ANGUEL GRIGOROV, Ph. D.

5907 Elmwood Hill Lane, Kingwood, TX 77345, 713.305.8282 (c), aakremena@aol.com

EXPERTISE AND SKILLS

Industries: Natural Gas, Power, Oil and products, Petrochemicals, Metals, Banking
Trading: Strategic bidding, Trading strategy design/optimization/analysis, buy/sell signal design, technical analysis
Valuation: Physical assets, real options, derivative securities
Risk management: Forward curve composition, Market-implied volatility and correlation surface architecture,
Value/earnings-at-risk, hedging strategy design, cross-commodity hedging, market/credit/weather/operational risk
analytics,
Quantitative Analysis: Monte Carlo simulation, statistical pattern recognition, time series, stochastic dynamic
programming
Professional Distinctions: Professional Risk Manager /PRM/

WORK HISTORY
PLATTS / McGRAW HILL FINANCIAL
Global Director Research, Development and Operations

Houston, TX, (2011Current)

Managed the global quantitative group at Platts Commodity Risk Solutions

Inspired and spearheaded the creation of Platts Market-implied Volatility and Correlation Surfaces product
Motivated and managed the implementation of Platts long-term Oil forward curve capability
Instilled and supervised the formation of Platts Custom Forward Curve product
Oversaw the restructuring of Platts M2M-Gas and M2M-Power products
Lead the methodology redesign efforts and oversaw the complete reformulation of Platts M2MS-Gas and
M2MS-Power products
Was instrumental in creating Platts Follow-the-Sun product methodology
Provided expertise to and supervised the quantitative efforts at Platts Valuation Hub consulting unit
Lead the creation of Platts Petrochemical forward curve product
Helped Platts metals team with the creation of steel price volatility curve prototype
Participated actively in joint efforts to optimize the collaborative work of McGraw-Hill Financial quantitative
groups
Oversaw the efforts to reduce Commodity Risk Solutions Information Technology costs to increase profitability

DIRECT ENERGY, L.P.,

Director Trading and Risk Analytics

Houston, TX, (20072010)

Managed the quantitative group at gas and power trading desks at Direct Energy, L.P.

Design and Optimization of Strategic Bidding Strategies

Designed a strategic bidding, profit-maximizing, Down Balancing Energy Services trading strategy for
companys wind farms in ERCOT West zone
Inspired, spearheaded and got through the initial stages of building comprehensive statistical framework for
trading strategy generation, testing and optimization, and short-term weather forecasting
Created original methodology for quantifying future spot volatilities and correlations of power and natural gas
pricesused throughout the company in ERCOT, PJM, NEPOOL and NYISO markets
Created a price direction forecasting tool for ERCOT day-ahead power markets
Built and optimized Responsive Reserve Service operating strategy for a natural gas plant in ERCOT South
zone
Improved a fundamental model for forecasting congestion occurrences in ERCOT West zone

Steered companys research efforts to discover repeating patterns in natural gas markets
Worked to convert the acquired knowledge into specific trading signals and optimized trading strategies

Physical Asset Valuation and Structuring

Created original methodology for quantifying future spot volatilities and correlations of Power and Natural
Gas pricesused for ERCOT, PJM, NEPOOL and NYISO markets
Used above methodology to value volatility premium to be captured at a Natural Gas plant, due to operators
ability to fire it more than once during the dispatch day
Estimated the value of Direct Energys innate ability to reduce the Lower Sustainable Limit of a natural gas
plant in ERCOT North zone
Priced option-like features embedded in multi-commodity exposure LNG contracts
Valued various over-the-counter financial options used for hedging purposes by the retail operations of Direct
Energy
Designed a gas storage model for gas trading desk

Trading and Risk Analytics, Hedging

Created methodology to quantify companys retail operations risk, due to the interaction between price and
loadcurrently in use by Direct Energys retail hand
Produced a study, clarifying the usefulness of hedging power risk exposures with gas, and influenced the
views of senior management on the issue
Designed models for estimating probability of price spikes in ERCOT West zonecreated an advisory spike
index
Quantified weather risk and designed hedges for companys retail operations
Produced a weather derivative valuation instrument to serve hedging needs of companys retail department
Consulted actively senior management on various issues related to price volatility, correlation, valuation,
strategic risk diversification decisions, etc.
Participated actively in the meetings of Direct Energy Hedging Committee
Devised forward curve methodology for ERCOT ancillary services markets

