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code SB-78-201709-357 sur freelance.enligne-fr.com en France

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Risk Management Market Risk Credit / Counterparty Credit Risk Excel/VBA/Access expert

MR Sa... B...

...

MANTES-LA-VILLE 78711 Fr

Dans les secteurs d'activités suivants:
Banques d'investissements / Chambre de compensation

Domaines de compétences:
Programmation, Finance de marché, Gestion des risques de marché

Directions concernées par les interventions:
Direction Financiere Direction Générale Direction informatique

Types d'interventions:
Production Développement Base de données

Formations suivies:
EM LYON
INSA LYON
Lycée du Parc

Etudes:
Quantitative Finance
Informatique + Mathématiques appliquées


Présentation

Senior Risk Analyst
Risk Management | Market & Credit Risk | Strategic Market Analyses

A dynamic and people-oriented
professional with over 8 years of experience advising financial institutions on
operating procedures and business practices in risk analyses with regulatory
requirements and accreditation standards.

Thrives in highly
complex and challenging environments, researching rules and regulations,
creating high-impact market strategies and implementing procedures, to manage risk
analyses and optimise performance.



§ Risk Analyses

§ CDS
Risk Production

§ Stress
Test & Analyses

§ Scenarios
Calibration



§ Quantitative
Finance

§ Financial
Risk Management

§ Margins
Simulation

§ Interest
Rates & Derivatives



§ Process
Improvement

§ VaR |
StressedVaR

§ Backtesting

§ Applied
Mathematics



PROFESSIONAL
EXPERIENCE
LCH.CLEARNET (the London Clearing House), Paris Opéra June 2016 - Present

Senior Quant Risk Analyst - CDS singleName
& Indice


§ Effectively manage the CDS Risk production including checks/improvements of margins calculation,
sending out reports to the regulators, and inputting files generation with
strong knowledge in MtMs, NPV, Upfront fee, Duration, CS01 and Spread Bid/Ask

§ Perform margins modelling
using SAS tool and conduct Stress Tests, scenarios calibration, validation with
the second line. Monitor cross trades between
LCH members and detailed explains

§ Create Excel/VBA tools such as liquidity charge,
margins replication, and generation of index/SN bid-ask
csv files

HSBC,Paris Champs Elysées Jan. 2014 - June 2016

Senior Market Risk Analyst -
Interest Rates and Derivatives


§ Streamlined the development and automation of local
processes related to emails mandates sending, Paris/London global production and
ZC bonds calculation for inflation bonds

§ Reported on vanilla and structured Rates desks
(Greeks, VaR, SVaR, new deals)

§ Executed Greek based and full revaluation comparison on a list of vanilla bonds and swaps (Raven
pack)

§ Efficiently conducted stress testing (Volatility x IR Shocks)
and back-testing (daily process), followed up by regulatory and audit requests
(ACP, PRA)

SOCIETE GENERALE CIB,Paris La Défense July 2010 - Dec. 2013

Front Office Commando - Exotic
Interest Rates


§ Developed skills and learn more about bond, IR swap,
callable swap, quanto swap, basis swap, bermuda swaption etc.

§ Enhanced tools for the Trading desk including Greeks,
trades booking and EOD risk assessment. Delivered assistance and excessive training
on Excel spreadsheets and contribution tools (Marx, Cockpit, and Matrix)

§ Managed the production of the valorisation and risk
analysis of the desk

§ Liaised between the different entities including support,
trading, sales, IT, and Quants

Additional Experience:

SOCIETE GENERALE CIB, Paris La Défense | Front Office Commando - Equity
Finance Delta One | June 2009 - June 2010

BNP PARIBAS & IBM (BP2I), Geneva, Switzerland | Evolution of the Current
Information System BP2i | 2008 (Trainee)

PITTET ASSOCIÉS, Geneva/Lausanne, Switzerland | Actuarial Calculation
| 2007 (Trainee)

EDUCATION
EM LYON Business School, France 2008 - 2009

Quantitative Finance
Specialized Master (Msc Finance Postgraduate program) directed by Dr. François
Quittard-Pinon


INSA LYON, France 2003 - 2008

Master’s in Information
Technology & Applied Mathematics Engineering


Lycée National du Parc, Lyon, France 2000 - 2003

SKILLS / OTHER
Foreign Languages: French
(mother tongue), English (fluent), German (good level)

IT: Excel/VBA, VB, C#, SAS
Code, Access DB, Oracle SQL (PL/SQL), Microsoft .Net framework

Extra-Activities: Football, Fitness,
table tennis, hiking, climbing, mountaineering courses (beginner), expeditions

Divers

Formations animées:

Outils informatiques maîtrisés:


Langues: En Fr De

Quelques références:
LCH / HSBC / SOCIETE GENERALE / BNP

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