Romain - Business Analyst VBA
Ref : 190822D001-
SW49HS LONDRES (Royaume-Uni)
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Consultant, Consultant fonctionnel, Business Analyst (39 ans)
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Freelance
National Australia Bank London 2015 - 2018
Interest Rate & Business Loans Structurer – Past Business Remediation project
− Executing pricing requests from the different channels
Pricing of fixed rate loans, based on IR swaps levels (deals up to GBP 10 million)
Pricing of structured hedging products (Swaps, Caps, Collars)
− Trade Execution
In liaison with the Business and Trading teams, executing original products termination and alternate products
settlement when agreed with the customers
− Resolving ad-hoc requests for management and legal department
− Executing ad-hoc quantitative analysis for the desk
BNP Paribas London 2015 (5 months)
Quantitative Risk Analyst – Transversal quantitative projects
− Prudent Value industrialization
Responsible for the implementation of the reserve calculation of the whole scope of Interests Rates, FX, Equities, Indices and
Credit activities in the new risk systems (650 items)
Figures production for the FRTB September negotiation
− P&L Explain project
Review of the methodologies applied on the IR, FX and Equity scope
Reviewing and optimizing the VBA tools made by the Quant team
HSBC Bank Plc London 2013 - 2014
Interest Rate Structurer – Past Business Remediation project
− Interest Rates Derivatives pricing
Generating Mark-to-Market and past cash-flows for existing products
Pricing requests from the Review Team, Legal Department and Audit team Pricing of Swaps, Caps, Collars on Libor and Base
Rate, from 2001 to 2011
Products proposal based on PFE analysis and Greeks analysis
Margin management
− Redress Calculation
Pricing structures after model calibration and generating past cash-flows under the original and the proposed products
Original products: Swaps, Caps, Collars, Participating Swaps, Structured Collars, Caps With Knock-In Floors, Swaps with
embedded Caps
− Redress Implementation
Booking of accepted redresses on Summit
Tear-up of existing products in relation with the Trading desks
Implementation of payment to customer and HMRC
− Novated deals supervisor
Responsible for all the calculation and implementation aspects on Novations
Participating to the British Bankers Association meetings for Novation process negotiation
Credit Mutuel Arkea Brest 2012-2013 (6 months)
Trading Assistant on Treasury & Funding and Prop Trading desks
VBA tools development:
− Program generating results for every desk (Origination & Distribution, Treasury & Funding, Prop Trading)
Goal: identifying and ending expensive activities for the Department
Benefits: end of activities for a cost over EUR 30 million (2012 figures)
− Program compiling payments to come and sorting it by Index
Goal: reducing funding cost
Benefits: identifying opportunities to swap against OIS (EUR 12 million, 2012 figures)
Portfolio Management: Generating strategies for regulatory liquidities (LCR) in order to maximize the portfolio
return
− Building and back-testing a strategy based on European bond tails (under 3 months to maturity) for a EUR 3 billion portfolio
Natixis GAPC Paris 2010 (6 months)
Internship as Structuring Assistant on Credit Derivatives desk at Natixis workout portfolio management
− Portfolio Management: managing an ABS and CMBS portfolio under the control of the European
structuring team
Daily operations and payments
Quarterly payment to investors
− Hedging Operations booking for other structured portfolio or CDO
CDS, Forex and Money Markets operations
FORMATIONS
Toulouse Business School (AACSB, Equis and AMBA Accredited) Toulouse 2008-2011
Master in Banking and Financial Markets
Quantitative finance orientation
M.Sc. Thesis: a correlation study and performance replication of Market Neutral Hedge Funds
Toulouse Paul Sabatier University Toulouse 2006-2008
Degree in applied mathematics for engineering and aeronautics
B.Sc. Thesis: Discrete convolution product, algorithmic implementation to large-scale matrix,
application to picture-processing
Lycée Saliège Balma 2002-2005
Preparatory school for admissions in engineering schools
− Mathematics: Analysis, Algebra and Geometry
− Physics: Electronics, Mechanic (point, solid and fluid), Waves, Thermodynamics
− Chemistry: Organic, Mineral, Quantic Mechanics for Chemistry
Lycée du Castella Pamiers 2002
High school diploma equivalent with a mathematics and physics specialization
Ranked 14th at the French Mathematics Olympiads
SKILLS
Area of Expertise IT Skills
- Derivatives Pricing
- Product Structuring
- Risk Management
- Interest Rate Derivatives
- Equity Derivatives
- Quantitative Analysis
Word, Excel, PowerPoint, VBA, Python,
Summit, Calypso, Bloomberg