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08-14/Now: xVA Font Office IT developer at BNPCIB
Develop counterparty expected exposure platform (EPE, ENE, FEPV, and FECB) across the bank’s entire interest rates, credit and FX portfolios.
Integration of Quant library responsible of the pricing of incremental and marginal CVA.
Design and integrate new computation framework with the purpose to replace the legacy engine
Quic (Third-party system). The new framework responsibility is to generate the entire bank present values and exposures profiles per counterparty using Monte Carlo simulation.
Build Proxy spreads for CVA capital charge.
Compute the xVA risks scenario impacts for PnL Explain.
Compute OIS discounting reserves for trades with bilateral and 1 way collateral agreements.
Parallelize batch tasks in Data synapse and Ice Grid.
Implement stored procedures and SQL functions to compute xVASensi.
Modeling generic spread and liquid CDS curves in the database.
Retrieve and filter counterparty trades for CVA perimeter from FX/IR/CRD feeds using stored procedures.
Support and maintain the Xva front office platform in order to meet the trading desk expectations. Protocol and Programming Languages: C# .Net 5 & 4.6.1, Entity Framework 6, IOC (Windsor castle, Unity) C++, managed C++, Ice &Slice, TSQL, Jenkins, SVN, NUnit, MBunit, Moq.Net, Team city, apache Spark, Cassandra, Kafka, Hadoop zookeeper, Nuget, TeamCity.
01-11/ 07-14: .Net Developer at SGCIB
Overhaul of the information system of Electronic Market Making Trading in the FOREX market (6th in the world ranking in terms of daily transactions several million euros per day). Managing multiple type contracts SPOT, SWAP, Forward, Non Delivery Forward, Option, precious metals, Deposit. -Development of market making software and trading automatons for FX G10 and emerging spot desk.
-Responsible of the deployment process for different environments (DEV, homologation, Production).
-Modeling contribution and pricing screens and implement axis and volatility data models in the database.
Protocol and Programming Languages: C# .net 3.5 & 4, multithreading, Rmds, Low latency requirements, WPF, Tibco Rendezvous, Oracle, Jenkins, Clear Case, SVN, DeployIt 3.9, Maven, Moq.net, NUnit, MBunit.
02-10/08-10 Internship at Capgemini, consultant for GDF Suez
Overhaul of the information system GDF Suez "PIROG" (Intra-Monthly Programming gas operations) Design and development of a client application in WPF (Windows Presentation Foundation) meeting the needs of shipping programming department of GDF SUEZ.
Redesign of the existing information system of GDF Suez, the new system will allow primarily to the department of shipping Programming to continue providing its duties in good operating conditions. The goal is to buy gas and make it available for the commercial agents B3G Group in competitive and reliable conditions, seeking to maximize asset portfolio.
Protocol and Programming Languages: C#.NET, WCF, WPF, SQL, XML, NetAdvantage WPF 2009 (Infragistics), TortoiseSVN 1.6, Visual Studio Team System 2008 , SQL Server Management Studio , Magic Draw UML, Microsoft Expression Blend 3
06-2008/09-2009 Internship at Bull
Design and Development of a C# .net API and a Silverlight website for catalog management of all the IT products of Bull (Servers, Rack ...). The API can automate the generation of catalogs with the latest products updates.
Protocol and Programming Languages: C# .Net, XML, openXml, Silverlight, Sql server 2003.