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Aubry MIENS

Paris

En résumé

Mes compétences :
Instruments & produits financiers
VaR

Entreprises

  • Axis Alternatives - Associé

    Paris 2009 - maintenant Co-Head of Risk Practice

    Co-Head of Insurance Practice

  • Natixis - Head of Risk Analytics Department

    Paris 2006 - 2009 Creation of Risk Analytics Department (+/- 100 people) in the Risk Division of Natixis group.

    The Risk Analytics Department leads risk projects by developing methodolodgies, tools, guidelines and documentation. This covers market, credit and operational risks (regulatory and economical measurements). The department contains 4 units:
    - Engineering Unit: market risk measures (VaR, IRC); credit risk measures (potential exposures, EPE); econometrics; second level analysis of risk figure moves.
    - Programmers Unit: dedicated developers mainly on internal developments; interface with standard financial software (Fermat, Summit, Sophis, Calypso, Murex)
    - Business analysts Unit: Basel 2 framework, risk reports, and so on.
    - Production Unit: daily production of credit risk figures, monthly production of Risk Weighted Assets and credit reserves.

    This Department has strong interactions with the French regulator (Agence de Controle Prudentiel).

  • IXIS CIB - Head of Risk Analytics Engineering

    CHAMBRAY LES TOURS 2002 - 2006 Creation of "Risk Analytics Engineering" Unit in the Risk Division (from 1 person in Jan. 2002 to 15 in 2006) .
    The "Engineering Unit" is a team of risk quants and business analysts that aims at developing risk methodologies and tools for the Risk Division. This covers also specifications and validation of data feed with FO systems, as well as relationships with the different Front Offices or building reports to the management.

    Main subjects:
    - Monte Carlo VaR,
    - Credit potential exposures, rating migration model, etc...
    - pricing, SABR, etc...
    - covariance matrix, copulae
    - Basel 2 : IRB-F

  • Ubitrade - Quantitative & business analyst

    1998 - 2001 Work on the FO/MO software Tradix : Tradix is a complete solution for Capital Markets, covering IR markets, equities, Fx and credit derivatives, included deal capture, pricing of derivatives, market risk (VaR, liquidity gaps, optimal hedging,…), credit risk (CAD), position keeping, P&L. Clients are banks, corporates or funds

    In Frankfurt-am-Main (Germany) from Sept. 1999 to Dec. 2001.

Formations

  • Universität Stuttgart (Stuttgart)

    Stuttgart 1996 - 2001 Mathematik

    Chargé de Travaux Dirigés en analyse fonctionnelle

    Graduated with High Honors

  • Ecole Centrale Centrale Paris / ECP

    Chatenay Malabry 1994 - 1997 Mathématiques appliqués

  • Ecole Centrale

    Paris 1994 - 1997

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