Sheedy - Consultant C++

PROFESSIONAL EXPERIENCES

Chappuis Halder & Co, Paris – France Jan 2019 – Today
Global Research & Analytics, Senior Consultant
• ACPR - EEPE | BNP Paribas - Assessment of a capital add-on designed to compensated deficiencies and inaccuracy of several pricers
on all asset classes, review of the collateral pricing methodology, validation of volatility model for vanilla and exotic products
• Model Risk Management (MRM) | Société Générale - Overhaul of the IRB framework of credit models in the context of Basel IV
(HAUSSMANN Program), guarantee of overall compliance to regulators, back testing and validation of models, standards conception
• Counterparty Credit Risk | BNP Paribas - Review of answers to ACPR’s recommendations related to the EEPE or RWA computation,
IMM-CCR model validation that assess compliance to regulatory requirements as Basel III/IV, TRIM, for regulators (ECB)
• Credit Risk | Société Générale - Modeling and calibration of Basel parameters (PD, LGD, EAD, EL, UL) on Retail and Corporate models
• CCP Stress Testing | BNP Paribas - Audit of stress testing framework and assessment of the ST exposure methodology toward CCPs
• White Paper | EONIA - €STR transition, €STR stochastic modeling and analysis of times series features, model calibration

Hiram Finance, Paris – France Mar 2018 – Nov 2018
Quantitative Research, Consultant
• Market Risk | Review of quantitative models on multiple assets (Black & Scholes, Vasicek, Hull & White, HJM, Libor market model)
• White Paper | Rough fractional stochastic volatility (RFSV) model, 2nd order Value-at-Risk by Fourier transformation

Leed Consulting, Paris – France May 2016 – Feb 2018
Risk Advisory, Consultant
• Market Risk | La Banque Postale - Redaction of methodological, technical and functional documentations, assessment of an internal
tool (RISK+) for calculation, monitoring, back-testing and stress-testing of market risk (Value-at-Risk, Expected Shortfall, FRTB, IFRS)
• ALM - Liquidity Risk | Société Générale - Assessment of liquidity gap measurement techniques and regulatory metrics (LCR, NSFR)

Natixis (GMO, BPCE Group), Paris – France June 2014 – Dec 2014
Fixed Income Trading – Intern
• Trading Strategy |Market making of bonds and CDS in CEEMEA zone, implementation of Bond-CDS basis strategies
• Credit Structuring | Designing, structuring, pricing of credit products and solutions for EM investors and borrowers