Investment Banking
Fortis Merchant Banking, Paris
juillet 2006 - août 2009
o ABS/CDO/CLO cash flow model implementation using Excel, C# & C++ to enable numerous inputs/outputs and configuration as defined below:
Large variety of asset class for the underlying portfolio (CDS, Bonds, Leverage loans, Perfect asset swaps, asset swaps, mortgage etc…)
Defining deterministic(constant or following a given shape) or non deterministic(model based) default and prepayment assumptions
Working within the constraints/covenants of portfolio reinvestment assumptions (diversification constraint, rating constraint, asset class, reinvestment price, currency bucket)
Capital structure definition through templates allowing to add or remove elements(like OC Test, IC Test, sequential notes, turbo notes, reinvestment buckets) based on deals specificities
Multi currency revolver notes implemented for multi currency deals (used in Calyon’s Confluent deal)
IRR, Price and duration for different notes
Pricing of equity tranches with call options
o Implementation of a monte carlo engine using C++
Generation of normal random path, and correlation using one factor model
Used to generate default inputs for the cash flow model for valuation of Cash CDOs with underlying portfolio of CDS (Renoir Deal Fortis)
Used to generate prepayment inputs for the cash flow model for CLO using LCDS as a proxy
Used for developing trade ideas and quickly test/have an idea of trade strategies
o Product management and product development
C++ implementation of Moody’s CDOROM toolkit adds in for market value CLO’s. Used to find market value CLO strategies/optimization, to optimize deals parameters, underlying portfolio rating in order to maximize the deal rating
Development/Testing of arbitrage strategies for CPDOs and market value CLOs
Generation of marketing runs for sales and deal partners (asset managers)
Scripting of the deal in the platform and providing monthly valuations to the sales
Scripting of rating agencies(S&P & Moody’s) scenarios in the cash flow model above and run generations
Liaising with clients and deal partners (asset managers) regarding portfolio valuations, deal assumptions used for runs, mark to market explanation etc…
Reporting to the global head of Structured product regarding the position/exposition/worst case scenario of the cash CDO prop trading book during 2007 and 2008
o Management of the migration of a correlation book to a SOPHIS platform
Automation of the booking between the two systems using EXCEL, VBA & SQL
Setup and follow up of the parallel run between the new system (SOPHIS) and the old system (EXCEL VBA)
Explanation of the mark to market differences between the two systems
Working closely with quants on pricing validation, explanation & resolution of discrepancies
Working closely with traders, quants & risk management for new delta/risk scenario definition and calculation within the new system
o Automation of the CDO portfolio substitution process and integration into SOPHIS
Design of the automated workflow process
Creation and integration of an EXCEL spreadsheet to model dynamically CDO portfolio aggregates & concentration tests using VBA, C++ and XML
Automation of the subordination factor calculation and integration into the process using C++
Integration of S&P & Fitch dll to SOPHIS using C++ and XMLwith Xerces
o Risk monitoring platform implementation for both Correlation & Basis Book
Front Office risk reporting tool implementation for the correlation book using SQL, VBA & EXCEL
• User defined reporting templates based on SOPHIS-ORACLE architecture (Delta contribution by structure, Jump to default contribution by sector etc…)
• P&L, Jump to default and systemic delta reporting
• Daily Reports production (exposures by ratings, sectors, more risky names, more exposed, limit checking, sensitivity analysis) to both Risk Management & Trading desk
Front Office reporting tool implementation for the basis book using SQL, VBA & EXCEL
• CDS, Bonds/Asset Swap import of data from Bloomberg and internal systems(Risk, SOPHIS)
• Position reports, basis valuation and P&L reporting