Laurent - BA/PM QUANT RISK/ALM/DIGITAL

PROFESSIONAL EXPERIENCE

07/2022 – now: Bank in Paris
Business Analyst/PM MASAI PROJECT
• Business Requirements (Migration of the Accrued of assets to target architecture MASAI, Risk metrics
calculation, and Implementation Follow-up.
• TABLEAU: Business requirements, P&L and Risk Reconciliation exercise Cube active Pivot, Masai
Tables, DataPrep, Tableau
• Attendees: Risk Department, IT Department, Business department
IT skills
• PySPARK / Spark SQL (Zeppelin), Cube active Pivot, SQL Queries, TABLEAU

10/2020 – 07/2021: CNP insurance in Paris
Project manager – Coordinator: Initial Margin (ISDA SIMM) implementation
• SLA, cartography (140 Pages), and Redaction of the reference guide on SIMM (theoretical part,
process, .)
• Cross-control, project framing and follow-up
• Valuation sensitivities, and IM validation.
• Legal follow-up (CSA, ECS, ...), Roadmap, organisation of the project committee and the steering
committee
IT skills
• SUMMIT, Numerix (As user)


10/2019 – now: Insurance in Paris
Project manager – Coordinator: SIMM Project
SLA, cartography, and reference guide on SIMM
Valuation, sensitivities, and IM cross-control, project reframing and follow-up
Legal follow-up, Roadmap, coordination of the project committee and the steering committee

IT skills
SUMMIT, Numerix

05/2019 – now: Bank in Paris
Project manager - Valuation
• Customers Onboarding (Otc valuation) through the different entities in the world (Chennai, Lisbon,
UK) -SLA redaction, pricing derivatives products, tracking progress.
• Organisation and governance
• Fx Forward valuation into Calypso (with Collateral and without collateral): Curves creation and
upload, implementation, set-up and parallel run
• Python developments
IT skills
• Calypso, Python

11/2018-03/2019 (Short project): Natixis in Paris
Senior manager in transverse office department
• Established market risk exposure of the bank regarding BOR/OIS index disappearing.
• Hadoop feed, extraction and validation. Hive and PNL tool analysis (Sql) . SQL development.
• Workflow business cases (Trello/Tfs)
• Libor Project
IT skills
• SQL, Trello/tfs, Hadoop-Hive, Python (basic)

06/2018-10/2018 (Short project – Consulting company): KBL in Luxembourg
Senior manager
• Front To Back treasury Income calculation and validation (Front office , Accounting, MIS)
Management skills
• Executive Committee preparation and presentation
• One junior consultant to manage
IT skills
• Cognos TM1, Kondor

02/2018 to 10/2018 (Short project - Consulting company): EBI in Paris
Senior manager
• NSFR, ALMM, Market Risk setting-up (CRR/CRD ,EBA, ESURFI), methodological note.
• IRRBB (risk of rates) study and setting – up, commercial proposal.
• Outlier test with Economic Value of Equity
• EVE modelling (Interest rate Scenarios, Cash Flow assessment, EV calculation, EV lost)
• Assessment of the variation on the EVE and on Net Interest Margin
• Regulatory constraints
Management skills
• Executive Committee preparation and presentation
IT skills
• Excel – VBA Development

11/2017 to 02/2018 (Short project - Consulting company): Credit Foncier in Paris
Senior quantitative modeller in ALM department
• Loan prepayment modelling
• Loan prepayment Backtest (DRAC class, Delta rate (customer rate , production rate))
• model calibrations and specifications
• Perform impact analysis (MNI)
IT skills
• Excel - VBA.(Validation) / SQL server ,SAS (link ODBC) data management, SAS Developments
• Fermat : PL/SQL – Procedure creation

03/2015 to 11/2017: LCH Paris (- Huxley)
Senior quantitative risk management analyst in risk management department (methodology and
risk departments)
Historical VAR
• Value at risk modelling (historical) / Expected Shortfall for Fixed Income Products (Cashbond, Bonds
Inflation, FRN, ..) : Validation . Responsible for validating/ updating Risk/Pricing Models in VBA.
• Redaction of the Reference guide on the VAR for the regulators.
Clearer Margins (2 years) – Waterfall methodology
• SAS data management programming. (Reports , tests, simulation, reverse engineering)
• Project on different types of margins (concentration, repo forward, ..) : Retro-engineering, Firewall
(bankrupt simulation) and stress tests
IT skills
• VBA, SAS data management, SAS Developments

08/2014 to Now : FORTIS BNP PARIBAS Brussels –. Business Analyst Credit Risk (Basel III) on BMRC. In Credit Risk department
Responsibilities
Business Analyst :
Aggregates: Algorithms, SFE, EDB validation with the MOE, International commitments:
BMRC database management (Facilities, PD, LGD, EAD, RWA, provisions, guaranties, IRBA or STD methodologies)
Test Analyst :
Preparation of:
 UAT& E2E test plans
 Test Approach Documents
Participation in UAT & Dress Rehearsal activities.
IT skills :
BMRC, BMRCSql (PL/SQL), Quality Center , MS Project

