S - Consultant fonctionnel SUMMIT
Ref : 070315B001-
75018 PARIS
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Consultant fonctionnel, Business Analyst (53 ans)
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Freelance
HSBC, Paris
Product Control – Global Valuation Group - Equity Derivatives
From November 2017
Consultant on for Product Control GVG Equity Finance - IFRS9 Project
IFRS9 aspect of the project consists of changing the pricing methodology from accrual calculation to Mark to Market.
Scope of trades: Reverse Stock Loan, Money Market, Funding Trades, Non Cash SBL,...
Elaborate an IPV methodology
Specific Deal Valuations
Reserve Calculation on Equity Derivatives Books
Reserve
IFRS9
HSBC, London
Fixed Income Derivatives IT
From September 2016 to October 2017
Front Office Credit Derivatives Business Analyst on the Risk FSA Project
Risk Future State Architecture consists of:
• Externalizing Risk and P&L for all: Instruments, Products, Entities from monolithic Primary Trading System such as Calypso and Murex using series of Risk Shared Libraries, Components and Services
• Implementing Risk Storage capable of servicing Finance, Traded Risk, Front Office and Middle Office
• All downstream business functions improved and IT change enable
Scope of work: Credit business Business across all PTS, mainly Calypso and Murex.
The IT development team works within an “agile” development methodology i.e. evolutionary development, early delivery and continuous improvements.
• Analysis of the current situation:
o Trade booking in Calypso: CDS, CDS index, Nth Loss, Bespoke trades, Repack Products…
o Trade Message and Repository
o Pricing models assigned to instruments
o Market Data: quotes and curves construction and calibration
o EOD analytics process
o Calypso/Murex various analysis
• Gap Analysis:
o Identifying gaps and fits between the current and target on demand & EOD P&L/Risk Processes included trade and market data feeds, trade representation, Pricing Libraries
o Writing Front Office Business Requirements with respect to the Term of Reference
o Analysis of downstream feeds consumed by Traded Risk and Product Control, affected by VS Externalization
• Structure Rate Product Platform (Spirit):
Spirit is an Excel-based pricing tool linked to VS that can be configured to compute analytics
o Product coverage extension to Credit Derivatives Business
o Pricing and Risk reconciliation between PTS values and Spirit/VS
CA CIB, Paris
Fixed Income Derivatives IT
From April 2016 to September 2016
Quantitative Business Analyst on the Orchestrade Implementation Project
Orchestrade in the Front Office system chosen by CA CIB to support the fixed income / credit / hybrid activity.
• Determine solutions to how complex trades, including funding packages should be booked in Orchestrade 4.0.3 and assist in implementation of these solutions
• Vanilla trades and exotic such as Bermudan swaption, spread CMS, target option, autocall, formula product
• Pricing & risk reconciliation between Infinity (in house pricing models) and Orchestrade, the risk and P/L numbers associated with these complex trades
• Liaising between Orchestrade support, Analytics department and Front Office to define Business Process and Reports
• Carry out investigations into risk and P/L anomalies
• Conduct specific tests of Orchestrade
HSBC, Paris
Equity Derivatives IT
August 2015 – January 2016
Sophis Quantitative Project Manager / BA for Equity Derivatives desk: RWA Project
RWA project consists of generating 1000 scenarios over 135 dates on trade risks factors and running trade’s position valuations. Counterparty and referenced books aggregated positions.
