Matthieu - Business Analyst WORD

Project Manager

- Creation of a database of third party suppliers and contracts
- Writing specifications
- Creating an interface for administration and Reporting
- Integration of the database in the current IT structure

Pricing OTC Business Analyst

Build an internal tool who could received valuations from counterparty, quants Team and send valuations to accountant, Risk
& Sophis

Risk Analyst

Analyze EBITDA @ Risk for European Country (Hungary, Poland, BeNeDeLux)
- Run Quaterly calculation
- Validate Monte Carlo price scenarios for Commodities, Electricity and CO2
- Test and implement new calculation
- Develop an Excel VBA Macro to automate reporting

- Develop an Excel VBA tool to calculate the long term liquidity Risk using the CBC methodoly (Counter Balancing Capacity)
with different parameters and scenarios (Repo Rate, Price)

Integration Team

- Product change manager responsible for the integration of old ABN Amro portfolios onto the FIM platform.
- Developed an Excel VBA tool that allowed the reconciliation of internal and external data used for uploading intialization
positions into the FIM PMS – Decalog

Risk Management Business Analyst

- Rationalize Internal and external Data Providers for the purposes of reducing calculation runtimes. The project involved four
areas of risk:
o Market Risk
 Review calculations for each class of instrument to the contribution onto the sensitivity and the total
derivative exposure
 Set up the Calculation of Greeks, in Black or Black and Scholes, for option
 Creat pricer for vanilla using the implied volatility.
 Set up of an option pricing tool.
 Implementation of a new instruments risk exposure calculation (Variant Swaps, multi-underlying options,
CDS)
 Set up index database (Equity, bond & Composite) with split by underlying, maturity, sector
o Credit Risk
 Issuer rating
 Implementation of an internal Algorythm for Issuer and Issue rating
 Calculation of limit on issuer by fund, by investment area and global exposure
o Counterparty Risk
 Review the calculation methodology of the counterparty risk on OTC instruments
o RiskMetrics
 Calibrat exports for portfolio daily upload position into RiskMetrics.

Equity Derivatives Risk Management Project Manager

Follow the production of daily and weekly Risk stress tests and VAR (Quality and Performance)
- Create a VBA macro to automate reporting
- Implement new risk Indicator (Vega in VAR calculation, new historical crisis stress scenario

European Program Sales Trader

- Execution trader for worldwide client on European markets
- Execution with limited price, VWAP, guarantee VWAP
- Promote program trading, research, DMA and connectivity
- Prospection of new clients

Buy Side Trader

- In charge of the dealing desk (3 person team, 9 month)
- Trade US, Scandinavian, East European and Japanese Stock
- Manage broker fees allocations and autorized list =
- Development of futures and option dealing desk
- Creation of VBA tool in order to check monthly payment commission for futures and options broker