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BRED Banque Populaire
- Quantitative Financial Risk Manager
Paris
2011 - maintenant
Quantitative Financial Risk Manager in the DRF (Direction des Risques Financiers) Team:
Development of a large scope of financial product pricers and quantitative models.
* Bond market (Corporate and government Bonds, Fixed income, Convertible Bonds,...etc.). ;
* Derivative market (Futures Exchange, CDOs, CAP/Floor, Hybrid...etc.) ;
* Over the Counter (Forwards, Option, SWAPs, CMS...etc.) ;
* Foreign exchange
* ...etc.
Yield curves construction BOR, EONIA for many currencies (bootstrapping, Libor Market Model, BGM)
Risk indicator calculation (Greeks: Delta, Gamma, Theta, Vega...etc.)
Volatility surface construction (Implied Volatility and smoothing. Stochastic volatility models like SABR, Heston. And local volatility model like DUPIRE)
Tools: VB, .NET, SQL, C++, Wolfram Mathematica (kind of matlab), Unrisk, Bloomberg, Bloomberg API.
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BRED Banque Populaire
- Front office Software Project manager & Money Market Desk Tools manager
Paris
2009 - 2010
Money Market Desk Tools manager. Negotiation Tools (commercial papers). Trading Tools (ECPX). Data Tools (Bloomberg API). This experience required both a conceptual and practical understanding of the Money Markets
In charge of the development of new services: the creation of an Islamic financial product (Mourabaha) to be implemented for the Islamic market.
IT Tools: VB, .NET, SQL, Bloomberg, Bloomberg API.
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BRED Banque populaire
- Ingénieur Financier, Quant
Paris
2007 - maintenant
I am an experienced Financial Markets professional. Having started out life as and IT Manager for the Front Office, I then progressed to my current role as a Quantitative Analyst. This vast experience across a wide range of financial disciplines has provided me with a comprehensive understanding of financial products. As a Quantitative Analyst I have first hand experience of adapting to the continually shifting requirements of the market place which I believe serves as proof of my own adaptability. I hold an Executive Masters Degree in Finance and now wish to marry my educational background to my professional experience in order to pursue a Front Office role.
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BRED Banque Populaire
- Front Office Software Developer/ IT
Paris
2007 - 2009
BRED P&L software (BRICE) developed in C++ VC7, Front/back comparison tools for all the SWAP products. (C#, XML) Trading software for the volatility arbitrage desk (Implied volatility,Smile, Implied volatility surface, Greeks, Flux GL Trade, Macro Excel, SQL Server )
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Dassault Systèmes
- Project Manager & Team Leader
Vélizy-Villacoublay
2004 - 2006
Leading a team of 7 persons and managing a project, which consists in developing a server application (XML Provider). In charge of the externalization of a test development in India and for all the infrastructure components. Tools development: developing tools for quality assurance, and project follow-up purposes. Languages used: C++ and CAA V5 Object Modeller ( the equivalent of
Microsoft Object Model Windows developed by Dassault Systèmes).
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Dassault Systèmes
- Software Quality assurance
Vélizy-Villacoublay
2002 - 2004
In charge of the development and the monitoring of the SQA infrastructure tools: over 2000 machines 4 OS (Solaris, Aix, SGI et Windows). Run
many different tests (Unit tests, Uses cases, Purify, Coverage). Over 1400 clients developers. Developing and launching various tools for the company such as the test result output analyser, (based on gauss criteria software analyser) in order to detect ``faulty machines''.
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Dassault Systemes
- Ingénieur R&D
Vélizy-Villacoublay
2001 - 2005
