vice president risk management or vice president risk control or

8/6/2019 Vice President Risk Management or Vice President Risk Control or

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ENRIQUE MEJORADA3214 Eagles Knoll Court * Katy, Texas 77494 * Phones: 713-304-2600, 281-693-4210* [email protected]

Energy Risk management executive with broad practical experience applying risk control, forecasting, strategic planning, risk assessment, and econometrics in the energy sector: power, natural gas, crude oil, and LNG. Possesses strong practical experience writing, implementing, and enforcing risk management policies andprocedures, and the related essential analytical and compliance information systems infrastructure. Led implementation of risk management, analytics and Mark-to-Market valuation activities for several companies. Has exceptional experiencecreating and validating financial, Monte Carlo, and econometric forecasting models in the contexts of risk assessment, portfolio management, deal structuring and strategic and business planning including financial and real options. Expertwith modeling and risk analytic software such as SAS, Matlab, @Risk, FinCAD, MathCAD, FEA, Excel, and other market analytical tools such as Bloomberg Professional Terminal. Has strong problem-solving, communication, presentation, project management, and mentoring skills. Has worked for over ten years in fast-paced trading environments effectively interacting with senior management, front, middle,and back-offices. Is a team-player and a leader who understands the urgency toimplement solutions at the speed of business while simultaneously producing quality, defensible, results timely and consistently. Has a PhD in Business Administration with major in Quantitative Methods, minor in Finance and supporting field

in econometrics. Is fluent in Spanish and enjoys running - Has run four Marathons in Houston.Professional ExperienceSAS INSTITUTE - TORONTO, ONTARIO CANADA JULY 2010 TO DATERisk Management Consultant -- ContractorKey Results:* Currently assisting SAS Risk Advisory Group and Constellation Energy formulatea Risk Management Road Map to improve Constellation Energy's risk/reward measurements, portfolio management, and risk assessment procedures with special emphasis on risk factor reduction, stress testing, marginal and component VaR, three-way reporting, and compliance monitoring.SUNGARD CONSULTING SERVICES - HOUSTON, TX AUG 2009 TO JUNE 2010Principal

Key Results:* Assisted large Indian refinery (HMEL) establish a trading and risk managementstrategy framework to commence trading and risk management activities for crudeoil procurement by first quarter of 2011. These efforts include recommending keyelements of risk management policies, and initial staffing levels for front, middle and back office and related interfaces to integrate trading and risk management with the Linear Programming group responsible for optimizing production levels of refined products* Developed presentation to support contemporary global risk management servicesand mitigate deficiencies of ETRM systems. - Document highlights the critical importance of three areas: (1) designing and diagnosing the mathematical properties of correlation matrices daily; (2) the necessity to produce risk assessmentsthat integrate both complex structured and standard transactions within ETRM sys

tems, based on realistic behavior of probability distributions of market prices,price changes, or relative price changes- skewed and fat-tailed;(3) the necessity to use the volatility skew for both mark-to-market and risk assessments, and(4) use of real spread options that better resemble physical constraints.* For Shell North America (SENA), designed and recommended "three-way summary" risk report formats for natural gas trading activities including volumetric positions, P&L, Greeks, VaR, changes in VaR, outlier detection, and other key metrics. Also, replicated using SPOTFIRE -- TIBCO's data visualization tool adopted bySENA - the excel-based power and gas exposure reports for the northeast desk.* Conceived and wrote 40-page presentation on Global Crude Oil Trading Essential



s to cross-train internal consultants.CHEVRON NORTH AMERICA NATURAL GAS, HOUSTON, TXJUNE 2008 -JULY 2009Risk Management Consultant -- ContractorKey Results:* Advised the risk controls group on interpretation of portfolio VaR and end-of-day reporting with the goal of harmonizing risk controls and portfolio management. Implemented metrics useful to understanding and managing portfolio risks, explaining reasons for value-at-risk daily changes, and validating value-at-risk back-testing. Also, first suggested and then implemented improvements to Endur's value-at-risk set-up framework to better address: (a) presence of "fat-tails" innatural gas price-returns, and (b) influence of Endur's Principal Component Analysis method on Monte Carlo simulations and Parametric VaR. Performed statisticalanalysis of Chevron "all-in" price curves and, based on study results, recommended and subsequently implemented new representative curves for the VaR buckets used in Endur's risk engine. Also, performed VaR back testing studies, which resulted in recommendations of revised VaR limits for U.S. trading activities. Conceived and implemented early-warning VaR alert system based on t-distribution, which compares VaR based on t-distribution with VaR limits giving management an early warning.* Conceived, developed and implemented a reporting and analysis infrastructure written in SAS and Excel that uses as input all the Endur's risk-based Oracle tables including the simulations and correlation matrix tables. The new framework provides early VaR warnings based on a t-distribution and gives portfolio key sum

mary metrics for levels and daily changes of volumetric positions, volatilities,correlations, component VaR, concentration ratios, etc. Information is displayed in graphical and tabular forms, and aggregated and disaggregated across regional locations and time periods. Framework produces daily diagnostics to assess the quality of large correlation matrices and term-structure of prices and volatilities. Trained Chevron IT and Risk Control employees on the use of the VaR framework and logic employed in each of the SAS programs.CHENIERE ENERGY, HOUSTON, TX JUN 06 TO JUN 2008Vice President of Risk ManagementKey Results:* Reported to CRO and was responsible for implementing the analytical foundationof Cheniere's trading physical and financial trading activities around the Sabine Pass LNG terminal.

