Youssef - Assistant à maîtrise d'ouvrage C++

Risk Management
NATXIS – CONTREPARTY RISK - SENIOR
Role Fixed income Quantitative

Pricing of counterparty risk for interest rates

Design and writing functional specification documents for the interest rate derivatives products.

Counterparty Credit Risk in Interest Rate Products.
This products include FRA, Cap&Floor, Swaption, FxSwap, Swap and Cross Currency Swap.

writing functional specification documents for Bermudan and European Swaptions pricing models.

Analysis of the risk exposure.

Follow daily the limits of the risk exposure.

Undertake the necessary portfolio analysis according to the introduction of a new deal.

Undertake the daily evaluation and analysis of the Counterparty Credit Risk.

Rate Setting Redesign

Validation and certification the new valuation methodologies for the pricing.
Before the financial crises the differences between interest rate swaps for different tenors were not considered significant. Multi-curve setups take into account these differences as well as collateralization and create an integrated market for all derivatives.

Redesign and implementation of a generic code in Rate Setting application - Matlab engine redesign, under the FrameworkAgreement 2010/S.

Exotic & Structured Products IT Quant

DEXIA - MODELING DESK - SENIOR DEVELOPER
Role : C++ Fixed income Quantitative developer and integration with OpenLink front office system.
Design and implementation of a generic Interface and Financial library.
Implementation of Inflation and Bermudan/European Swaptions pricing models in C++ and integration with OpenLink front office system.

SABR Implementation for the IBOR and CMS products.
Design and implementation of a generic risk engine module to generate SABR parameter sensitivities (Alpha, Beta, Rho and nu for IBOR and CMS products). Interfacing with Murex Viewers to enable the visualization of all the figures and display this new sensitivities in the viewer with user defined sensibilities.

Implementation two curves Project : All products in the library were priced by computing the estimated forward and the discounting bond on the same Zero-Coupon curve.
The new definition curves will distinguish the estimation rate curve from the discounting rate curve.
Each Greek sent to Murex must be linked to its reference curve.
C++ code optimization and clean-up.

Exotic & Structured Products IT Quant

DEXIA - MODELING DESK - SENIOR DEVELOPER
Role : C++ Fixed income Quantitative developer and integration with MUREX front office system.

The Modeling desk provides pricing modules for structured products based on fixed income instruments.
This work is done in collaboration with the quantitative analyst writing functional specification documents or by integrating part of their code into our Library.

Design and implementation of pricing models in C++ and integration with Murex and OpenLink front office system.
Implementation of a replication method for the valuation of CMS products
Valuation of several Interest Rate Derivatives.
Migration of OpenLink system to Murex system.
Design and implementation of a generic risk engine module to generate market risk sensitivities (Delta,Cross Gamma,Vega and cross sensi for Quanto products) on a daily basis. Interfacing with Murex Viewers to enable the visualization of all the figures.
C++ pricing trading Deal (NPV + Greeks) into Murex (via the Flex API).
Interfacing financial Library with Excel using XLL.
C++ code optimization and clean-up.

Mathematics and scientific computing teaching and research centre
Applied probabilities research.
Role : Pricing and heding of double barrier Options.
PREMIA is an option pricer developed by INRIA and ENPC, I am in charge to develop in C a pricing model double barrier Option by using trinomial tree approach and integration in the software.
In charge of the validation and test phases of pricers developed by the research team.
Modification and improvement the existing code.
Analysis on the domain of Low discrepency sequences to accelerate the simulations