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Michael VYAHO

Paris

En résumé

Graduate of MSC Financial Engineering & Quantitative finance

-Asset management
-Development of tools for decision support in Excel VBA
-Pricing by Monte-carlo derivatives
-Numerical Methods-calibration
-C + + / Matlab / MySQL / Python

Mes compétences :
VBA
Matlab
C++ Intermédiaire
Excel avancé
C sharp
Calcul stochastique
Finance de marché
Modélisation financière
MySQL
Access
Produits derivés de taux, actions, structurés
C++

Entreprises

  • BNP Paribas CIB - Market risk analyst Equity Derivatives

    Paris 2015 - maintenant -Python/VBA/SqL/Access Dev
    -Bloomberg
    -Statistiques
    -FX Vol / Indice de vol
    -Reporting et suivi de risques
    -Valorisation et ajustement de portefeuille (Front vs Totem)

  • Family Business Group - Financial Engineer

    PARIS 8 2013 - 2015 -Portfolio allocation
    -Fund selection & Quantitative analysis
    -Follow portfolio performance & volatility
    -Macroeconomics Analysis
    -Development tools for decision with VBA Excel

  • CONVICTIONS ASSET MANAGEMENT - Quantitative researcher

    2013 - 2013 Index replication by statistical techniques using Bloomberg data and R interfaced with Excel
    Research target volatility and backtesting method
    Portfolio optimisation (Min VaR, Min CVaR,Low Vol)
    Establishing trend report on commodities and emerging markets,FX
    Redesign report file risk funds in VBA Excel
    Automation files risks in R and interfacing with Excel
    Implementation of risk indicators (historical VaR & vol, implied volatility, Sharpe ratio .....) on the new funds
    Establishing and publishing trend report on ETFs and mutual funds
    Maintenance and supply of databases in MySQL

  • SGCIB - P&L valuation analyst

    PARIS 2012 - 2012 Realization of several macros with VBA Excel eased and optimize the daily report on almost all perimeters of the team.
    -Process optimization in existing Excel VBA as well as their integration into own applications to SGCIB.
    -Participation in a major project in Excel VBA on the full pricing
    -Ensure direct interaction with traders and daily production of PnL daily perimeters of 4 exotic rates (swaptions, swaps, futures, CMS ...).
    -Checking and comparison of the values ​​obtained with parallel pricers
    -PnL decomposition by risk factors (theta, vega, gamma, New deals treaties, forex effect ...) and to minimize unexplained investigation when they are high.
    -Publication of the Report and validation of trading P&L at the end of the day
    Amélioration des outils d'analyse du Pnl,implémentation en VBA excel

Formations

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