CV/Mission de Consultant CarLo freelance

Exemple de missions de S,
Consultant CarLo habitant Paris (75)

• Product Control – Global Valuation Group - Equity Derivatives

  HSBC, Paris
  Jan 2017 - aujourd'hui

  Consultant on for Product Control GVG Equity Finance - IFRS9 Project
  
  IFRS9 aspect of the project consists of changing the pricing methodology from accrual calculation to Mark to Market.
  
   Scope of trades: Reverse Stock Loan, Money Market, Funding Trades, Non Cash SBL,...
   Elaborate an IPV methodology
  
  Specific Deal Valuations
  
  Reserve Calculation on Equity Derivatives Books
  
  Reserve
  IFRS9
  
  HSBC, London
  Fixed Income Derivatives IT
  From September 2016 to October 2017
  
  Front Office Credit Derivatives Business Analyst on the Risk FSA Project
  
  Risk Future State Architecture consists of:
  • Externalizing Risk and P&L for all: Instruments, Products, Entities from monolithic Primary Trading System such as Calypso and Murex using series of Risk Shared Libraries, Components and Services
  • Implementing Risk Storage capable of servicing Finance, Traded Risk, Front Office and Middle Office
  • All downstream business functions improved and IT change enable
  
  Scope of work: Credit business Business across all PTS, mainly Calypso and Murex.
  
  The IT development team works within an “agile” development methodology i.e. evolutionary development, early delivery and continuous improvements.
  
  • Analysis of the current situation:
  o Trade booking in Calypso: CDS, CDS index, Nth Loss, Bespoke trades, Repack Products…
  o Trade Message and Repository
  o Pricing models assigned to instruments
  o Market Data: quotes and curves construction and calibration
  o EOD analytics process
  o Calypso/Murex various analysis
  
  • Gap Analysis:
  o Identifying gaps and fits between the current and target on demand & EOD P&L/Risk Processes included trade and market data feeds, trade representation, Pricing Libraries
  o Writing Front Office Business Requirements with respect to the Term of Reference
  o Analysis of downstream feeds consumed by Traded Risk and Product Control, affected by VS Externalization
  
  • Structure Rate Product Platform (Spirit):
  Spirit is an Excel-based pricing tool linked to VS that can be configured to compute analytics
  o Product coverage extension to Credit Derivatives Business
  o Pricing and Risk reconciliation between PTS values and Spirit/VS

• Quantitative Business Analyst on the Orchestrade Implementation Project

  CA CIB, Paris
  Jan 2016 - Jan 2016

  Orchestrade in the Front Office system chosen by CA CIB to support the fixed income / credit / hybrid activity.
  
  • Determine solutions to how complex trades, including funding packages should be booked in Orchestrade 4.0.3 and assist in implementation of these solutions
  • Vanilla trades and exotic such as Bermudan swaption, spread CMS, target option, autocall, formula product
  • Pricing & risk reconciliation between Infinity (in house pricing models) and Orchestrade, the risk and P/L numbers associated with these complex trades
  • Liaising between Orchestrade support, Analytics department and Front Office to define Business Process and Reports
  • Carry out investigations into risk and P/L anomalies
  • Conduct specific tests of Orchestrade

• Sophis Quantitative Project Manager / BA for Equity Derivatives desk: RWA Project

  HSBC, Paris Equity Derivatives IT
  Jan 2015 - Jan 2016

  RWA project consists of generating 1000 scenarios over 135 dates on trade risks factors and running trade’s position valuations. Counterparty and referenced books aggregated positions.
  
  • System architecture design and process orchestration: retrieve trade position and market data, integration of a scenario services (Risk owned component) to generate risk drivers and risk factors, API interface to the Pricing Library, output data to send to downstream system
  • Proof of concept testing
  • Functional Specifications: data mapping, position reconciliation,…
  • Project plan / assessment
  • Development team management (2 developers)
  • Weekly Kicker IT meeting: direct reporting to the global head of IT
  
  Reference: Christophe Tabacznyj – Global head of Equity Derivatives IT – ********

• Sophis Quantitative BA for Structured Equity Derivatives (SED) desk:

  Natixis, Paris Equity Derivatives IT
  Jan 2011 - Jan 2015

  • Coordinating actions between Quant / Risk / IT to deliver evolving pricing & risk methodologies implemented in Sophis Toolkit
  • Analysis in all areas of booking, modelling, pricing and structuring equity products including equity swap, correlation swap, CPPI, autocall (various flavours) and hybrid products
  
