Mes compétences :
Business
Business analyst
Derivatives
Finance
Société
Management
Gestion de projet
Business Analysis
Entreprises
Société Générale Paris
- Business Analyst
PARIS2005 - maintenantBusiness Analyst within the Investment Banking branch (SGCIB): design and specify solutions, which meet the Securitisation Business Line requirements and expectations. Worked on the following projects:
Basel 2 Calculator: built to achieve 3 goals: calculate the minimum regulatory capital required by the legal entities, evaluate the profitability of every deal and calibrate the First Loss tranche dedicated to external investors.
Designed the system
- Specifications redaction and validation with user workshops
Supported the offshore development phase
- Led a weekly then daily execution meeting with the software factory department, in Bangalore (India) to follow up development phases, solve any issue and prioritize defects and enhancements to integrate
- Conducted the final IT tests before delivery: designed and executed a step-by-step testing process
Led the User Acceptance Tests
- Introduced the application to portfolio managers: user trainings in Europe & US, call conferences with Australia, redaction of a User Guide
- Coordinated the User Acceptance Tests:
* Assisted the Portfolio Administrators to input all deals in the application
* Reviewed calculation results and assisted users for comparison with actual models: worked in close relation with the Risk Department to explain and solve differences
- New York workshop: additional training for Risk, Middle and Front Office departments. Discussion about the inputs / process of some specific deals
Arbitrage Conduit Management Tool: arbitrage between short term and long term rates by issuing Commercial Papers to finance mainly ABS and CDO. This tool aimed to managed Purchases / Sales of securities, Draw downs of Customer Transactions, funding requirements, cash flows, fees payments and accounting.
Designed the system
- Specifications redaction and validation with user workshops
Société Générale New York
- Business Analyst
PARIS2004 - 2005Business Analyst in the Investment Banking branch (SGCIB), for the Securitisation Department.
Expected Loss model migration, from Excel to a dedicated application
- Functional specifications redaction and follow up of the development
Migration of a SIV portfolio reporting software, used to generate reports required by rating agencies
- Training to the SIV portfolio funding rules, study of existing applications
- Redaction of functional specifications and conceptual data model and monitoring the software development
Validation of default payment models:
- Launched models (Monte-Carlo simulations) based on different inputs: default payments simulated using a rating transition model or binomial and multi-binomial models, using different rate models
- Validated that cashflows and expected losses obtained for each class of security were similar to a witness portfolio
2003 - 2003Market and credit risks reporting software testing
- Validation of products and portfolio values (market and theoretical values)
- Creation of reports on portfolio valorizations, implied volatility options checking report, greeks, arbitrages values
Study and development of an implied volatility options surface for any underlying, developed in Excel / VBA
- Model based on interpolation of money curves and volatility smiles. Calculation of implied volatility (internal model) and of theoretical prices (Black & Scholes)
- Developed a dividends and futures theoretical values calculation software
2002 - 2002Market and credit risks reporting software migration: design a new application to replace the actual Access reporting database, which was not fulfilling security rules
- Analysis of existing tools and user needs, determine project scope and actors
- Redaction of the functional specifications, conceptual data model and technical architecture definition
- Study of a provisory migration
- Performances and volume studies
Unique clients’ referential creation: project aimed to first reconcile data between all different client referentials and then to merge those applications to a unique client management application
- Analysis of the different actual systems, definition of perimeter, redaction of functional, interface and alimentation specifications. Designed the conceptual data model
Rueil Malmaison2001 - 2001Develop an application to follow up the quality audits within the PSA group.
- Determine the project scope
- Specify the software workflow, write the functional specifications
- Following up and formalizing modifications requested by end-users
- Building roles and responsibilities of team members and planning deadlines