• System architecture design and process orchestration: retrieve trade position and market data, integration of a scenario services (Risk owned component) to generate risk drivers and risk factors, API interface to the Pricing Library, output data to send to downstream system
• Proof of concept testing
• Functional Specifications: data mapping, position reconciliation,…
• Project plan / assessment
• Development team management (2 developers)
• Weekly Kicker IT meeting: direct reporting to the global head of IT
Reference: Christophe Tabacznyj – Global head of Equity Derivatives IT – ********
Natixis, Paris
Equity Derivatives IT
August 2011 - March 2015
Sophis Quantitative BA for Structured Equity Derivatives (SED) desk:
• Coordinating actions between Quant / Risk / IT to deliver evolving pricing & risk methodologies implemented in Sophis Toolkit
• Analysis in all areas of booking, modelling, pricing and structuring equity products including equity swap, correlation swap, CPPI, autocall (various flavours) and hybrid products
• Global Specific Stress Test Scenarios project:
1. Interviewing Risk Managers and writing business requirements in order to compute PVs and sensitivities and load results into an in house system (OLAP Cube) using pre defined single and cross scenarios
2. Production support including PV & sensitivities analysis and explanations
• Various quantitative projects testing like Parametric equity Smile Calculation (hyperbolic tangent method), Equity Correlation Risk project: use of AD methodology (Algorithmic Differentiation):
1. Cases study definition in collaboration with the quant team
2. Unit & non regression testing
3. Global P&L and Risk Impact
• Production support of risk indicators addressed to Trading and Risk Department:
1. Greeks and Stress Scenarios support provided to the Trading Desks and the Risk Production Department
2. Quality control of risk measures: set up data analysis process on risk results based on density-based clustering algorithm (DB-SCAN). The idea is to detect unstable sensitivity results of trades / risk factors on a predefined period of time and to provide explanation
• Reserve Calculation
3. Monthly Dividend term structure and model reserve (Buehler Model) and weekly Local Stochastic Equity Vol. reserves provided to Risk Team: development of scripts in order to automate the calculation and the reports
Reference: José Luu – Head of Scientific Computing – ********
Commerzbank, London
Summit Business Analyst
January 2010 - July 2011
Business Analyst on Summit for Interest Rates and Credit Derivatives desk:
• Total Return Swap: Booking and analytics specification of various flavours of TRS
• Global Stress Test:
1. Writing Requirements / Specs, testing internal development on Summit and in house systems
2. Implementation / modification of global and ad-hoc (credit portfolio specific) stress tests
3. Additional regulatory requirements of Stress Tests for Credit VaR, IRC, Standard Approach: Inclusion of significant risk factors that are not part of HistSim
• Basis Swap project:
1. Full lifecycle project (gather BR, writing specifications, testing) in partnership with Misys to support index and index volatility basis adjustments
• Interviewing and writing business requirements and functional detailed specifications on Historical VaR (HistSim) new requirements including:
1. Loss Given Default (LGD): default simulation impact on credit derivatives portfolio P&L
2. Incremental Risk Charge (IRC): CDS scenarios linked to rating migrations of default issuers
3. Comprehensive Risk Charge (CRC): applied to correlation trading portfolios to capture incremental default risks, migration risks and price risks
4. Stressed and Validation Var: Calculation of the Historical VaR on a high volatility period. Validation of the scaling factor (10 days VaR) by calculating 10-day Shifts overlap from the Market Data (e.g. calculate Shifts between days T-10 and T
5. Regression & Unit testing
• Proof on concept on new inflation module (Summit 5.2.3) to book and to compute analytics on Inflation swap, LPI swap, Inflation Cap&Floor
• Asia Books Risk Analysis setup
• Summit support to Front Office and Middle Office in all areas of modelling, pricing and structuring interest rates & credit derivatives products
Reference: Peter Mc Gregor – Head of Summit Development Team Commerzbank UK – ********
Akbank, Istanbul
Summit Project Manager & Business Analyst
September 2008 – August 2009
Summit Project Manager & Business Analyst in charge of the implementation of Summit modules and of the migration of all derivatives trades from Kondor+ and various in-house applications to Summit F.T. 5.3.1:
• Creating project plans and updating senior stakeholders on the progress of the project
• Scoping the project or initiative, estimating costs and schedule
• Managing components of the workstream plan through delivery
• Writing of “As Is” & “To Be” documents
• Conducting Gap Analysis sessions on Trade booking, MUST module, Analytics, P&L, Market Risk, Credit & Dealer Limits across FX, Equity, Interest Rates and Credit Derivatives products
• Liaising between end users (Traders, Risk Managers, Middle Officers) and Summit developers
• Training on Summit modules
• Writing various specifications on gaps found and changes controlled
• Unit & component testing – Support to UAT
Reference: Dominique Vignaux – Formerly responsible for Summit Professional Services at Misys - ********
NYKredit, Copenhagen
Summit Business Analyst
April 2008 – July 2008
• Summit FT 5.1 training instructor for Fixed Income and Credit traders
• Summit support to Front Office and Middle Office in all areas of modelling, pricing and structuring interest rates derivatives products
Reference: Dominique Vignaux – Formerly head of Misys Professional Services - ********
Natixis (formerly Natexis Banque Populaire), Paris
Summit Project Manager / Business Analyst
December 2005 to November 2007
• From April 07: Calypso Business Analyst for Credit Correlation Trading Desk in addition to Summit Business Analyst on Fixed Income Derivatives:
• Summit support to Front Office and Middle Office in all areas of modelling, pricing and structuring interest rates and credit derivatives products
o Writing specifications to book FI & Credit trades including Negative Basis Trades, CMS spread option, Inflation trades, CPPI, ABCDS, LLCDS, Hybrid products,…into Summit
o Working closely with Traders, Quantitative Analysts and Model Validation Teams to define risk methods to apply to these products
o Liaising between Quants, developers, business analysts and front office
• Mar.06: Project Manager responsible for Summit upgrade from 3.5.6 to 5.1.1
• Go Live in Nov.06
o Business covered : Treasury, Fixed Income & Credit Derivatives trading desks
o Building the project testing programme
o Side project : Grid Computing
Reference: Emmanuel Dallies – ********
Fortis Investments, Paris
Sophis Business Analyst
May 2005 – August 2005
• Implementation of a pricing engine for Credit Derivatives
• Implementation of Sophis Value 2.3 for Fortis IM funds including :
o Convertibles arbitrage, Global Fixed Income and Fixed Income Emerging Market.
