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Eric NERE

Montrouge

En résumé

Front Office IRD&Hybrids Quantitative Analyst at CA-CIB in charge of the Transverse Quantitative Research team.
Stochastic & local volatility modeling for both market and exotic models.
Robustness of interest rates models in extreme shocks (FRTB compatibility).
Involved in VaR, CVA and LVA.

Entreprises

  • Crédit Agricole CIB - IRD&Hybrids Front Office Quantitative Analyst

    Montrouge 2004 - maintenant In charge of the Transverse Quantitative Research team.

    Products :
    - Interest rates vanilla/exotics
    - Equities vanilla/exotics
    - Hybrids: IR / FX / Credit / Equity
    - Credit: Quanto CDS, CLN and CTD exotics

    Modeling:
    - Market Model Arbitrage Free for FX and Equity (based on local volatility)
    - Market Model Arbitrage Free for interest rates (negative rates, extreme shock scenarios)
    - Hybrid models including interest rates, credit, stochastic & local volatility for FX and Equity

  • CAI - Front Office Quantitative Analyst - Interest Rates Team

    2002 - 2004 Interest rate vanillas developments.
    Risk Management tool for the exotic trading desk.

  • Banque CPR - Front Office Quantitative Analyst

    1996 - 2002 Equity derivatives & convertible bonds modeling
    Management of a trading book based on convertible bond volatility strategies (3 years)
    Provide support to Asset Management / MO / Risk Management / Trading

Formations

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