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Christophe MATHERN

Paris

En résumé

Energetic and focused professional with experience of investment banking and investment management. I have been contributing to multiple Front / Middle Offce IT projects, from market contribution, deals booking, pricers... to risk management. I have been working on cross asset environments : equity, interest rate, commodity, credit, exchange rate.

Mes compétences :
Finance
Risk management
Base de données

Entreprises

  • Sophis - Business Analyst

    Paris 2011 - maintenant Business Analyst in market risk management :
    • technical, functional specifications of the roadmaps
    • VaR, stress tests, greek scenarios, PL explanation
    • cross asset environment : equity, interest rates, forex, credit
    • development follow up, BA testing, training to sales, consultants, quality

    Projects :
    • FO Risk : Compute risk sensitivities in real time to use them in investment decision
    • Correlated Stress Tests : generation of stress test shocks according to a variance / covariance matrix of risk factors
    • VaR Proxy : definition of a proxy framework enabling the historical VaR risk factors to be defaulted on other risk factors
    • Risk Compliance : ability to check the pre and post trade risk exposure
    • Credit Risk : specification of a module of credit risk calculation (PFE / EE) based on historical bootstrap market data diffusion
    • IRC : the Incremental Risk Charge (IRC) aims at measuring the impact of rating migrations on the bank portfolio value
    • Non Regression Module : definition of business test cases, script writing of a tool allowing to test the regression in a developper integration environment

  • SGCIB - Support Equities Derivatives

    PARIS 2009 - 2010 Technical and functional support of the Front Office equity derivative applications :
    • Support of FO / MO applications : market contribution, deal booking, internal market, EoD calculations, referentials, workflow management, hedging, pricing...
    • Support (level 2), Training, Monitoring, Tests in relationship with support, dev, BA teams
    • Support in a trading floor environment with Sales, Traders, Middle Office

  • Alten SIR - Developer

    Boulogne-Billancourt 2006 - 2008 Development (Mainframe technology), analyst, support
    • BNP Paribas Securities Services
    In the OTC equity settlement application, developement related to the ESES project (merge of European Central Securities Depository)
    • GMF Assurances

Formations

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