Junior - Assistant à maîtrise d'ouvrage BALE 2

WORK EXPERIENCE

NATIXIS CIB – Risk Department – ERM - Enterprise Risk Management
03/2019
Project Risk Manager : IRB Repair Program, TRIM remediation and internal models redesign (PD, LGD, CCF)
Context : Redesign of internal models to comply with ECB recommendations based on TRIM on-site inspection
 Coordination and follow up of ECB Findings on Banks and corporate perimeter (24 Finding, 4 Obligations)
 Review of the current methodology of the internal model
 Quantitatives model redesign :
PD Corporate (TRR model)
LGD models (Corporate Unsecured, Pojet, Aicraft, Immo, Specialized lending)
CCF
 Draft specific documentation and guidelines for asset classification
 Implementation of Basel 3 requirements for Standard Approach (Input/output floor, external ratings)
 Draft reporting documentation for risk committee
 Preparation, animation of the Project and Steering committee Natixis & BPCE (head office level)

SOCIETE GENERALE – Risk Department Head office
-03/2019
Risk Manager : Model Risk Management Program (Credit Risk model : PD, LGD, CCF)
Context : Remediation plan based on ECB Targeted Review of internal Models (TRIM)
Credit risk Model review
 Follow up of the ECB final letter witrh Findings related to Corporates and FIS Models
Design and set up new inserted within Expert committee process
Cartography of all credit risk internal models and validation of the application perimeter
 Perform the Gap analysis (validated application perimeter vs current application) and set up remediation
plan with corrective actions on production
Backtesting and stressting LGD & PD models methodology
Follow up recommendation and reservation on TRIM Mission made by ECB based on
The implementation of CCF models (TLWDP, Revolvers)
Corporate and SME model application perimeter (Exposures, Guarantees, Haircuts and collaterals)
Calculation of group metrix RWA, LE, ECL,
Set up internal process to improve quality, automatisation
Set up of MRM referencial for PD LGD and CCF models
Simulation and impact Analysis on RWA Due to new calibration and correction of models
 Design and calibration of the new LGD workout model (Large corp & SME)

CACF - CREDIT AGRICOLE Group
to
Project Risk Manager and Organisation : NPE-FBE and new Default definition
Set up Governance Projet (Project committee, Risk committee and Steerco)
Follow up the implementation plan across CACF entities (8 countries within Europe)
On site mission to follow the progress of the different projects
Definition of methodologies related to treatment of multiple default
LGD segmentation
Methodologies of backtesting
RWA weighted by numbers of contracts
Convergence of default definition with Bucket 3 IFRS9





DEXIA CREDIT LOCAL –Paris
 

Project Manager IFRS9 - n charge of the Implementation of IFRS9 across DCL Entities (Paris, New York, Dublin, Madrid)
Validation with Norms of IFRS9 standards for asset valuation (SPPI, NSPPI)
Business requirement and General Functional Specifications
IFRS9 Standards calculation (Business Model, Portfolio, classification and coverage)
Asset valuation (L&R, Derivatives lines)
 Mark to Market Valuation and PV calculation
 Audit calculation methodology and implementation in IT systems
 Following ECB findings and set up remediation plan with the Business
Follow up the impairement by bucket (B1, B2 & B3)

Since 06/2015 – 07/2016

BNPPARIBAS CIB – WEALTH MANAGEMENT (Singapore branch )
Project Risk Manager - In charge of the follow up of Risk regional project in APAC (BCBS 239, RaDaR, Anacredit, Basel II, NPE-FBE…)

Follow up of the regulatory requirement related to NPE-FBE Exposures
Identification, Reporting and monitoring of MPD, NPE-FBE (with key indicators and Business Rules)
Shortfall monitoring and collateral valuation (Daily basis)
Monitoring of irregulars over credit limits (Out of authorizations, Excesses over credit limits and
collateral shorfalls)
Monitoring of Regional credit activities and reporting
Business requirement and General functional Specification (Agile Methodology)
Draft scenarii for testing plans
Implementation of a business tool for Paris, Geneva and Hong kong
Follow up IT development wit IT teams based in Chennai (India)
Provide the group with key data for LCR and NSFR calculation
Draft support for steering committee


10/2014 - 06/2015

BNPPARIBAS CIB – CORPORATE & INVESTMENT BANK
Project Risk Manager – Industrialization of the GRR Ex-Post data Collection Process (PD & LGD
models)

