David L. Zaccour
7247 Mimosa Lane, Dallas, TX, 75230-5443
Cell: 832-978-3471
EXPERIENCE
ENERGY FUTURE HOLDINGS 2008--
Manager, Risk Reporting, Dallas, TX
· Manager responsible for the reporting of flow risk, P&L, performance attribution, and derivation of gas-equivalent positions for retail & wholesale energy trading desks at Luminant Energy from linear and non-linear models: swaps, futures, annuities, options, spread options, swaptions, and option strategies in power, gas, and weather. Also responsible for identifying unhedged positions, providing SOX-compliant earnings reports and SOX assertions, assisting traders to re-balance portfolios to reduce market risk, and implement quantitative models and approaches to reporting commodity risk.
· Reviewed non-routine deal term sheets for ability to value and capture risk, recognized needs of credit enhancements when option premium is involved.
· Developed and deployed scalable methodologies to capture flow risk (“Delta-One”) on a reliable basis, providing absolute position and day-on-day changes, with manual overrides as needed to correct or make results more timely. Reviewed daily with Front Office.
· Developed templates and methodologies to report daily and monthly P&L, actualized and forward, with explanations due to both routine and unusual causes.
· Provided weekly volumetric hedging strategy reports and summaries of volumetric hedging premium collection and spend, to facilitate executives in recognizing effectiveness.
· Reported changes in retail load in terms and formats suitable for hedging according to strategies to mitigate physical and forward market risk.
· Developed and maintained inventory of non-standard models and tracked progress of methodologies to reliably capture their valuations and risk.
· Developed and deployed scalable methodologies to reliably value and report large long-term compound swaption assets and multiple spread option positions.
· Team member executing changes to Risk Reporting of Luminant's commercial team in support of ERCOT's Nodal roll-out.
· Developed and solicited approvals for business process and IT systems changes to accommodate new initiatives and changes to methodologies.
MERRILL LYNCH COMMODITIES INC. 2005-2008
Vice President - Valuation, Houston, TX
· Manager of quantitative developer team, retired one legacy system and took 4 exotic portfolios from Excel models to being valued systematically by a new valuation engine, leveraging Merrill Lynch analytics using Perl, Python, Java, and Excel/VBA.
· Drove specifications and implemented interfaces which leveraged real-time (i.e., Bloomberg) and settled market data sources, performed validations of new valuation engines, regressing results against reference analytics, comparing portfolios’ metrics such as notional positions, sensitivities, and partial deltas, for use in credit, settlements, statements, market risk, and accounting.
· Developed and analyzed P&L reports and valuation models in Java and Python against reference analytics to support Crude and Commodity Index trading desks in Houston, London, and Singapore. Developed and validated Asian Option (Crude), long-tenor Averaging Option, Index Option, Excess and Total Return Swap, Commodity Notes, and TRAKRS models.
· Enhanced Java-, Python-, and VBA-based trading, valuation, risk reporting, and pricing models and processes for the Commodity Index desk, inclusive of Fixed Income funding and hedging instruments, structured derivatives, market-making – related processes, real-time and end-of-day valuation.
· Proposed and implemented new distributed Java- and Linux-based valuation process to value Heat Rate and Power Options to reliably fulfill Credit Sleeve agreement.
SUNGARD ENERGY SYSTEMS 2005
Manager - Analytic Services, Houston, TX
· Supported implementation and marketing of analytics used to calculate portfolio sensitivities and efficient frontier with respect to weather and economic models.
COUNTRYWIDE SECURITIES/HCL TECHNOLOGIES 2004-2005
Consultant - Financial Analyst at Countrywide Securities, Calabasas, CA
· Designed and developed new pricing engine in C/C++, and C# at Countrywide Securities’ capital markets desk for production of intraday pricing, P&L, Option-Adjusted Spread optimizations, and risk metrics.
· Leveraged models in Excel/VBA, MATLAB, and INTEX C-based DLL to harvest CMBS- and commercial property-related loan metrics for decision-support.
