Pierre Brunelle

Information

About the company

Pierre Brunelle is Middle Office Manager – Gas, Power & LNG at Repsol in The Woodlands, Texas. He leads the development of advanced market-risk frameworks and real-option valuation models for structured natural-gas products, power, and LNG using Least Squares Monte Carlo (LSMC) and GARCH-based Monte Carlo VaR. With 15 years of experience in energy risk management, Pierre has built and validated quantitative models for market risk (VaR, CVaR, EaR), counterparty credit risk (PFE, CVA, FVA, KVA), intrinsic and extrinsic storage valuation, and renewable-generation forecasting for solar PPAs, wind PPAs, and battery storage. He has held senior market-risk and model-risk roles at ENGIE, ATCO, KeyBank, and Enbridge. An active CCRO member since 2024, he contributes to working groups on Model Risk Management (co-author of the 2025 white paper), AI Risk Governance (2025 white paper), VaR Survey (VaR Usage & Methodology), Data Risk Management, and LNG Risk. He has spoken at ETWA 2025 and 2026 (Climate Risk, LNG Risk) and Reuters Energy LIVE 2025 (LNG Hedging & Real Options). He holds a Bachelor of Economics from University of Montreal and M.Sc. in Finance from the University of Sherbrooke.