Michel BIELA

En résumé

Entreprises

• HSBC - Senior Manager

  Paris 2014 - maintenant Quantitative independent review of Wholesale and Retail Credit Risk Models:
  
  - Review, rebuild and challenge of stress testing models designed for PRA exercises for Europe and MENA regions
  - Review of annual validation exercises carried out for Aircraft and SME Lgd models for France
  - Review of datasets construction and empirical LGD methodology for UK Wholesale portfolio
  - Review of Saudi Arabia Retail (Personal Loans, Credit Cards, Mortgage) PD, LGD and EAD models designed for A-IRB approval purpose
  - SAS activity: trainings for members of the team, creation of SAS macros in order to enhance and optimize processes and industrialize stress testing exercises reviews
  - Basel regulation presentation for the team: general framework, STD vs A-IRB RWA comparison using simulations and 3D plots
  - Research topics: link between default rates and LGD

• Barclays - Vice President, Independent Validation Unit

  Paris 2013 - 2014 Quantitative independent review of Retail credit risk models:
  
  - Review of Barclaycard UK PD, LGD, EAD CRD4 models
  - Review of UK Retail Banking PD model, supervision of the review of EAD model
  - Review of Retail Economic Capital Model
  - Review of Stress Testing models designed for South Africa
  - research topics: chain ladder models for completion of recoveries for unresolved cases, discount rates using innovative methodologies

• Société Générale - Head of LGD Modelling for Wholesale portfolios

  PARIS 2012 - 2013 As a responsible for a team of four persons, I was in charge of:
  
  - Development and monitoring of LGD and CCF models for Corporate portfolios and SME portfolios
  - Liaison with regulator and other internal teams: stress testing, IT team, PD development team
  - Allocation and supervision of projects, assessment and training of the members of the team
  - Research topics (supervision of internships): statistical LGD models for SME portfolios, LGD for defaulted assets

• BNP Paribas - Independent Review, Audit and Stress Testing coordination

  Paris 2006 - 2012 Within the credit risk Stress Testing department:
  
  - Review of the credit stress tests methodologies designed across all BNP Paribas entities involved in ICAAP processes
  - Definition of the credit stress tests best practices for all the Retail and Wholesale subsidiaries of BNP Paribas across the world
  - Coordination of the credit stress tests methodologies: reconciliation between Bottom-Up approaches and Top-Down central approaches
  September-October 2010 : one month assignment at BNP Paribas UK : review of IT functions of the Collateral Management.
  
  June 2010 : Three weeks assignment at BNP Paribas Suisse : review of market risk and Sales functions of the front office for Fixed Income and Equity Derivatives activities.
  In the "global validation" risk team :
  
  October 2006 - June 2010:
  - Quantitative independent review of the operational risk model
  - Quantitative independent review of the LGD model for the Shipping portfolio
  - Quantitative independent review of the PD, EAD and LGD models developed for the French Retail Banking, Cetelem and Corporate CIB
  - Research topics: low default portfolios, BCBS Working Paper 14 validation metrics
  
  

• Société Générale - Quantitative Analyst

  PARIS 2004 - 2006 In the credit risk modelling team :
  
  - Development of statistical regression models - Shadow Bond Ratings models for Corporate portfolios
  - Automatization of the backtesting for all of the credit risk models: creation of SAS macros and VBA routines
  - creation of normalized credit databases for the PECDC (Pan European Credit Data Consortium) project

Formations

• Université Paris Dauphine

  Paris 2002 - 2003 Mathematiques Appliquees aux Sciences Economiques
  
  numerical methods
  stochastic calculus
  game theory

• Ecole Nationale De La Statistique Et De L'Administration Économique (ENSAE)

  Malakoff 2000 - 2003 Statistician Economiste
  
  
  time series econometrics
  econometrics
  probability theory
  stochastic processes
  Data analysis
  Data mining
  Insurance theory
  Risk management

Réseau

• Camille GINDRE

• Chantal DOGIMONT *

• Charles SANNAT

• Diane BAKENA

• Gwladys NANA

• Julie BOYER

• Nathalie CHARLOT