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Enron Mail |
Stinson,
Do we want to revisit? Vince ---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 04/24/2000 01:10 PM --------------------------- "Martin Jermakyan" <martin@electrapartners.com< on 04/24/2000 09:59:38 AM Please respond to "Martin Jermakyan" <martin@electrapartners.com< To: Vince J Kaminski/HOU/ECT@ECT cc: Subject: My resume Dear Vince, Attached please find an updated resume of mine. I have been continuing my research in the area of pricing, risk management and asset management of power industry. It seems to me that the framework I have been working on does allow addressing some fundamental issues and allows describing the salient features of power markets. I feel a brief info may inform you what have I been up to. Conceptually speaking, my approach relies on the understudying that the absence of cash and carry implies non-hedgibility of the most fundamental building blocks of power market - forward contracts of hourly duration. This clearly demands a risk premium embedded in power prices. I have been able to develop a machinery to capture this risk premium, and calculate its impact on pricing of other products. In particular, the method allows consistent generation of hourly forward curve (per each geographic region), hence generation of forward curves of longer duration. It provides us not only with forward curves, but also their physical (not risk-neutral) distribution. It also allows one to analyze the sensitivity of the forward curve with respect to the volumetric risk. As a fundamental input , I consider the ratio of properly compounded generation output (load) and the corresponding maximum available generation supply. The first one is well observable and forecastable due to its stationarity. The second one is defined by the first one and the generation and transmission profile of the region. Much of the required information is in the public domain. The market price of risk incorporated in the model depends on this ratio and the calendar time. This time dependence of the market price of risk allows capturing of the dynamics of the returns per unit risk over time, and its dependence on the ratio mentioned above reflects the intuition and the reality that closer the demand to the maximum available supply higher compensation do the investors expect. I have also realized that the transmission related factors may be incorporated into this framework in a very consistent and robust manner. This approach also allows quantification of the margins as a stochastic process dependent on the volumetric factors, among other things. It allows posing and solving the problem of maximization of the margins while keeping their variance under control in a very elegant and robust way. I have developed the first version of mathematical tools and prototype software reflecting all these issues. My inability to complete this program has been resulted from the severe instability, lack of access and the cash flow problems I have experienced in the last few years. I have also understood that programs of this magnitude cannot be finished from the "grandpa's garage." Nevertheless, I think I have developed a very systematic and robust understanding and methodology, and at least, I have convinced myself that this approach leads to a comprehensive system. With all this said, I don't want to make an impression of a stiff person, who has his agenda and under any circumstances is willing to push it forward. I have always been very flexible, and in my consulting experience, I have always accommodated the needs and wishes on my clients. In my short period of employment with Altra I have been very ethical, I have played by the rules, I have done whatever I have been asked to do, and have been a team player. The reasons they have asked me to resign have nothing to do with me personally. They have been respectful to me, they have valued me as capable person, but have found that given the direction of the company (which has become self-evident with the consequent developments), "further Altra goes, further I will be frustrated with where they go." It was almost formulated that it is better for me to separate from Altra as soon as I can. As an evidence of appreciation, they have continued paying me as of today, something that they have not done for some others, but it is coming to its end, too. I am bringing this up just to reiterate that my separation from Altra has had nothing to do with me or my entrepreneurial working style vs. corporate style, etc. I have no doubts that I can function equally well in either environment. I wish that your presentation goes well with your new superior, and that my joining Enron becomes a possibility. Regards, Martin - martin.doc
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