Mohamed Sabri - Développeur ACCESS

Senior Quant Risk Analyst - Risk FRB & Stress Tests IFRS9

Extensive studies and technical skill improvements on the main systems of BDDF Risk (DWR, BCR, SRS, BMRC, BMD…)
Implementation of 'Cost of Risk' (significant data for the bank) based on the native Risky Debt Database and consistency checks on the resulting data with Credit Finance team
Construction and development from scratch of a data warehouse on Retail / Corporate perimeter for Performing /
Non-Performing customers. Rigorous control and data reliability
- Part 1 : Construction from available data in the systems (data depth of 2 years)
- Part 2 : Set up on historical data -> this concerns archived data for most source systems (up to 2007)
Enhanced a full automated tool in VBA for monthly manual writes on Non-Performing perimeter (up-to-date stock of provisions and 'Cost of Risk' flow) and then integration into our data warehouse
Yearly Stress-Tests EBA (Retail and Corporate): data collection, take part in the final template construction: Default flow | stage migration | Default and loss rate | cures in the year…, calculation of Performing stability rate (S1 and S2)
Monthly / Quarterly production including all tasks of the risky debt database (Stock / Flow launching processes, Datalab loan IQs contracts, Manual Writes integration)

Senior Quant Risk Modelling - Global Counterparty & Credit Risk

Contribute effectively to the Default Risk Charge model implementation (Internal Model Approach) in compliance with regulatory guidelines (Merton multi factor-type model)
Work rigorously on systemic factors correlations (raw data estimated from 10 years’ historical data), Gram-Schmidt orthonormalisation, Bravais-Pearson coefficient, multiple linear regression, definition of IRC’s Loss Given Default 2-states model (LGDhigh/LGDlow concepts), k-means clustering analysis method…
Enhanced tools for “Jump to Default” computation (Credit scope), set up an optimized process to retrieve default probabilities from prioritized data sources (1: IRB framework, 2: S&P, 3: Moody’s, 4: Fitch)
Conduct impact tests campaigns on Global DRC IMA (PDs fall-back values according to TRIM guidelines), QiS8, QiS9

Senior Market Risk Analyst - Interest Rates and Derivatives

Streamlined the development and automation of local processes related to emails mandates sending, Paris/London global production and ZC bonds calculation for inflation bonds
Reported on vanilla and structured Rates desks (Greeks, VaR, SVaR, new deals)
Executed Greek based and full revaluation comparison on a list of vanilla bonds and swaps (Raven pack)
Efficiently conducted stress testing and back-testing (daily process), followed up by regulatory and audit requests

Role is to Provide IT developments for exotics front Office users.

Support and training on Excel spreadsheets and contribution tools (Marx, Cockpit, Matrix…)
Providing spreadsheets to Front Office users using Excel, VBA, C#, Reuters data and SG financial library
Production of the valorization and risk analysis of the desk
Working with R&D to implement pricing development
Excel / VBA, C#.Net, SQL Oracle

9 months Front Office IT Developer - Trading Assistant on Commodities

Conception, development and testing for displaying market data (Bloomberg screens equivalent) + Construction of Gaussian volatility curves, moving average, Bollinger bands functions ...
Establishment of daily batches which will power production tables from stored optimized procedures
Coordination between the different entities (Support, Trading, Sales)
VB6, VB.Net, Excel / VBA, SQL Oracle

9 mois Commando Front Office dédié Trading Equity Finance Delta 1
• Implémentation d’outils performants sur la cotation des sous-jacents (par indices)
• Développement d’applications de Booking et gestion des deals en temps réel
• Génération du volume global de « trades » traités / Exploitation des résultats (PnL journaliers, initiations, retours, modifications, corrections)
• Réflexions sur les problématiques de risques de marché (forex, taux, dividendes, repo)
• Coordination entre les différentes parties (Front Office, Middle Office, Opérationnels…)

5 mois Reprise et Evolution du système d’information BP2i-Suisse
• Modèle relationnel de données, Data warehouse, Modélisation UML
• SGBD Oracle® 9i, requêtes complexes, plans d’exécution
• Interface Web (C#), programmation dynamique, Framework 3.0

5 mois Conception et Développement de logiciels spécialisés dans le calcul actuariel
• Implémentation d’un générateur de tables actuarielles
• Générations de fichiers cvs / xls, Connexion ODBC, Ado.Net, C#

3 mois Outils Web (VB.NET / SQL Server)