CV/Mission de Consultant Calypso freelance

Exemple de missions de S,
Consultant Calypso habitant Paris (75)

• Consultant on for Product Control GVG Equity Finance -RS9 Project

  HSBC, Paris Product Control &#x2013 Global Valuation Group - Equity Derivatives
  Jan 2018 - aujourd'hui

  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

• Business Analyst on the Risk FSA Project

  ReserveRS9 HSBC, London Fixed Income Derivatives IT Front Office Credit Derivatives
  Jan 2016 - Jan 2017

  Risk Future State Architecture consists of:
  &#x2022 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
  &#x2022 Implementing Risk Storage capable of servicing Finance, Traded Risk, Front Office and Middle Office
  &#x2022 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 &#x201Cagile&#x201D development methodology i.e. evolutionary development, early delivery and continuous improvements.
  
  &#x2022 Analysis of the current situation:
  o Trade booking in Calypso: CDS, CDS index, Nth Loss, Bespoke trades, Repack Products&#x2026
  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
  
  &#x2022 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
  
  &#x2022 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

• Quantitative Business Analyst on the Orchestrade Implementation Project

  CA CIB, Paris Fixed Income Derivatives IT
  Jan 2016 - Jan 2016

  Orchestrade in the Front Office system chosen by CA CIB to support the fixed income / credit / hybrid activity.
  
  &#x2022 Determine solutions to how complex trades, including funding packages should be booked in Orchestrade 4.0.3 and assist in implementation of these solutions
  &#x2022 Vanilla trades and exotic such as Bermudan swaption, spread CMS, target option, autocall, formula product
  &#x2022 Pricing & risk reconciliation between Infinity (in house pricing models) and Orchestrade, the risk and P/L numbers associated with these complex trades
  &#x2022 Liaising between Orchestrade support, Analytics department and Front Office to define Business Process and Reports
  &#x2022 Carry out investigations into risk and P/L anomalies
  &#x2022 Conduct specific tests of Orchestrade

• Sophis Quantitative Project Manager / BA for Equity Derivatives desk: RWA Project

  HSBC, Paris Equity Derivatives IT
  Jan 2015 - Jan 2016

  RWA project consists of generating 1000 scenarios over 135 dates on trade risks factors and running trade&#x2019s position valuations. Counterparty and referenced books aggregated positions.
  
  &#x2022 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
  &#x2022 Proof of concept testing
  &#x2022 Functional Specifications: data mapping, position reconciliation,&#x2026
  &#x2022 Project plan / assessment
  &#x2022 Development team management (2 developers)
  &#x2022 Weekly Kicker IT meeting: direct reporting to the global head of IT
  
  Reference: Christophe Tabacznyj &#x2013 Global head of Equity Derivatives IT &#x2013 christophe.tabacznyj@hsbc.com

• Sophis Quantitative BA for Structured Equity Derivatives (SED) desk:

  Natixis, Paris Equity Derivatives IT
  Jan 2011 - Jan 2015

  &#x2022 Coordinating actions between Quant / Risk / IT to deliver evolving pricing & risk methodologies implemented in Sophis Toolkit
  &#x2022 Analysis in all areas of booking, modelling, pricing and structuring equity products including equity swap, correlation swap, CPPI, autocall (various flavours) and hybrid products
  
  &#x2022 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
  &#x2022 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
  
  &#x2022 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
  &#x2022 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 &#x2013 Head of Scientific Computing &#x2013 jose.luu@natixis.com

• Business Analyst on Summit for Interest Rates and Credit Derivatives desk

  Commerzbank, London Summit Business Analyst
  Jan 2010 - Jan 2011

  &#x2022 Total Return Swap: Booking and analytics specification of various flavours of TRS
  
  &#x2022 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
  &#x2022 Basis Swap project:
  1. Full lifecycle project (gather BR, writing specifications, testing) in partnership with Misys to support index and index volatility basis adjustments
  
  &#x2022 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
  
  &#x2022 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
  &#x2022 Asia Books Risk Analysis setup
  &#x2022 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 &#x2013 Head of Summit Development Team Commerzbank UK &#x2013 peter.mcgregor@commerzbank.com

• Summit Project Manager & Business Analyst

  Akbank, Istanbul
  Jan 2008 - Jan 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:
  
  &#x2022 Creating project plans and updating senior stakeholders on the progress of the project
  &#x2022 Scoping the project or initiative, estimating costs and schedule
  &#x2022 Managing components of the workstream plan through delivery
  &#x2022 Writing of &#x201CAs Is&#x201D & &#x201CTo Be&#x201D documents
  &#x2022 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
  &#x2022 Liaising between end users (Traders, Risk Managers, Middle Officers) and Summit developers
  &#x2022 Training on Summit modules
  &#x2022 Writing various specifications on gaps found and changes controlled
  &#x2022 Unit & component testing &#x2013 Support to UAT
  
  Reference: Dominique Vignaux &#x2013 Formerly responsible for Summit Professional Services at Misys - dominique.vignaux@globms.com

• Summit Business Analyst

  NYKredit, Copenhagen
  Jan 2008 - Jan 2008

  &#x2022 Summit FT 5.1 training instructor for Fixed Income and Credit traders
  &#x2022 Summit support to Front Office and Middle Office in all areas of modelling, pricing and structuring interest rates derivatives products
  
  Reference: Dominique Vignaux &#x2013 Formerly head of Misys Professional Services - dominique.vignaux@globms.com

• Summit Project Manager / Business Analyst

  Natixis (formerly Natexis Banque Populaire), Paris
  Jan 2005 - Jan 2007

  &#x2022 From April 07: Calypso Business Analyst for Credit Correlation Trading Desk in addition to Summit Business Analyst on Fixed Income Derivatives:
  &#x2022 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,&#x2026into 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
  &#x2022 Mar.06: Project Manager responsible for Summit upgrade from 3.5.6 to 5.1.1
  &#x2022 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 &#x2013 emmanuel.dallies@natixis.com

• Sophis Business Analyst

  Fortis Investments, Paris
  Jan 2005 - Jan 2005

  Implementation of a pricing engine for Credit Derivatives
  &#x2022 Implementation of Sophis Value 2.3 for Fortis IM funds including :
  o Convertibles arbitrage, Global Fixed Income and Fixed Income Emerging Market.
  &#x2022 Product coverage :
  o Money Market: Repo / Reverse
  o Bonds: Corporate / Sovereign issuers - Local / External debts &#x2013 Callable &#x2013 Convertible - Futures / Forward & Option on Fixed Income and Equities
  o IRS, CFD, ETF , CDS, NthTD, CDO
  &#x2022 Writing &#x201CAs Is&#x201D, current situation of businesses, and &#x201CTo Be&#x201D documents
  &#x2022 Model validation of all instruments covered by Sophis and conception of test protocols
  &#x2022 Sophis training for asset managers