Chiran Roy
Houston
Summary
Dynamic energy market professional with extensive expertise in financial and physical energy markets. Deep understanding of advanced mathematical and analytical tools applicable to origination, structured products, risk management, and portfolio analytics. Strong background in macroeconomics and the fundamentals of Natural Gas, Power, Environmental Products, Crude and NGLs across North American and global markets, complemented by a robust track record in analyzing market data, numerical models, and forecasts. Committed to leveraging analytical insights to drive strategic decision-making and optimize market opportunities.
Overview
16
16
years of professional experience
1
1
Certification
Work History
Quantitative Risk Team Lead
Mercuria Energy
Houston, TX
01.2024 - Current
- Lead market fundamentals and analytics research to support risk management of the North American portfolio.
- Lead market and model risk review of structured transactions to support origination efforts
- Conduct thorough assessments of market trends to provide guidance for risk taking and align with company wide portfolio.
Senior Quantitative Risk Officer
Gunvor USA
Houston, TX, USA
07.2022 - 12.2023
- Developed and implemented the risk management structure for the new FTR trading desk including Stress testing and Scenario analysis.
- Improved risk measurement methodologies in a quantitative framework for a portfolio comprising a wide range of commodities.
- Designed framework for backtesting of trading strategies and high-risk concentrations/limit breaches and report to senior management.
Power and Gas Structuring Quant
Uniper Global Commodities
Houston, TX, USA
06.2019 - 06.2022
- Extensive experience working with Commercial, Origination and Trading teams pricing Structured Power/Gas transactions in liquid/illiquid markets. Communicate/defend valuation results to senior management.
- Priced Variable Load deals, HRCOs, Tolls, Batteries, Revenue Puts and Unit Contingent Swaps across all US markets. Developed tools to price complex structured and one-off deals with embedded optionality such as “Lookback” and Collars.
- Priced Gas Storage, Pipeline Transport/Capacity and Netback deals. Developed models for CSOs, Spread options and Swing Swaps.
Senior Market Analyst
Brookfield Energy Marketing
Gatineau, QC, CANADA
09.2015 - 05.2019
- Assessed market trends in power, gas, crude, and LNG to create strategic trading initiatives aimed at maximizing revenue.
- Generated in-depth quantitative reports to analyze crude and natural gas market trends, identifying strategic entry and exit points for optimal trading decisions.
- Analyzed weather models and vendor forecasts to ensure timely positioning for anticipated weather-driven market fluctuations.
Senior Risk Analyst/ Risk Analyst
Brookfield Energy Marketing
Gatineau, QC, CANADA
03.2012 - 08.2015
- Conducted comprehensive assessments of trading strategies, focusing on profitability metrics and risk analysis through quantitative finance techniques.
- Developed market models in Python, Matlab and Excel. Designed analytical tools for risk reporting and real option analysis.
- Oversaw monitoring of trading positions in power gas FTRs and capacity, ensuring compliance with risk management policies.
Postdoctoral Scholar
Queen's University, Canada
Kingston, Canada
06.2010 - 03.2012
- Performed cutting edge research on various aspects of theoretical Quantum Optics using advanced mathematical and numerical techniques.
Education
Phd. Physics -
University of Toronto
Canada01-2009
Skills
- Outstanding mathematical & scientific skills as part of PhD and Postdoctoral research work
- Commodity market fundamentals - Power, Natural Gas, Environmental Products, Crude and NGLs Deep interest in Geopolitics and it’s impacts on Energy markets
- Technical Analysis of charts to support trade ideas - Crude, Natural Gas, FX and Indices
- Analyses of Open Interest, COT reports and liquidity metrics to enable prudent risk management
- Understanding of weather models relevant for Natural Gas and Power trading Can identify key weather patterns that drive markets Weather hobbyist - tracking tropical cyclones and storms
- Developed Hidden Markov Models to identify regime change in key contracts to support front office decision making
- Strong programming skills in Python, Matlab and Excel Proficient in Business Analytics tools such as SQL, Power Query and Power Pivot
- Quantitative finance experience in: (i) Stochastic calculus (ii) Monte Carlo simulation (iii) Volatility modelling - Stochastic Volatility, Jump and Jump Diffusion (iv) Exotic derivatives (v) Tree models - Binomial and Trinomial
- Quantitative Risk Management experience (i) VAR and ES methodologies applied to Energy and Credit risk (ii) Portfolio optimization
- Historical and Monte Carlo VaR simulation of commodity portfolios, improved Filtered Historical Simulation approaches with Volatility calibration using GARCH estimates
- Machine learning and data analytics tools to build predictive models for Natural Gas & Power markets - Neural Nets and Generalized Forests
- Load forecasting using multiple methods: (i) regression models (ii) neural networks and (iii) statistical learning algorithms
- Multiple methods for Gas storage Extrinsic calculation - (i) Basket of Swaps (ii) Rolling Intrinsic (iii) Longstaff-Schwartz
- Data mining and cleansing of large and dirty data sets for further analysis using Python
Certification
- Professional Risk Manager (PRM) designation by PRMIA
- Wholesale Electricity Markets (Intermediate and Advanced) with ISONE and IESO
Timeline
Quantitative Risk Team Lead
Mercuria Energy
01.2024 - Current
Senior Quantitative Risk Officer
Gunvor USA
07.2022 - 12.2023
Power and Gas Structuring Quant
Uniper Global Commodities
06.2019 - 06.2022
Senior Market Analyst
Brookfield Energy Marketing
09.2015 - 05.2019
Senior Risk Analyst/ Risk Analyst
Brookfield Energy Marketing
03.2012 - 08.2015
Postdoctoral Scholar
Queen's University, Canada
06.2010 - 03.2012
Phd. Physics -
University of Toronto