Joseph BIBOUM

En résumé

Entreprises

• SOCIETE DE FINANCEMENT LOCAL - Pricing Team - Quant Market risk

  Issy-les-Moulineaux 2016 - 2017 • IFRS FV assets pricing and analysis
  • Internal model quantitative analysis of illiquidity assets pricing
  • Market price conformity check
  • Valuation tools development VBA of assets and liabilities

• Bpifrance - Financial Officer - Quant ALM

  Maisons-Alfort 2016 - 2016 • Parameters calibration study of NSSF model, for model interest rate curves
  • Development SAS - VBA tools of regulatory, liquidity reporting ALM

• Crédit Immobilier de France - Scoring - Quant Credit risk

  Paris 2015 - 2016 • Statistical PD model design, calibration in SPSS & VBA and computation on large retail and corporate portfolios

• La Banque Postale - Market and Counterparty Risk - Market Risk

  Paris 2014 - 2015 • Market Risk : pricing and booking new products, sensitivities, VaR calculation,
  rate development method, taking negatives values
  • Counterparty credit risk : AVA calculation under Prudent Valuation and EAD Bale II valuation developments tools
  • Other projects : Covered Bonds program "La Banque Postale Home Loans SFH"
  • Regulatory Framework : Basel 2 internal models implementation - VBA-SQL

• Société Générale - Monitoring credit risks - Interest rate derivatives and foreign exchange

  PARIS 2014 - 2014 • Monitoring of capital consumption (Expected exposure) and credit risk(xVA) in the trading room MARK/FIC/IFD/COO
  • Valuation development tools VBA of regulatory capital (RCM, RWA)
  • Development tools VBA of new line requesting of credit
  

• AXA Life Invest - Pricing Internship

  Nanterre 2013 - 2013 • Pricing tools Development C + + & VBA of Variable Annuities projection.
  • Solvency Capital Ratio valuation and projection under Solvency II regulations, using the internal model AXA Life Invest.
  • Market Value Margin valuation linear models, by original approach, back tested on market scenarios
  • Variation factors study in pricing internal methods of the Internal Rate of Risk.

Formations

• Université Paris Dauphine

  Paris 2012 - 2013 Master 2 (DEA) - Mathematics of Insurance, the Economics and the Finance MASEF
  
  Stochastic calculus, stochastic control, jump processes, Absence of arbitrage theory and derivative pricing, Statistical and econometric techniques in finance, Interest rates and credit derivatives, Risk measures and risk control, Finite differences methods, PDE and approximation, imperfect markets models, VBA SQL, R, C and C++
  Working project:
  -"Super-replication under portfolio constraints – C+

• ENSAE Paristech

  Malakoff 2012 - 2013 (DEA) - Mathematics of Insurance, the Economics and the Finance MASEF

• Université De Piere Et Marie CURIE (Paris6)

  Paris 2011 - 2012 Master 1 Mathematics and applications
  
  Result: 2.2 degree (honors)

• Université Paris 5 René Descartes

  Paris 2008 - 2011 Bachelor of Applied Science (BASc)
  
  Result: 2.1 degree (honors)

Réseau

• Bureau VAN DIJK

• El-Houssein BOUZINE

• Elisabeth MACHAUD

• Jennifer TADROS

• Ramy TEMIM

• Reda MEHIDI

• Sihame EL

• Thierry ROUSSIGNOL