• Product coverage :
o Money Market: Repo / Reverse
o Bonds: Corporate / Sovereign issuers - Local / External debts – Callable – Convertible - Futures / Forward & Option on Fixed Income and Equities
o IRS, CFD, ETF , CDS, NthTD, CDO
• Writing “As Is”, current situation of businesses, and “To Be” documents
• Model validation of all instruments covered by Sophis and conception of test protocols
• Sophis training for asset managers
Calyon, London and Paris
Project Manager/Business Analyst, Correlation Credit Trading Desk
Aug 2004 - February 2005
Project manager / Business Analyst responsible for new structured credit derivatives system (Excel based system linked to Murex) dedicated to traders, risk managers and middle officers
• Work closely with traders, Quants, risk manager and developers to define, and organize tasks with respect to tight deadlines
• Coordinating actions between Quants, developers, business analysts
• Interviewing and writing business requirements and functional detailed specifications
• Writing tests manual
• Instrument coverage: FTD/NTD, Negative basis swap, CDO, Guaranteed Capital CDO, CDO squared, CDO cubed, CDO of ABS, TARN of CDO, CMCDS, Contingent to Default products, Credit Linked Note, Dynamic Participation Note
• System functionalities and design:
o Deal Capture: Trades are represented with XML files and reconciled with Murex trade characteristics.
o Pricing methodologies: Monte Carlo, Fast Fourier Transform and Central Limit Theorem method with Gaussian and Gaussian parametric copulas for correlation model. We use correlation curves derived from TOTEM CDO margins to compute implicit correlations.
o Risk management: define scenario simulations to captured delta & gamma credit spread, jump to default, recovery rates and correlation skew sensitivities.
o Workflow process: organize lifecycle of portfolio (cut off, batch process, data validations)
Barclays Capital, London
Quantitative Business Analyst, Emerging Market Technology
January 2004 – Jul. 2004
• Quantitative business analysis for IR Derivatives, Fixed Income & FX, support for all BarCap Emerging Market trading desks including New York, Sao Paulo, Johannesburg, Singapore, Tokyo and Hong Kong
• Liaise with traders to implement, configure and test pricing and risk systems
• Portfolios migration from Summit 2.6 to various in house systems
• Ensure such systems are correctly valuing emerging markets products via direct liaison with the front office
• Analysis and configuration of pricing, risk and p/l systems for IR swaps, bonds, fix and money markets products
• Carry out analysis required to deploy Summit system for new markets
AXA Investment Manager, Paris
Quantitative Business Analyst
August 2002 – December 2003
• Implementation of Sophis Value front office for AXA IM SAIM (Structured and Alternative Investment Management) and Fixed Income department
• Define solution to manage all SAM & FI funds : 200 funds with various management styles : quantitative management, structured derivatives, convertible arbitrage, CDO, equity-credit arbitrage fund, Fixed Income Emerging Market, High Yield, Investment Grade, … with Sophis Value
• Model validation of all instruments covered by Sophis and conception of test protocols.