  • Global Specific Stress Test Scenarios project:
  1. Interviewing Risk Managers and writing business requirements in order to compute PVs and sensitivities and load results into an in house system (OLAP Cube) using pre defined single and cross scenarios
  2. Production support including PV & sensitivities analysis and explanations
  • Various quantitative projects testing like Parametric equity Smile Calculation (hyperbolic tangent method), Equity Correlation Risk project: use of AD methodology (Algorithmic Differentiation):
  
  1. Cases study definition in collaboration with the quant team
  2. Unit & non regression testing
  3. Global P&L and Risk Impact
  
  • Production support of risk indicators addressed to Trading and Risk Department:
  
  1. Greeks and Stress Scenarios support provided to the Trading Desks and the Risk Production Department
  2. Quality control of risk measures: set up data analysis process on risk results based on density-based clustering algorithm (DB-SCAN). The idea is to detect unstable sensitivity results of trades / risk factors on a predefined period of time and to provide explanation
  • Reserve Calculation
  3. Monthly Dividend term structure and model reserve (Buehler Model) and weekly Local Stochastic Equity Vol. reserves provided to Risk Team: development of scripts in order to automate the calculation and the reports
  
  Reference: José Luu – Head of Scientific Computing – ********

• Business Analyst

  Commerzbank, London Summit
  Jan 2010 - Jan 2011

  Business Analyst on Summit for Interest Rates and Credit Derivatives desk:
  • Total Return Swap: Booking and analytics specification of various flavours of TRS
  
  • Global Stress Test:
  1. Writing Requirements / Specs, testing internal development on Summit and in house systems
  2. Implementation / modification of global and ad-hoc (credit portfolio specific) stress tests
  3. Additional regulatory requirements of Stress Tests for Credit VaR, IRC, Standard Approach: Inclusion of significant risk factors that are not part of HistSim
  • Basis Swap project:
  1. Full lifecycle project (gather BR, writing specifications, testing) in partnership with Misys to support index and index volatility basis adjustments
  
  • Interviewing and writing business requirements and functional detailed specifications on Historical VaR (HistSim) new requirements including:
  1. Loss Given Default (LGD): default simulation impact on credit derivatives portfolio P&L
  2. Incremental Risk Charge (IRC): CDS scenarios linked to rating migrations of default issuers
  3. Comprehensive Risk Charge (CRC): applied to correlation trading portfolios to capture incremental default risks, migration risks and price risks
  4. Stressed and Validation Var: Calculation of the Historical VaR on a high volatility period. Validation of the scaling factor (10 days VaR) by calculating 10-day Shifts overlap from the Market Data (e.g. calculate Shifts between days T-10 and T
  5. Regression & Unit testing
  
  • Proof on concept on new inflation module (Summit 5.2.3) to book and to compute analytics on Inflation swap, LPI swap, Inflation Cap&Floor
  • Asia Books Risk Analysis setup
  • Summit support to Front Office and Middle Office in all areas of modelling, pricing and structuring interest rates & credit derivatives products

  Reference: Peter Mc Gregor – Head of Summit Development Team Commerzbank UK – ********

• Summit Project Manager & Business Analyst

  Akbank, Istanbul
  Jan 2008 - Jan 2009

  Summit Project Manager & Business Analyst in charge of the implementation of Summit modules and of the migration of all derivatives trades from Kondor+ and various in-house applications to Summit F.T. 5.3.1:
  
  • Creating project plans and updating senior stakeholders on the progress of the project
  • Scoping the project or initiative, estimating costs and schedule
  • Managing components of the workstream plan through delivery
  • Writing of “As Is” & “To Be” documents
  • Conducting Gap Analysis sessions on Trade booking, MUST module, Analytics, P&L, Market Risk, Credit & Dealer Limits across FX, Equity, Interest Rates and Credit Derivatives products
  • Liaising between end users (Traders, Risk Managers, Middle Officers) and Summit developers
  • Training on Summit modules
  • Writing various specifications on gaps found and changes controlled
  • Unit & component testing – Support to UAT

  Reference: Dominique Vignaux – Formerly responsible for Summit Professional Services at Misys - ********

• Summit Business Analyst

  NYKredit, Copenhagen
  Jan 2008 - Jan 2008

  • Summit FT 5.1 training instructor for Fixed Income and Credit traders
  • Summit support to Front Office and Middle Office in all areas of modelling, pricing and structuring interest rates derivatives products

  Reference: Dominique Vignaux – Formerly head of Misys Professional Services - ********

• Summit Project Manager / Business Analyst

  Natixis (formerly Natexis Banque Populaire), Paris
  Jan 2005 - Jan 2007

  • From April 07: Calypso Business Analyst for Credit Correlation Trading Desk in addition to Summit Business Analyst on Fixed Income Derivatives:
  • Summit support to Front Office and Middle Office in all areas of modelling, pricing a...