* Wrote, monitored, and enforced compliance with risk management policies in thecontext of standard trades and planned structured transactions in domestic natural gas markets and planned LNG transactions.* Developed the LNG RAM model to assess the risks and internal liquidity associated with the planned procurement, storage, and re-sale of LNG into U.S. NaturalGas markets.* Supervised four talented experienced professionals in two groups: quantitativeanalysis and decision support; worked closely with consultants and in-house ITstaff to implement first, Entegrate Analytics and subsequently, Zai-Net analytics as Entegrate Analytics proved inadequate.* Using the company's ETRM system. Interpreted, measured, validated, assessed, and monitored profitability, along with elements of market, credit, and operational risks of the trading activities.

* Assessed discretionary portfolio against value-at-risk limits, stop-loss limits, and volumetric limits.* Performed statistical analysis and Monte Carlo and Historical simulation studies of NYMEX natural gas futures and calendar (storage) and locational (transportand basis) spreads including volatilities and cross correlations (time and location).* Led the justification for the selection and implementation of ZEMA (central price repository) and gathered and verified traders' marks against 3rd party prices daily.



CALPINE CORPORATION, HOUSTON TX2000 - 2006Vice President Risk ControlsKey Results:* Reported to CRO in San Jose, CA, represented him in Houston, and was responsible for initiating and implementing the risk analytics processes, most of which are in use to this date.* Directed implementation of $10 million, state-of-the-art SAS risk management tools infrastructure providing the ability to measure, monitor, report and control enterprise-wide trading profitability and VaR The four major infrastructure components were: SAS data warehouse integrated with Nucleus and Curve Manager (Oracle-based central repository of commodity intra-month and forward power and gasprices): SAS Risk Dimensions --an analytical tool used for the independent calculation of P&L, Monte Carlo VaR, stress testing, scenario analysis, and analytical studies: SAS Portal used to post daily web-enabled reports on positions, counter party exposures, VaR, options Greeks, etc.; andCollaborative server used to track and approve structured transactions originated by the fuels and marketing teams based in San Jose California and Boston, Massachusetts.* Wrote, revised, monitored and enforced compliance with risk management policies and procedures concerning market, credit, and operational risks in the contextof both standard trades and structured transactions in power and natural gas wholesale markets.

* Directly managed nine experienced and talented risk controls professionals infour groups; quantitative and credit analysis, quality assurance, compliance, and decision support; In addition, four SAS information technology personnel dotted-line reported to me.* Through the risk control team, measured, validated, assessed, and monitored portfolio profit and loss, and well as certain aspects of market, credit, and operational risks regarding $1.6 billion physical and financial derivative transactions involving 92 power plants with 27GW of installed capacity, 3rd-party powerand gas trades, and structured transactions.o Assessed portfolio metrics against value-at-risk limits, stop-loss limits, andvolumetric notional limits on an enterprise-wide basis, by counterparty, and bytrader as appropriate.o Performed statistical and Monte Carlo simulation studies of prices, power reve

nues and gas expenses, spark spreads, and market implied heat rates.o Gathered and verified traders' marks against market power and gas prices, historical volatilities, and cross-commodity correlations* Monitored and enforced compliance with Risk Management policy and risk limitsfor Bear Stearns' "Calbear" books.* In support of CRO in San Jose, CA, Monitored and analyzed Calpine's portfolioof bonds and interest rate swaps with current and historical market values and risk sensitivities such as duration and convexity in Bloomberg.* Collaborated as member of Committee of Chief Risk Officers with industry peerson developing best practices for Risk management in the U.S. Energy SectorOther Employers, Location, Titles, and Dates

Texas Utilities (TXU), Houston TX. Director Quantitative An

alysis 1999 - 2000Columbia Energy Services (CES), Houston, TX. Risk Assessment Manager 1998 - 1999Central and Southwest Corporation (CSW), Dallas TX. Strategic and Forecasting Mgr 1991 - 1998Central Power and Light Company (CPL), Corpus Christi, TX. Economist 1986 - 1991Pennsylvania State University, Erie, PA. Assistant Professor 1985 - 1986Education



* Ph.D. in Business Administration, LSU, Baton Rouge, LA.Major: Quantit

ative Methods, Minor: Finance, Supporting Field: Econometrics* MS Finance, LSU, Baton Rouge, LA.* MS Quantitative Methods, LSU, Baton Rouge, LA.* MBA, Texas A&M International University, Laredo, TX.* Mechanical & Management Engineering, Monterrey Tech, Monterrey, MX.* Graduate Certificate Finance, Southern Methodist University, Dallas, TX.* Obtained three Bloomberg's Professional Certifications:o Fixed Income Securities November 2004o Equities November 2004o Foreign Exchange analytics March 2005* Frequently attends SAS Modeling and Forecasting tools seminars and professional conferences in energy and risk management topics.Software SkillsSAS ETS (Econometrics and Time Series), SAS STAT, SAS SQL, SAS IML (matrix language), SAS Tabulate, SAS Report, Base SAS, SAS Risk Dimensions (Advanced Risk Analytical Tool), @Risk (Monte Carlo simulation in Excel) , MATLAB, SPOTFIRE (inter

active data visualization), MathCAD, FEA (energy options), FINCAD, ZEMA (central repository of market prices), MS Project, Excel, Word, Power Point, Bloomberg(market monitoring and analytics including options for FX, Fixed Income, Commodities, etc.), W

vice president risk management or vice president risk control or

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