DUKE ENERGY FIELD SERVICES/SIRIUS SOLUTIONS 2004
Consultant - Risk Analyst at Duke Energy Field Services, Houston, TX
· Enabled successful Sarbanes-Oxley 404 assertions by identifying, reviewing, and documenting valuation models, forward price and volatility models, and validating representative transactions in oil, natural gas, and natural gas liquids against reference analytics.
CINERGY/TECHOPTIMUS 2004
Consultant - Credit Risk Management at Cinergy, Houston, TX
· Developed proof-of-concept decision-support process in C# to monitor, aggregate, and report credit exposures from physical & financial trading positions in natural gas, power, and oil.
ENRON CORPORATION 1999-2003
Manager – Valuation, Risk, and Trader Decision-Support, Houston, TX
· Enabled the success of the merchant power peaker business by rapidly establishing a trader decision-support and energy management system for the East Power Trading Desk. Developed real-time views of peaker conditions which used live data, heat rate, and weather models.
· Coordinated team based in Japan, US, and Australia to create a business development solution for the deregulated Japanese Commercial & Industrial energy market. Selected comparative markets to derive price & load models and designed algorithm to demonstrate the benefits of deregulation.
· Managed quantitative developer team to create a valuation framework for financial global liquids. Influenced the architecture for full valuation, risk metrics, and Monte-Carlo VaR.
· Helped consolidate Enron Energy Services’ fixed-price risk desk with Enron wholesale business practices: enhanced deal entry & valuation processes, and drove business process improvements as the business sought low-touch high-volume deal flow.
· Promoted to Manager in recognition of value added in stabilizing remaining risk, valuation, and power forecast processes post-bankruptcy. Recognized operational risk during period of attrition; initiated projects to enhance retail power price curve generation, as well as valuation, risk, and reporting which improved the recognition, sale or settlement of energy services contracts.
KIMBERLY-CLARK CORPORATION 1988-1999
Engineer, Toronto, ON, Beech Island, SC, Knoxville, TN
· Nominated natural gas and conducted trial electric power rates studies while managing projects and energy -related assets at the firm’s largest domestic facility.
· Proposed and calculated ROI/Payback for capital & expense projects and managed appropriations from inception and design to installation and cost-based asset accounting.
· Developed algorithms used in real-time controls: digital sampling, feedforward loops, neural networks, and state space controls.
· Developed and utilized dashboard systems in Java and VB to perform automated quantitative analysis to improve productivity & profitability.
MIRAMICHI PULP AND PAPER 1986-1988
Engineering Supervisor, Miramichi, NB
· Supervised technologist team to improve process controls at large greenfield multi-mill facility.
GE CANADA 1984-1986
Engineer, Montreal, PQ
· Commissioned 765KV transmission network apparatus & industrial controls in Eastern Canada.
EDUCATION
RICE UNIVERSITY, JONES GRADUATE SCHOOL OF MANAGEMENT, Houston, TX 2001-2003
Master of Business Administration
· Sector Analyst, M.A.Wright Fund:( http://finance.rice.edu/fund/ ).
· Prepared for and passed the CFA Level I exam.
· Co-leader of research project to extract best practices between TXU & FPL Group.
· Member of Finance Club and International Trip Steering Committee.
MCGILL UNIVERSITY, Montreal, PQ 1980-1984
Bachelor of Engineering, Electrical (Power and Communications)
SKILLS
MS-Office Excel/VBA, Visual Basic, Access, Power Point, Visio, Word, SPSS, MATLAB, Risk Management Reporting, Price Curve Generation, Financial Statement Analysis, Equities/Commodities Derivatives Valuation, Price Models/Analytics, Bloomberg, Java, C/C++/C#, Python, Perl, SQL.
PERSONAL
US Citizen, Professional Engineer (Ontario, Canada), member of the CFA Society of Dallas and the Professional Risk Managers International Association. Fluent in both English & French (oral & written). Guest Instructor at Energy Future Holdings’ CPA Continuing Education program (2010). Guest Lecturer on Financial Risk at Texas Christian University’s Energy Institute (2009). Winner of the Golden Camel Volunteer Service Award - Houston Area Asian Society (2007). Student and practitioner of fundamental- and technical-based equity/option investing; develop and maintain online tools for automated generation and 3D visualization of investor sentiment, implied volatility surfaces, correlation, and historical VaR.