Pierre Brunelle

About Pierre Brunelle

Qualifications & ExperienceCounterparty Credit Risk:Model Development & Validation: XVAs (CVA, DVA, FVA, KVA), Potential Future Exposure (PFE), Margin ExposureMarket Risk:Pricing Curve Construction: Interest Rates, FX, and CommoditiesP & L Attribution and Price ReplicationModel Development & Validation: GARCH Monte Carlo VaR/CVaR/EaR, Stress Testing, Back TestingStructured Products - Real Options Valuation: Least Squares Monte Carlo (LSMC) for gas peak structured products, extrinsic value of Natural Gas and LNG Volumetric & Price Simulation: Load Forecasting, Monte Carlo models using weather and pool price for energy retailersAsset Valuation: Natural Gas Storage and LNG, Battery Storage, Wind Solar PPAAutomated Risk Workflow Design: end-to-end VaR production pipelines including report generation, value at risk decomposition, hedging proposals, and back testingFinancial InstrumentsPhysical & Financial: Crude Oil, HRCO, Natural Gas, LNG, NGLs, Power, Renewables, Environmental Products, Weather Derivatives, Interest Rates, FXIndustry Leadership & StandardsCCRO Member (2024–present): Contributing author to working groups on Model Risk Management, AI Risk Governance, VaR Survey, Data Risk Management, and LNG RiskPanelist / Speaker: ETWA 2024 (Climate Risk), ETWA 2025 (LNG Risk), Reuters Energy LIVE 2025 (LNG Hedging & Real Options); Commodities People Webinars on Power Forecasting, Model Risk, and Structured Products ModelingTools & PlatformsQuantitative: Python, R, Matlab, SAS, Excel/VBA, Palisade @Risk, FINCAD, BloombergETRM: Allegro/Horizon, OpenLink Endur/Findur, IBM Algo RiskWatch, Hitachi Energy TRMTracker, FIS AligneSpecialtiesEnergy Finance · Market & Credit Risk Management · Physical & Financial Derivatives · Real Options · LNG Risk · Quantitative Modeling · Econometric & Statistical Analysis · Risk Governance

Experience

1. Middle Office Manager Gas Power Lng Trading

   repsol

   Feb 2025 — Present

Education

• Université de Sherbrooke

  Postgraduate Certificate, Financial Markets

• Université de Montréal

  Bachelor, Economics

• Université de Sherbrooke

  Masters (M.Sc.), Finance

  2011

Skills

• Trading
• Financial Economics
• Energy
• Financial Modeling
• Quantitative Analytics
• Derivatives
• Energy Derivatives
• Hedging
• Options
• Finance
• Bloomberg
• Commodity Markets
• Fx Derivatives
• Market Research
• Risk Management
• R
• Commodity
• Interest Rate Derivatives