ENRIQUE MEJORADA

3214 Eagles Knoll Court * Katy, Texas 77494 * Phones: 713-304-2600, 281-693-4210
* ema2ef56@westpost.net
Summary
Energy Risk management executive with broad practical experience applying risk c
ontrol, forecasting, strategic planning, risk assessment, and econometrics in th
e energy sector: power, natural gas, crude oil, and LNG. Possesses strong practi
cal experience writing, implementing, and enforcing risk management policies and
procedures, and the related essential analytical and compliance information sys
tems infrastructure. Led implementation of risk management, analytics and Mark-t
o-Market valuation activities for several companies. Has exceptional experience
creating and validating financial, Monte Carlo, and econometric forecasting mod
els in the contexts of risk assessment, portfolio management, deal structuring a
nd strategic and business planning including financial and real options. Expert
with modeling and risk analytic software such as SAS, Matlab, @Risk, FinCAD, Mat
hCAD, FEA, Excel, and other market analytical tools such as Bloomberg Profession
al Terminal. Has strong problem-solving, communication, presentation, project m
anagement, and mentoring skills. Has worked for over ten years in fast-paced tra
ding environments effectively interacting with senior management, front, middle,
and back-offices. Is a team-player and a leader who understands the urgency to
implement solutions at the speed of business while simultaneously producing qual
ity, defensible, results timely and consistently. Has a PhD in Business Administ
ration with major in Quantitative Methods, minor in Finance and supporting field
in econometrics. Is fluent in Spanish and enjoys running - Has run four Maratho
ns in Houston.
Professional Experience
SAS INSTITUTE - TORONTO, ONTARIO CANADA JULY 2010 TO DATE
Risk Management Consultant -- Contractor
Key Results:
* Currently assisting SAS Risk Advisory Group and Constellation Energy formulate
a Risk Management Road Map to improve Constellation Energy's risk/reward measur
ements, portfolio management, and risk assessment procedures with special emphas
is on risk factor reduction, stress testing, marginal and component VaR, three-w
ay reporting, and compliance monitoring.
SUNGARD CONSULTING SERVICES - HOUSTON, TX AUG 2009 TO JUNE 2010
Principal
Key Results:
* Assisted large Indian refinery (HMEL) establish a trading and risk management
strategy framework to commence trading and risk management activities for crude
oil procurement by first quarter of 2011. These efforts include recommending key
elements of risk management policies, and initial staffing levels for front, mi
ddle and back office and related interfaces to integrate trading and risk manage
ment with the Linear Programming group responsible for optimizing production lev
els of refined products
* Developed presentation to support contemporary global risk management services
and mitigate deficiencies of ETRM systems. - Document highlights the critical i
mportance of three areas: (1) designing and diagnosing the mathematical properti
es of correlation matrices daily; (2) the necessity to produce risk assessments
that 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 necessi
ty 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" r
isk report formats for natural gas trading activities including volumetric posit
ions, P&L, Greeks, VaR, changes in VaR, outlier detection, and other key metrics
. Also, replicated using SPOTFIRE -- TIBCO's data visualization tool adopted by
SENA - 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, TX
JUNE 2008 -JULY 2009
Risk Management Consultant -- Contractor
Key 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 managemen
t. Implemented metrics useful to understanding and managing portfolio risks, exp
laining reasons for value-at-risk daily changes, and validating value-at-risk ba
ck-testing. Also, first suggested and then implemented improvements to Endur's v
alue-at-risk set-up framework to better address: (a) presence of "fat-tails" in
natural gas price-returns, and (b) influence of Endur's Principal Component Anal
ysis method on Monte Carlo simulations and Parametric VaR. Performed statistical
analysis of Chevron "all-in" price curves and, based on study results, recommen
ded and subsequently implemented new representative curves for the VaR buckets u
sed in Endur's risk engine. Also, performed VaR back testing studies, which resu
lted in recommendations of revised VaR limits for U.S. trading activities. Conce
ived and implemented early-warning VaR alert system based on t-distribution, whi
ch compares VaR based on t-distribution with VaR limits giving management an ear
ly warning.
* Conceived, developed and implemented a reporting and analysis infrastructure w
ritten in SAS and Excel that uses as input all the Endur's risk-based Oracle tab
les including the simulations and correlation matrix tables. The new framework p
rovides 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 displaye
d in graphical and tabular forms, and aggregated and disaggregated across region
al locations and time periods. Framework produces daily diagnostics to assess th
e quality of large correlation matrices and term-structure of prices and volatil
ities. Trained Chevron IT and Risk Control employees on the use of the VaR frame
work and logic employed in each of the SAS programs.
CHENIERE ENERGY, HOUSTON, TX JUN 06 TO JUN 2008
Vice President of Risk Management
Key Results:
* Reported to CRO and was responsible for implementing the analytical foundation
of Cheniere's trading physical and financial trading activities around the Sabi
ne Pass LNG terminal.
* Wrote, monitored, and enforced compliance with risk management policies in the
context of standard trades and planned structured transactions in domestic natu
ral gas markets and planned LNG transactions.
* Developed the LNG RAM model to assess the risks and internal liquidity associa
ted with the planned procurement, storage, and re-sale of LNG into U.S. Natural
Gas markets.