Diagnosis of the current models used across CIB Coverage & Metiers
Review and comparison of the GRR EA vs EP
Recommendations to the group for re-calibration GRR models
Set up and implementation of the target operating models across CIB regions (Middle East, APAC,
North America and Europe)
Coordination of GRR Spreadsheets quarterly collection for regulatory reporting
Organisation and Reporting for monthly the Steering committees (Head office and CRO)


01/2011 - 10/2014 :
BNPPARIBAS – GROUP RISK MANAGEMENT
Consultant Risk Manager : Basel II Project : GRR Back testing (Loss Given Default) and PD (Probability of default)

Collection of data used for GRR Back testing calculation across Region, coverage and metier for
Corporate & Financial Institutions, Capital Market
Collection of data necessary for GRR Ex post calculation on doubtful files
Calculation and validation of the GRR ex-post for Corporate, Sovereign, Financial institutions and
Capital market exposures
Monitoring of derivatives exposures
CVA/CVI measurement at default
Improvement and reliability of the quality of the data required for GRR calculation
Set up of “Data Quality” process for calculations.
Participation to the WL/DD committee,
Analysis of Doubtful Report and management of complex restructuring
Insure the coordination of quarterly Data collection campaigns with local Finance, CRC and VPG
Set up of Risks Reporting and anomaly reports
Analysis and responses to the regulatory requests of the ACPR based on GRR calculation
methodology (in relation with B2C)
Validation to Advanced Approach (IRBA) for entities of the group (BNL, BPLS)
Implementation of GRR Spreadsheet procedures within WL/DD committee (Risk-IM and CIB)
Amendment of Risk Corporate procedure for WL/DD counterparties
Preparation of the Steering committee support and assistance to the head of project

Global deployment of the DALI tool across CIB Region for the management for Recoveries collections
Gap Analysis between local and central systems
Mapping of the data between local and central authorizations Id (Facility level)
Analysis of the Net Accounting Value (IAS Approach)
collection of the impairment movements
deployment over 15 CIB implantation of the Group BNPP (Central Europe, Est – Americas)
Impact analysis over local implantations (Geneva, Singapore, New York, Milan)
Reconciliation of Accounting and Risk data to insure the reliability of Reporting
Insure User trainings and assistance (level 1)
Drafting of the User guides for internal tools, applications and GRR Back testing Methodologies

2009/04 – 2011/01 : ATOS CONSULTING
SOCIETE GENERALE – Risk Department Head office

Consultant Risk Manager
Basel II Project : Credit Risk / Facility and Counterparty Rating

Set up and review of Economic and financial rating models
Validation of the Specific rating policy
Draft of the Guidelines for rating workflow
Impact analysis with systems
In charge of the formalization of derivative rating procedure for holdings & subsidiaries
draft of functional specifications & management rules
Set up of a workflow for ratings for French Retail Banking branch (BDDF)

2008/05- 2009/04 : KPMG CONSULTING
BNP PARIBAS CORPORATE & INVESTMENT BANK

Consultant – Business Analyst
Atlantic Project : (Loan IQ) Paris & New York : Risk & Structured Finance
Risk (In charge of Risk interface)

Draft of functional specifications
Validation of data used for Capital calculation
Functional testing
Follow up of the applicative evolutions

Payment SWIFT (In charge of Payment interface - swift)
Guidelines for SWIFT messages MT103 & MT202
Set up of payment instruction related to the interface
Set up & validation of the accounting schemes for accounting registrations
Testing of the functionalities of the interface with back office teams (Paris & New York)
Users Training and assistance

Depuis Octobre 2007 : MALTEM
SOCIETE GENERALE BANK & TRUST (Luxembourg) – Corporate & Private Banking
Consultant MOA
Règlementaire Bâle II
 Reporting COREP/ FINREP (normes IFRS7)
 Fiabilisation de la qualité des données du flux BCE
 Traitement des évolutions de versions Impayés sains et contrats renégociés (impact COREP/FINREP)
 Coordination avec les filiales Private Banking (Suisse, Grèce, Hong kong et Singapour)
 Rédaction des spécifications fonctionnelles
 Cahier des charges /Plan de test et recette fonctionnelle
 Analyse des restitutions par lignes métiers(RW, RWA, FP…) du calculateur central Fermat
 Travaux de cohérence comptable (outil 2CRC)
Risque de marché
 Fiabilisation des enregistrements des CDS
 Calcul de CVaR sur opération dérivés (CDS, Exotiques)
 Etudes risques sur la remontée des produits dérivés (Futures, Swap, Changes, Taux, Options, Prêt emprunt de titres, Dépôts…)

