNET ON ELECTRICITY CONSUMPTION IN THE UNITED STATES