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Valuation and Risk Management Team

Valuation and Risk Management Team. Mission Statement. Create tools and valuation models for traders and originators Provide education and consulting on derivative valuation, hedging, and product development

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Valuation and Risk Management Team

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  1. Valuation and Risk Management Team

  2. Mission Statement • Create tools and valuation models for traders and originators • Provide education and consulting on derivative valuation, hedging, and product development • Build real option models and forecasting tools to help maximize value of assets and operations

  3. Team Members • Stinson Gibner • PhD, Physics • Prior experience: Jet Propulsion Laboratory • Joe Hrgovcic • PhD, Physics • Zimin Lu • PhD, Physics • Prior experience: Enserch Energy Services • Paulo Issler, Associate • BS, Mechanical Engineering; MBA • Prior experience: Unibanco Asset Management, Unisys Corp. • Samer Takriti, Azurix • PhD, Industrial and Operations Engineering • Prior experience: IBM Thomas J. Watson Research Center • Anjam Ahmad (London) • ME, Engineering and Materials • Prior experience: Cargill Financial Markets, and LG Securities Int’l.

  4. Recent Projects • Options Library support • Maintenance/Enhancement of structuring and trading swap models • Trading support & option modeling • - Structured credit valuation and hedging (Gary Hickerson) • - Convertible debt valuation (Gary Hickerson) • - Pet-coke option valuation (Brian Spector) • - Basis option valuation (Kayvan Malek) • - Asian option improvements (Pavel Zadorozhny) • - Asian spread option improvements (Rajib Saha) • Origination support • - Gas demand forecast modeling (Aruba) • - Quanto swap valuation and hedging (Mexican power swap) • - CES emissions option valuation (Scott Affelt) • - E&P real option analysis (Jempy Neyman) • - Equity option with discrete exercise (Ben Glisan) • - Salt dome storage valuation (GPG) • Weather products and risk management (Lynda Clemmons) • Analysis of Azurix transactions (Chris Wasden) • Insurance initiative support (Brad Blesie) • Bandwidth valuation review (Tom Gros)

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