De Janvier à Septembre 2007
Banque Fédérales des Banques Populaires – BFBP
Consultant MOA – Risques de Crédit Bâle II
Projet Pertes et Défaut (LGD)
 Calcul des taux de pertes économiques (LGD) sur les encours en défaut retail et corporate.
 Modélisation des algorithmes pour le moteur de calcul par typologie d’engagements
 Étude sur les Portefeuilles de créances dans le cadre des recommandations de la commission bancaire
 Plan de recette fonctionnelles, suivi et PV de recettes sur les filiales du groupe.
 Conduite de réunion avec les filiales.
 Accompagnement des banques dans la compréhension du modèle de données « Pertes ».

Juin 2004 – 31 Décembre 2006 : ATOS CONSULTING
BNP PARIBAS GROUP RISK MANAGEMENT – GRM
Consultant MOA – Risques de Crédit Bâle II
Projet : Oméga – Cadre : Périmètre Corporate de la Banque de détail France
 Rédaction de la note de Cadrage sur la mise en place du projet
 Définition des standards de qualification
 Analyse des flux en sortie des moteurs Calcul : Capital économique, Provisionnement base portefeuille, Grands Risques (Ratio Bâle II)
 Rapprochement comptabilité risques
 Préparation des supports de Comité de pilotage

Mai 2004 – 31 Décembre 2006 : ATOS CONSULTING
SOCIETE GENERALE
Consultant MOA - Analyse Risques de Crédit Bâle II
Projet : Collecte des Engagements du groupe SG
 Collecte et Analyse des engagements de crédits et Financements pour les branches SGCIB, GIMS (PRIV, SGSS, SGAM FINANCE, BOURSORAMA), BHFM
 Analyse du risque sur les engagements (Pays, Contrepartie, Portefeuille…)
 Assistance aux Applications Emettrices
 Formation des Utilisateurs
 Rapports d’anomalies sur les alimentations quotidiennes et mensuelles
 Tests de non-régression
 Assistance à la mise en production des Flux et transmission aux applications de Pilotage du Risque (EMG, PRISM, GCPM, CAPRIS, GRR, 4C…)
 Conduite du changement liée aux évolutions de versions
 Enrichissement du modèle de données «Collecte »
 Collaboration sur des problématiques risques transverses
 PMO
• Suivie budgétaire et validation des consommés MO/ME
• Suivi d’avancement de travaux, formalisation de planning et plan de charges
• Mise à jour des tableaux de bord
• Consolidation et Reporting aux directions Comptables et Financières

2003 – 2004 (4 mois) : ITRAS CONSEIL- Groupe A.F.C (Alti Financial Consulting)
METAL ALUMINIUM COOPER – MALCO (TRAFIGURA GROUPE)
Trading Export sur Commodities
 Achat / Vente à terme de matières premières secondaires (cuivre, aluminium, laiton...)
 Fixing LME.
 Analyse du Risque clients
 Mise en place de notation interne et Rating
 Mise en place des couvertures (Swap, Futures, …)
 Financement export et Négoce sur la zone Asie (Chine et Inde)
 Crédits Documentaires et lettre de Crédit

2003 – 2004 (6 mois) : ITRAS CONSEIL- Groupe A.F.C (Alti Financial Consulting)
BIAC – Banque Mondiale (Congo) Banque Internationale pour l’Afrique au Congo
Middle Office et AMOA sur financements Export/Projets
 Assistance a Maîtrise d’Ouvrage sur le projet LAMBDA (équivalent du projet MONEO) :
Audit auprès des commerçants et des PME,
Expression de besoins,
Rédaction de cahier des charges,
Déploiement du module sur différents sites de la république
Assistance technique utilisateurs
 Mise en place de Facilités sur les financements de projets sur les zones Afrique Centrale/Sud
 Analyse et traitement des Crédits documentaires.

2002 - 2003 (12 mois) : CALYON Corporate and INVESTMENT Bank
Middle office Financements Internationaux
 Financements de projets
 Fixation taux et indices via REUTERS
 Financements structurés maritime et aéronautique
 Fusions/Acquisitions/LBO/Syndication de crédits
 Modélisation des conventions de crédits et mise en place des chemins de règlements (message Swift, MT103, 202…)
 UNILOAN et UNILOAN IHM,WINGS