Mes compétences :
Créativité
Esprit critique
Rigueur
SQL
Statistiques
C++
Modélisation mathématique
Réglementation bancaire
Finance
Entreprises
CREDIT AGRICOLE CIB
- QUANT
Montrouge2009 - maintenant° Quantitative studies related to Internal Portfolio Model
- Pricing vanilla and structured products
- Parameters calculation : Correlation, Transition matrix, Spreads, Base correlation
- Implementation (C++, Matlab,...)
- Business allocation
- Modelling concentration risk
° Incremental Risk Charge
° CVA point-in-time calculation
° Collective provision calculation on the banking book under IAS39 and IFRS9
° Predictive Modelling of Default and Recovery rate for Credit Risk Stress Tests
° Data Management
° Basel II & III projects
SOCIETE GENERALE SECURITIES, TOKYO BRANCH
- ASSISTANT TRADER