LYONDELL CHEMICAL CO.,

Lead Quantitative Analyst

Houston, TX, (20022007)

Hedging Strategy Design and Analysis

Structured spread locks, commodity, foreign exchange, credit and interest rate swaps
Led discussions on Lyondell's refinery hedge program and created models for maximizing hedge
effectiveness
Provided models and framework to Risk Assessment and Control departmentstrategy analysis, Value-atRisk, hedge effectiveness and simulations
Offered quantitative assistance to internal auditors with design and assessment of operational effectiveness of
internal controls, mandated by Sarbanes-Oxley Act
Developed an all-company earnings-at-risk model

Contract Structuring and Analysis

Managed the financial engineering aspects of Lyondells process of contract structuring with regard to
optimization of price, volume and assorted risks
Championed review and valuation of major real options embedded in companys contracts
Created forward curves for ethylene, propylene and other illiquid products
Analyzed and helped structure investment projects, acquisitions and divestitures
Developed models for utilizing risk arbitrage opportunities for diesel and gasoline
Counseled company deal makersoption/swap/embedded optionality valuation, trading strategy design,
technical and statistical analyses

Advised Treasury, Internal Control, Corporate Development, Operation Optimization, etc. departments to
perform interest rate swaps and bond refinancing, credit derivatives, convertible bond and executive option
pricing, Monte Carlo scenario simulations

Crude and Product Trading

Spearheaded the technical analysis trading efforts at Lyondell/ Equistarheld a technical daily review of
energy markets
Participated in the process of creating company point-of-view on the future of commodity prices
Managed daily interaction between a commodity trading advisor and Lyondellanalyzed and translated
advisors work into buy/sell recommendations to traders
Triggered price fixes on oil cargoes en route to Houston

Consulting

Disseminated real option concepts and techniques across different levels of the organization
Contributed to risk assessment effort on behalf of the Treasury department related to assorted pension plan
manager options
Made recommendations on the adequacy of risk management and technical analysis systems and software
packages considered for purchase

ENRON CORP,
Manager Quantitative Analysis and Research

Analyzed and modeled risks (Value-at-Risk, Earnings-at-Risk, Greeks, etc.) of multi-million retail-electricity
dealsprice jump, consumption volume, basis, weather, operational, etc. risks
Created financial and statistical models for pricing real option/swap features embedded in retail-electricity
contracts
Provided quantitative support to traders and deal originators on contract structuring
Designed weather derivative hedges
Devised credit scoring models for the credit derivative business of the company
Key member of an optimization project to supplant computation time inefficient simulation models with
faster analytical ones
Electricity price forecasting

US BANK,
Senior Quantitative Analyst IV

Houston, TX, (20012002)

Minneapolis, MN, (19972001)

Developed a Monte Carlo Earnings-at-Risk model for quantifying credit loss risk
Analyzed the performance and consulted the bank on the purchase of credit risk scoring systems for public
and private commercial and industrial borrowers and individualsKMV, Zeta, Moodys RiskScore, Credit
Encore, etc.
Quantified the effectiveness of US Banks credit scoring model
Designed a Risk-Adjusted-Return-On-Capital model for capital allocation

EDUCATION AND CREDENTIALS

Professional Risk Management International Association /PRMIA/
Professional Risk Manager (2002)
Vanderbilt University,
Master of Business Administration (1997)

Nashville, TN

University of Sofia, Sofia, Bulgaria

Ph.D. in Physics (1993)
Master of Sciences in Physics (1986)

SOFTWARE AND PROGRAMMING SKILLS

C/C++, VBA, R, Python, FORTRAN, Matlab, SAS, SPSS, Crystal Ball, SQL, ProphetX, PICS, LIM, Bloomberg