• Sophis training for asset managers and middle officers (over 80 people)
• Various functional specifications including exotic swaptions pricing, CMT cap&floor and management fees (high water mark method used for equalization)
• Credit Derivatives – Risk Industrialisation Project:
o Specification of Credit Default Swap pricing (kind of JP Morgan model), and booking (partnership with Sophis) to industrialize the workflow for Euro Investment Grade department (CDO volume: 6 Md EUR).
o Sensitive scenarios: credit exposure, recovery rate sensitivity, credit sensitivity, bucket hedging
o Design interface to integrate and setup up automatically credit spread curve from Mark-IT to Sophis database
o Specification et development of trade reconciliation tools
o Various functional support for AXA IM – SAIM and Fixed Income Front Office Department
European Bank of Reconstruction and Development, London
Summit Quantitative Business Analyst
March 2002 – June 2002
• Determine solutions to how complex trades, including funding packages, should be booked in Summit 3.2 system and assist in implementation of these solutions
• Products covered : Japanese Municipal Bonds, hyper reversal dual knock out bond, Reverse floater, SpreadOption, RPI bonds, Cross currency swaption, CMS/CMT, Equity and FX exotic options
• Reconcile between Summit 2.6e4 and Summit 3.2 entities, the risk and P/L numbers associated with these complex trades
• Liaising between Summit support, Analytics department and Front Office to define Business Process and Reports
• Carry out investigations into risk and P/L anomalies
• Conduct specific tests of Summit
• Credit derivatives booking:
o Products covered: Default swap, TRS, CLN
o Model testing (Intensity based model) , pricing and risk analysis
Reuters Financial Software, Paris
Head of Risk Management Department
January 2000 – October 2001
Head of Risk Management Department responsible for Analysis, Functional Specifications, Development & Testing of Diagram Front Office System (Kondor Trade Processing)
Business covered
• Treasury instruments: Prime & emerging mkt. securities; repos; equities, FX
• Derivatives: IR (Swap, cap&floor, swaptions,), FX (Forward, option, exotics and hybrid), Bond and Equity derivatives
• Design several models for pricing exotics FX, equity, interest rates and credit derivatives
Numerical methods
• Monte Carlo simulations with antithetic variable, importance sampling and stratified sampling. Random number generator used: Faure, Knut and L’ecuyer
• Generalized Cox Ross Rubinstein model
• Malliavin calculus used to calculate sensitivities of discontinuous pay off options.
• Close formulas and quasi closed formulas (B&S, Garman & Kohlagen, Barone&Adesi&Waley,)
• Finite differences : explicit, implicit and schema
Market Risk
• Hedging report:
o Bucket hedging
o Stress testing
P/L calculations explained by risk factors
Credit Risk
• Forecast exposure analysed with: MtM + Add-ons and Simulation
• Integration of rating
• Archive of rating movement
• Different types of limits and risks: Counterparty, Issuer and Operator
Computer modelling of the limits configured depending on operator requirements
• Auditing several trading system (KMV, Numerix, Riskmetrics, FinCad, Kamakura, fenics) for partnership purpose
• Pre sale over continental Europe, especially for 80% of the biggest corporate in France.
• Implementing the Diagram front to back system to Alstom Power treasury group.
Summit System , Paris
Business Analyst
September 1998 – December 1999
Front and Risk Management Department
• Interest rate and FX derivatives model analysis
• Design Credit derivative and Mortgage products
• Fixed income analysis
• Training and summit users support (Summit version : from 2.5emu to 2.6e3)
• Business covered: Money market, fixed income product, interest, FX and credit derivatives
Front Office support - Clients supported:
• BBL – ING Paris:
o Implementing Summit 2.6e3 on Sun Solaris - Sybase
• CDC – Paris
o Upgrade Summit 2.6e3 on Sun Solaris - Sybase
o Full support in front-office and risk management
• Banco Bilbao Viscaya Argentaria – Madrid
o Upgrade Summit 2.6e2 and 2.6e3 on Windows NT 4 - Oracle
Implementing VaR and global risk management solutions for Summit clients over Continental Europe (BBVA, CSFB, ING-BBL,)
3CIF, Paris
Fixed Income Structurer
September 1994 – March 1998
• Structuring highly complex loan packages for financing Credit Immobilier de France branches (outstanding volume in 1998: 120 billion FRF # 18 billion EUR)
• Pricing of exotic options: barrier, look back, Asian
• Prepayment and Default Modelling
• Commercial assistance to the sales
Education
1990 – 1992 Claude Bernard University, Lyon
Master’s Degree in Mathematics with highest honours.
1992 – 1994 Ecole Nationale de la Statistique et de L’Administration Economique
Graduate School for Advanced Statistics, Economics and Finance
Skills
Languages French: Mother tongue
English: Fluent
Systems experience Financial software: Kondor Trade Processing, Sophis Risk up to (7.1.1) & Value, SUMMIT (up to 5.3.1 including Classsic, FT and MUST module), Decalog and Calypso, Orchestrade
Systems & Programming languages: Visual Basic, SQL script (Oracle), Unix, Windows