Mes compétences :
Gestion du risque
Finance
Banque
Formation
Entreprises
CNCE -Permanent Consultant
- Permanent Consultant Risk Department
2005 - 2008Follow-up on activities conducted in my previous duties as Director of Validation and Methodologies, reporting to the Chef Risk Officer and to the Chief Finance Officer of the bank.
CNCE Groupe Caisse D'Epargne
- Head of Validation
2003 - 2004Supervision of all risk methodologies and models within the Group Risk Department of the bank. Reporting to the Chief Risk Officer. In charge of a team of around 10 “risk engineers”, plus assistance by an IT consulting team of around 6 permanent consultants. Setting up of analysis and reporting tools for economic capital and Basel 2 capital for portfolios and credit transactions. Validation of scoring models for retail banking and of rating methodologies for large corporates. Contribution to the development of ALM models of the Group. Presentation of all Basel 2 related works to the “Commission Bancaire”.
CDC-IXIS
- Head of Validation
2001 - 2003Head of Validation, CDC-IXIS, Risk Department. Reporting to the Chief Risk Officer. Supervision of all risk models and methodologies. Development of Credit VaR (Economic Capital) and RaRoC measures or measures of return on Basel 2 capital. Setting up the Credit Risk Data Warehouse. Setting-up the Moodys’-KMV-Portfolio Manager model and the Moodys’-KMV Credit Monitor model. Assistance by a team of around 10 permanent IT consultants for setting up the risk data warehouse and all gateways to other IT systems. Development of a transaction –level Basel 2 calculator allowing to trace all inputs leading to Basel 2 capital for all “approaches”. Review of all third party solutions of central risk systems (Sungard, Mysis, Fermat, others) and redaction of the request for proposal and the request for information. Validation of credit risk portfolio models of the capital market pole of the Group. Various reporting developments (return on capital, risk analysis) for the work flow of credit decision.
Fitch Ratings
- Research Director
2000 - 2001Development of credit rating and default probability models for corporate, sovereigns and banks, Paris, London, New York, in close cooperation with credit analysts. Reporting directly to the CEO in London. Review of all rating methodologies in those affiliated Fitch offices. Assistance to the rating of securitizations with rating and default probability models. Models were based on all available techniques: Non linear regression, neural networks, Logit-Probit. Assistance in finding partnership with third party firms specialised in modelling, with the purpose of validating their methods and models (example : Loan Pricing Corporation in New-York).
European Investment Bank
- Consultant, Département Finance
1998 - 2001Redesigning the ALM Model of the bank, and adapting the existing model to new specifications. Reporting to the Chief Financial Officer. ALM models were intended to capture both short-term and long term exposures of ALM (gaps and duration based models). Prototypes were fully developed before implementation of a full scale ALM software.
Banque Paribas
- Consultant Risk Department
1993 - 2000Permanent consultant to the risk department. Reporting to the Chief Risk Officer. Development of economic capital models, review of several structured transactions, implementation of RaRoC models, guidelines and modelling for the Potential Future Exposure model for derivatives. First implementation of KMV Portfolio Manager and KMV Credit Monitor in a French bank (1993-4). Development of various reporting tools for the credit portfolio and at the transaction levels for the credit committees. Assistance to the modelling of specialized finance and securitization for the preparation of the credit committees. Scope included Paris, London and New-York offices of the bank.
HEC Paris
- Full Professor Finance
Jouy en Josas1979 - maintenantFinance Professor. In charge of MBA programs in finance and Executive programs. Teaching areas: Corporate finance, risk management, capital markets. Teaching in various countries other than France: Visiting Professor, Tufts University, Boston, USA; EMBA programs in China, Russia and Eastern Europe.
Author of "Risk Management in Banking" 3rd edition, Wiley & Sons.
