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Milltown, NJ

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Manager of Market Risk OversightEdit PUBLIC SERVICE ENTERPRISE GROUP (PSEG) May 2008 – Present (4 years 9 months)• Managed Team of Market Risk Analysts & Interns whose responsibility was to monitor, quantify, and report on current & potential financial risk exposure of PSEG’s portfolio of Power, Natural Gas, and Coal hedges and physical generation assets utilizing VaR, GMaR, PFE, P&L analysis & attribution, stress tests, and analysis of Greeks, etc. • Interacted with Front Office personnel - including Energy Traders and Structuring & Quantitative Analysis personnel, to ensure complete understanding and transparency of PSEG’s trading and hedging portfolios. • Modeled PSEG’s fleet of generation assets as Real Options including valuation and sensitivities to observable and estimated energy market parameters, providing increased transparency and ease of analysis. • Developed and maintained additional internal VaR based hedging metrics for Chief Financial Officer (CFO) and Chief Risk Officer (CRO) which provide insight into PSEG’s hedging activity ensuring a comprehensive idea of overall risk of the portfolios. • Instructed vendor on process to automate calculation of implied volatility surfaces using settled option price data (NYMEX), saving Market Risk department a minimum of 5-10 hours of work per week. • Successfully audited vendor’s Monte Carlo simulation engine to ensure accuracy & viability of simulations and resulting risk calculations and metrics. • Analyzed probability distribution of potential gross margin (GMaR) for PSEG’s fleet of generation assets by performing statistical tests for skewness, kurtosis, and Jarque-Bera test. • Independently valued financial derivatives including Power and Natural Gas options, Swaptions, calendar spread options, heat rate options, and tolling agreements. • Project Leader to convert all Market Risk models from S-Plus language to R language which reduced VaR run-time by 4-6 hours & enabled daily Market Risk reports to be sent out automatically before the work day began.

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