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ANZ
- Risk management, Portfolio Monitoring
2011 - 2014
(Interest rates and Credit)
- Setting-up the market risk measurements, policy and infrastructure for the newly implemented credit and rate business
- Definition and calibration of limits as well as analysis of breaches; approval of temporary limits as well as new trades and products
- Monitoring and explanation of changes in Greeks, VAR, Stress tests and backtesting exceptions
- Discussing main changes in trading strategies and positions with management and desks in accordance with important changes in the financial market
- Testing and validation following a change of risk engine to produce measurements (Sensitivities, VaR, Stress tests)
- Implementation, monitoring and validation of market data feeds
- Monitoring and explanation of P&L
- Involved in treasury and liquidity monitoring and process and regulatory changes (Basel, stress tests, capital allocation)
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Société Générale and Credit Agricole
- Market Risk Consultant
2009 - 2011
2 years
Soc Gen Trading Support
(Interest rates flows and semi-exotics, Credit vanilla and exotics)
AGRisk: Internal application that provides calculation for P&L, Risk, VaR, Scenarii for Fixed Income
* Contact to Traders or Risk department to provide functional solutions:
Explanation of Risk reports, investigation on the pricing models used and calculation method of the risk factors in the system (CIM Basis - Basis swap - Gamma, IR Curve shock's methodology, etc), investigation on the P&L moves
* Monitoring of the production of Risk, VaR, Scenarii for SGCIB worldwide
* Support to ARTR, real time application for traders to monitor their positions
Credit Agricole Risk Management - Monitoring Market Activities
(Credit exotics - Base Correlation model)
Backtesting of historical VAR for Credit correlation books following the implementation of the base correlation pricing model: production and analysis of P&L and VAR to validate the model for the ``commission bancaire'' (FSA equivalent)
* Implementation of a new process to produce the daily economical P&L for past dates
* Production of VaR and recalculation through Greeks, repricing of the worst scenarios
* In relation with Murex, creation of a process to automate the backtesting production
* Analysis and explanation of the exceptions between P&L and VaR
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Nomura
- Portfolio Monitoring
Tokyo
2007 - 2009
2 years (Interest rates flows and exotics, Credit vanilla and exotics)
Daily Activity
* Monitoring and explaining the changes in Greeks ;
* Monitoring of counterparty exposure (by underlying, country, sector - Default today, Recovery rate, CVA)
* Discussing main changes (Trading strategies and positions with Business Global Head)
* Monitoring and explanation of P&L (Through main strategies and positions)
* Monitoring of liquidity through the treasury desk
Product Type and Strategies:
* Credit: CDS v Bond, Index (itraxx, cdx, cmbx) v CDS, Tranches v CDS, CDS v CDS (Sub-Senior, Curve Risk), Index v Index (cmbx Ajs v As), CDO, CDO bespoke, Index Tranches, RMBS, CMBS ;
* Interest rate: Government, High grade, Flows, Exotics (i.e: Option basis, Asset swaps Inflation, Digital CMS 10y Vs 30y, Cash Vs Futures, straddle...)
Activity Reports
* Daily, Weekly and Monthly Commentary Report of market movements (IR Curve, Equity Index, Credit Index, Main news...)
* Daily, Weekly and Monthly Commentary Report of P&L movement (Client business, Turnover, New business, Prop Trading & hedging)
* Daily, Weekly and Monthly Commentary Report of Risk positions.
Information Sources: Head of Desks, Risk Management Report, Trading platform (Totoro - Radial - Sophis - Bloomberg)
Reporting to: Head of Global Market London + Japan and Head of Desks
Ad hoc
* Creation and analysis of catastrophic scenario & stress test relevant to the profile of the portfolios, Steepening / Flattening of curves, Volatility shocks, analysis of Risk changes & P&L contribution
* Automation of Reporting Procedures
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SGCIB
- Internship
PARIS
2005 - 2005
8 months Product control
- Perform daily and monthly P&L for cash equities including reconciliations between FO and BO.
- On a daily basis, ensure all failed trades are monitored, examined and cleared of FX exposures.
- Build new procedures due to the change of the FO monitoring system and improvement of existing procedures.
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Credit Agricole CIB
- Sales assistant
Montrouge
2004 - 2004
8 months Counterparty Credit Risk, sales assistant
- Identify client needs and build up of specific interest rate or FX products
- Strategic and financial analysis of counterparts and attribution of a rating through an internal model
- Weekly market overview to sales force, pricing of interest rate products (Swap, Cap, Floor...)
- Redaction of commercial proposals to clients (corporate and municipal) as well ad update of P&L and MtM of the portfolio
