Houston, Texas | Available for Engagement

Aziz K. Kapoor

Senior ETRM/CTRM Consultant & SME | Allegro · Endur · CXL | RNG · RINS · RECs | Nat Gas, Crude, Refined Products & Power

27+ years delivering front-to-back commodity trading and risk management solutions for the world's largest energy traders.

Aziz K. Kapoor

Professional Summary

Senior ETRM/CTRM consultant with 27+ years delivering commodity trading and risk management solutions across front-to-back office.

Hands-on implementation across Allegro, Openlink Endur, and Triple Point CXL. Deep expertise in Renewable Natural Gas (RNG), RINS, RECs, Natural Gas, Crude, Refined Products, LNG and Power (ERCOT/CAISO/MISO/PJM).

Brought in when implementations are complex, timelines tight. I architect canonical data models, optimize risk engines, and translate trader requirements into production systems that pass audit, scale under load, and deliver accurate P&L.

Front Office Trading Middle Office Risk Back Office Settlements Regulatory Reporting

Core Platforms Portfolio

Enterprise ETRM implementations delivered from design through hypercare.

Allegro

Horizon
  • •Occidental Petroleum: Optimized backend partitioning, reduced EOD valuation time by 60 percent, configured Credit and Risk modules
  • •Waste Management RNG: Architected trade capture for D3 RINS with CI Score variables
  • •Option valuation, physical gas, pipeline and storage modeling

Endur

Openlink
  • •JP Morgan: Built ERCOT PTP Bid Automation tool, eliminated manual errors, designed enterprise PnL reporting database
  • •Natural Gas North America: front-to-back implementation, AVS scripting, settlements
  • •Power, crude, and refined products valuation frameworks

CXL

Triple Point
  • •LyondellBasell: Led full lifecycle CXL implementation, transitioned Waterfall to Agile delivery
  • •Commodity XL configuration for complex petrochemical portfolios
  • •Integration with SAP, master data governance
Secondary Platforms: Trellis Energy TransEnergy nMarket Informatica MDM

Data Modeling Requirements (ETRM)

Robust ETRM requires canonical data models that survive regulatory change, M&A, and new commodities. I design for immutability, auditability, and intraday performance.

Domain Key Entities Critical Requirements
Trade Capture Trade, Leg, DealType, Commodity, DeliveryPoint Support physical and financial, complex RNG bundled deals with RINs and CI scores
Market Data Curve, PricePoint, VolatilitySurface, FX Automated feeds from Platts, Bloomberg, ICE, versioning
Position & PnL Position, Inventory, MTM, Realized, Unrealized Intraday valuation, pipeline and storage modeling
Risk Exposure, Limit, VaRScenario, CreditRating Real-time aggregation, stress testing
Settlements Invoice, Accrual, TaxJurisdiction FERC 552, PUCT compliance, wash trade validation

Implemented SQL models in Oracle PL/SQL, MS SQL, Snowflake with Informatica ETL and PowerCenter.

Risk Topics in ETRM

Five pillars that determine trading survival.

Market Risk

Price volatility, basis risk, curve risk in gas and power

Credit Risk

Counterparty exposure, collateral, netting agreements

Liquidity Risk

Storage optimization, pipeline nominations

Operational Risk

Trade lifecycle breaks, SOX controls

Regulatory Risk

FERC 552, CFTC Dodd-Frank, PUCT reporting

VaR Models Explained

Value-at-Risk is central to ETRM market risk. Energy markets exhibit fat tails, seasonality, and mean reversion.

a) Historical Simulation VaR

Uses actual historical price changes, no distributional assumptions, captures multivariate relationships and volatility clustering. Best for energy with path-dependent behavior.

b) Parametric (Variance-Covariance) VaR

Assumes normal distribution, uses delta-normal approximation, fast for large portfolios but underestimates tail risk in turbulent markets.

c) Monte Carlo VaR

Simulates thousands of price paths using stochastic processes (Geometric Brownian Motion, mean-reverting models), ideal for options and complex payoffs.

d) Advanced: FHS and Quantile Regression

Filtered Historical Simulation and Quantile Regression: FHS incorporates GARCH volatility, QR captures conditional return distributions changing over time; studies show QR outperforms in European gas and power markets.

Model Strengths Limitations Best Use
HistoricalNo assumptions, captures tailsNeeds long historyNatural Gas, Power
ParametricVery fast, easy aggregationUnderestimates fat tailsLarge linear crude books
Monte CarloFlexible for optionsComputationally intensiveStorage options, swaptions
FHS/QRAdapts to regimesComplex implementationVolatile markets

The Greeks – Option Risk in Energy

Energy options (swaptions, heat-rate options, storage options) require Greeks for dynamic hedging.

GreekMeasuresEnergy Trading Application
DeltaPrice sensitivity to underlyingHedge gas swing options
GammaRate of change of deltaManage convexity in power peakers
VegaSensitivity to volatilityCritical for LNG and natural gas options
ThetaTime decayDaily P&L erosion in storage options
RhoInterest rate sensitivityLong-dated crude term deals

Used in Endur and Allegro option valuation modules.

Selected Case Studies

Waste Management

2025-Present

Architected RNG trade capture with D3 RINS and CI Score variables; built ML forecasting for landfill gas; partnered with Trellis Energy on Risk Engine.

Gunvor USA

2021-2025

Product Owner for proprietary ETRM across NG, Crude, Refined Products; built earliest RNG and RIN capabilities; led MDM and BI.

Occidental Petroleum

Optimized Allegro backend partitioning, reduced EOD valuation time, configured Credit and Risk modules.

LyondellBasell

Led full CXL implementation, transitioned Waterfall to Agile.

JP Morgan

Built ERCOT PTP Bid Automation tool eliminating manual errors; designed PnL reporting database.

Thought Leadership

Writing at the intersection of energy markets, data, and risk systems.

RNG Meets ETRM: Modeling CI Scores and Environmental Attributes in Allegro

Whitepaper · 2024

Why Historical Simulation Still Wins for Natural Gas VaR

Risk Journal · 2023

From Enron to AI: 25 Years of Data Modeling Lessons in Energy Trading

Keynote · Houston Energy Risk Summit

Let's Build a Resilient Trading Platform

Available for advisory, implementation leadership, and risk model validation.

Houston, Texas
kapoor_aziz@yahoo.com 713-480-7545 linkedin.com/in/aziz-kapoor