04/2013 to 02/2014 : CREDIT AGRICOLE Paris-Liquidity management (Basel III CRD IV): Hybrid Business Analyst/Project Manager in IT department.
Responsibilities: Project manager role (Agile methodology)
• Team management, coaching of the development team to self-organise.
• Managing the end-to-end delivery of complex system solutions, establishing and controlling project constraints and scope. Roadmap follow-up: Release management on test and production environment
• Animation and leading of Project committee and steering committee organisation and reporting delivery to different stakeholders, relationships with liquidity sponsors.
• Communicate relevant environment planning and the major events to all stakeholders, Timely escalation of problems
• Managing the end-to-end delivery of complex system solutions
• Establishing and controlling project constraints and scope
Major achievements: Business Analyst role
• Liquefaction algorithm implementation, Provide Regulatory ratios (ERS ratios, Short term ratio LCR) , cross validations to Regulatory Returns.
• Requirements organization
• Monitors project progress by tracking activity; resolving problems; publishing progress reports; recommending actions.
• Requirements management and communication, Requirements analysis
• Prepares technical reports by collecting, analyzing, and summarizing information and trends.
IT skills :
• Internal Credit Agricole system architecture , Quality Center

02/2010 to 04/2013: FORTIS BNP PARIBAS Brussels-Business Analyst in IT department.
Responsibilities Business Analyst:
• BA on a Front to Front Treasury and ALMT assets, migration into Kondor and BNPP systems: Analysis, translation of business requirements into specifications.
• Preparation of UAT& E2E test plans, approach documents and participation in UAT & Dress Rehearsal activities. Testing and process validation.
• Day to day management of change requests in relation to the project plans. Development of the relationships with the business teams.
• Determines operational objectives by studying business functions; gathering information; evaluating output requirements and formats.
• Assisting with the business case
• Requirements organization; Translating and simplifying requirements
• Monitors project progress by tracking activity; resolving problems; recommending actions.
• Designs new computer programs by analyzing requirements; constructing workflow charts and diagrams; studying system capabilities; writing specifications
• Recommends controls by identifying problems; writing improved procedures.
• Defines project requirements by identifying project milestones, phases, and elements; forming project team; establishing project budget.
• Maintains professional and technical knowledge by attending educational workshops; reviewing professional publications; establishing personal networks
Major achievements :
• Implementation (Front to back :Middelware, xml, filters, architecture) of the announcements of the terms deposits and Sloan deals (And CIC generation) and implementation of the Call Account.
• Tool (unwind management on Zero-Coupon deals), SQL and VBA developments.
• Securitization: Completion of a pre-study and proposal of a target front to back architecture on the ABS/MBS. Follow-up tool of the ABS in collateral and funding tool development
IT skills :
• Internal BNNP and Fortis systems architecture, Queries in SQL Server / Sybase, Programming in Visual Basic to perform the import of the files, K+ and Unix.

07/2009–12/2009-THOMSON REUTERS Riyadh-KSP Financial Application Senior Specialist. Valuation
KSP (Kondor Structured Product)
I was in charge of the developments, testing and enhancements of Equities (Himalaya,..) and IR (callable range accrual, ..) structured products pricing methods through KSP calls

10/2008-FORTIS Brussels-BA on Front office FXO migration in MUREX in IT Department.
Responsibilities
I had to carry out tests on the different FXO’s strategies in Murex (Covering the full lifecycle of FXOs along with related events).

04/2008-09/2008 : JV CAI-FORTIS-CACEIS Luxembourg-Coordinator in Investment Funds Department.
Responsibilities
• Upgrade Kondor 2.6 to Kondor 3.0 and bugs identification. Coordination and project monitoring

06/2007-04/2008 : JV CAI-FORTIS-CACEIS Luxembourg-Expert in valuation of structured and derivative products in Investment Funds Department (in OTC Pricing Department)
OTC Valuation
Valuation chain setup & valuation for a large range of exotic and structured products. In that context, I acted as an expert in exotic financial assets pricing.I was also in charge of the overall project coordination (feasibility study, team coordination, testings, validation). The project was phased as follows:
• Prime brokerage project for Fx OTC option valuation. This implied implementation of the volatility Matrix and Depot Implied yield curves, pricing model validation and valuation of vanilla and exotics options (Barrier, Binary options, ..).
• Structured notes (more capital guaranteed products) valuation and modelling
• Analysis to value Variance Swap (use historic and market volatility) (Heston model)
• Analysis to value Equity and Basket Swap in Kondor, and to follow-up resets
• Valuation of the swaptions in Kondor (vanilla)
• Valuation of Break Even Inflation Swap (seasonality coefficients – inflation curve)
• Equity OTC Options in Kondor. (Volatility Curves: Bloomberg)
• Fx OTC option and others products valuation methods, Kondor Credit risk / Counterparty Risk
• Valuation of CDS (single bonds, Basket) .Spreads Markit, Building of Defaults Probability Curves Project Management
• Small team management , project follow-up, knowledge transfer
IT skills :
• Super derivatives (Pricer, Data provider), Bloomberg, Kondor. Financials products:
Financial products:
• Fx Otc options, Equity /Basket Swap , Variance Swap (Forex, Equity), Equity OTC Options, Swaptions, Inflation swaps, Structured Notes, CDS (single bonds, basket).