* Supervised four talented experienced professionals in two groups: quantitative
analysis and decision support; worked closely with consultants and in-house IT
staff to implement first, Entegrate Analytics and subsequently, Zai-Net analytic
s as Entegrate Analytics proved inadequate.
* Using the company's ETRM system. Interpreted, measured, validated, assessed, a
nd monitored profitability, along with elements of market, credit, and operation
al risks of the trading activities.
* Assessed discretionary portfolio against value-at-risk limits, stop-loss limit
s, and volumetric limits.
* Performed statistical analysis and Monte Carlo and Historical simulation studi
es of NYMEX natural gas futures and calendar (storage) and locational (transport
and basis) spreads including volatilities and cross correlations (time and loca
tion).
* Led the justification for the selection and implementation of ZEMA (central pr
ice repository) and gathered and verified traders' marks against 3rd party price
s daily.
CALPINE CORPORATION, HOUSTON TX
2000 - 2006
Vice President Risk Controls
Key Results:
* Reported to CRO in San Jose, CA, represented him in Houston, and was responsib
le for initiating and implementing the risk analytics processes, most of which a
re in use to this date.
* Directed implementation of $10 million, state-of-the-art SAS risk management t
ools infrastructure providing the ability to measure, monitor, report and contro
l enterprise-wide trading profitability and VaR The four major infrastructure co
mponents were: SAS data warehouse integrated with Nucleus and Curve Manager (Ora
cle-based central repository of commodity intra-month and forward power and gas
prices): SAS Risk Dimensions --an analytical tool used for the independent calcu
lation of P&L, Monte Carlo VaR, stress testing, scenario analysis, and analytica
l studies: SAS Portal used to post daily web-enabled reports on positions, count
er party exposures, VaR, options Greeks, etc.; and
Collaborative server used to track and approve structured transactions originate
d by the fuels and marketing teams based in San Jose California and Boston, Mass
achusetts.
* Wrote, revised, monitored and enforced compliance with risk management policie
s and procedures concerning market, credit, and operational risks in the context
of both standard trades and structured transactions in power and natural gas wh
olesale markets.
* Directly managed nine experienced and talented risk controls professionals in
four groups; quantitative and credit analysis, quality assurance, compliance, an
d decision support; In addition, four SAS information technology personnel do
tted-line reported to me.
* Through the risk control team, measured, validated, assessed, and monitored po
rtfolio profit and loss, and well as certain aspects of market, credit, and ope
rational risks regarding $1.6 billion physical and financial derivative transact
ions involving 92 power plants with 27GW of installed capacity, 3rd-party power
and gas trades, and structured transactions.
o Assessed portfolio metrics against value-at-risk limits, stop-loss limits, and
volumetric notional limits on an enterprise-wide basis, by counterparty, and by
trader 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, hist
orical volatilities, and cross-commodity correlations
* Monitored and enforced compliance with Risk Management policy and risk limits
for Bear Stearns' "Calbear" books.
* In support of CRO in San Jose, CA, Monitored and analyzed Calpine's portfolio
of bonds and interest rate swaps with current and historical market values and r
isk sensitivities such as duration and convexity in Bloomberg.
* Collaborated as member of Committee of Chief Risk Officers with industry peers
on developing best practices for Risk management in the U.S. Energy Sector
Other Employers, Location, Titles, and Dates
Texas Utilities (TXU), Houston TX. Director Quantitative An
alysis 1999 - 2000
Columbia Energy Services (CES), Houston, TX. Risk Assessment Mana
ger 1998 - 1999
Central and Southwest Corporation (CSW), Dallas TX. Strategic and Forecastin
g Mgr 1991 - 1998
Central Power and Light Company (CPL), Corpus Christi, TX. Eco
nomist 1986 - 1991
Pennsylvania State University, Erie, PA. As
sistant Professor 1985 - 1986
Education
* Ph.D. in Business Administration, LSU, Baton Rouge, LA.
Major: Quantit
ative Methods, Minor: Finance, Supporting Field: Econometrics
* MS Finance, LSU, Baton Rou
ge, LA.
* MS Quantitative Methods, LSU, Baton Rouge, LA
.
* MBA, Texas A&M I
nternational University, Laredo, TX.
* Mechanical & Management Engineering, Monterrey Tech, Monterrey, M
X.
* Graduate Certificate Finance, Southern Methodist U
niversity, Dallas, TX.
* Obtained three Bloomberg's Professional Certifications:
o Fixed Income Securities November 2004
o Equities November 2004
o Foreign Exchange analytics March 2005
* Frequently attends SAS Modeling and Forecasting tools seminars and profession
al conferences in energy and risk management topics.
Software Skills
SAS ETS (Econometrics and Time Series), SAS STAT, SAS SQL, SAS IML (matrix langu
age), SAS Tabulate, SAS Report, Base SAS, SAS Risk Dimensions (Advanced Risk Ana
lytical Tool), @Risk (Monte Carlo simulation in Excel) , MATLAB, SPOTFIRE (inter
active data visualization), MathCAD, FEA (energy options), FINCAD, ZEMA (centra
l repository of market prices), MS Project, Excel, Word, Power Point, Bloomberg
(market monitoring and analytics including options for FX, Fixed Income, Commodi
ties, etc.), W