Gorazd Brumen’s Email & Phone

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Gorazd Brumen

Vice President @ Bank of America Merrill Lynch

Gorazd Brumen Contact Details

New York, New York
Vice President @ Bank of America Merrill Lynch
Vice President @ Morgan Stanley
Associate @ Morgan Stanley
Ph. D. @ University of Zurich

Member of Model Validation group, focusing on commodities models. In-depth knowledge of power markets’ models. Implemented commodity model risk management system, in particular Monte-Carlo skew calibration/simulation with multi-processing in Python/Cython/C and lattice based tolling model. Implemented weather commodity model in PyCUDA, speeding the calibration ≈50x. (github: brumen/weather cuda). Python wrapper for multiple front-office analytics libraries using Swig. 

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