02/2006-05/2007-SOCIETE GENERALE Luxembourg-Business Analyst/Project Management in the dealing room
Responsibilities
Business Analyst
My mission was to address the needs of Traders and Sales persons, coordinate projects and deliver functional analysis.
• Business Analyst /Advisory restoration Project.
• New client reporting (Development of Report KSQL/ K+ and in VBA
• Business Analysis to improve Triple A system to restore data for the customers of the advisory Desk. Calculation of the investment performance in AAA (IRR/MWR against TWR method for the portfolio manager). Development MTM valuation for products rates in AAA.
• Installation of Cognos (from K+ tables)
• Business Analyst / Split of Forward K+. (Deal Gen-Treasury) and on Margin Trading on Kondor+ Project Management/Coordinator roles
Project & Test Manager
• Coordination of testing activities during every stage of the test process
• Write the Test Plans & Strategies, Project Scope, Uses Cases, Screen description, Business Rules
• Responsible for all aspects from project management as determining and managing
• Scope & schedule definition
• cost evaluation and follow-up
• risk assessment
• quality control
IT skills :
• Use of Kondor, AAA, Cognos. Programming in VBA. Financials Financial products:
• Derivatives Products. Spot, FX Swap, Outright Forward, FX options. Business Analyst

04/2005 -01/2006 -ING Luxembourg-Senior Financial Controller

04/2001-03/2005 : ING Luxembourg-Risk Manager: Assets and Liabilities Management & Market Risk control of the Dealing Room in Risk Management Department
Responsibilities :
• The objective was to measure the Market Risk, control the P&L (Daily limit reports) and the VAR of the Trading room, and to complete successfully development projects,
• Project of the building of the New ALM in the bank in order to measure and control the financial exposure of the bank. (Simulation, Excel of gapping, calculation of the duration and the sensitivity risk). Reports Development for the ALCO committee.
• Assistant of the Risk manager Director. Analysis and improvement of the dealing room control (Risk, P&L, VAR, ALM, Derivatives, gap mismatch, cash flow projection) .
• Functional Support on Fenics, Sophis, Kondor, VBA, Bloomberg, Reuters, DDs.
• Follow-up of the Securities lending, Equity swap in SOPHIS. Building of volatility curves with Kondor and use of SOPHIS to value call and put spread on index for the OPC department.
• Credit Risk (Basel II); Basel II / IAS39. Fair Value (“juste valeur”) valuation on derivatives products
IT skills:
• Kondor, Bloomberg, Reuters, Sophis, Fenics.
• Programming in VBA to support and maintain processes for gathering data, producing ALM reports and calculating prices on derivatives products.
Financials products:
• Derivatives Products on equity or index (Options, Futures, Equity swap, Securities lending),Rates Products and derivatives Rates Products (IRS, IRCS, FRA, Futures, Cap, Floor), fixed incomes, FX swaps, Spot. Repo. Use and creation of volatility matrix.

08/1999-04/2001-ING Luxembourg-Pricing agent in Investment Funds Department (in the Pricing team)
Responsibilities :
• I had to control prices, valuation of standard financial instruments and derivatives, and also validate models.
IT skills:
Bloomberg, Reuters, Telekurs.
• VBA programming: Developments to automate the prices control and to do the valuation of derivatives products.
Financials products:
• Equities, Derivatives products on equities or index (Options, Futures), Rates Products and derivatives Rates Products (IRS, IRCS, FRA, Swaptions, Futures), Bonds, Forex Products Pricing

08/1997-08/1999: Caceis Luxembourg
Responsibilities :
Middle officer in the Derivatives products Department
Major achievements: When the euro was introduced, I was responsible for the migration of derivative products on UBIX and was also controlling margins.
Technical Environment: UBIX, GFO
Financial products: Derivatives Products (Equities, Rates, index)

01/1997-06/1997-DELAHAYE GENERALE OPTIONS (Société Générale)
Responsibilities :
Assistant Market Maker on MONEP (Trainee) in Trading Department: Volatility’ Trading/Equity Options
Major achievements: Assistant Market Maker for options on shares: Trading the market volatility on the equity options. Market maker on the Belfox. Greeks management (Delta neutral, Gamma +- , Theta +-)
Technical Environment: GL Effix negotiation. Internal System
Financial products: Equity Options .Volatility Trading. Use volatility Matrix.

AXA Paris-Treasury Department
(Trainee – 2 months 1995)

CIE INTERNATIONALE DE COURTAGE MONETAIRE Paris Intermediation/Money Market – Brokerage Firm (Trainee - 5 months 1995 Trade negotiations BMTN, CD, BT, SWAP)

AVENTIS Paris
Treasury Dept (Trainee – 4 months 1994)

SOCIETE GENERALE Valenciennes & BNP Paribas Valenciennes
(Trainee – 6 months 1990 -1994)