Menu

Mohamed HOUKARI

Paris

En résumé

Professional Interests:

General Mathematics:
- General Algebra: Groups, Rings, Fields
- Linear Algebra
- Calculus
- Probability & Statistics

Number Theory:
- Galois Theory and Cohomology
- Galois inverse problems
- Profinite Groups
- Iwasawa Theory

Finance:
- Portfolio Optimization
- Risk Theory & Risk Measures
- Interest Rate Derivatives & Hedging
- Interest Rate Models

Applied Mathematics:
- Partial Differential Equations & Stochastic Differential Equations
- Stochastic Calculus & Stochastic Control
- Theory of Probabilities

Mes compétences :
Finance

Entreprises

  • Lycée Henri IV - Teacher in Mathematics

    Paris 2014 - maintenant Post-secondary preparatory school ("ECS" division), preparing for entrance examinations to top rank French business schools (HEC, ESSEC, ESCP Europe, ...)
    Subjects include Linear Algebra, Calculus, Probability & Statistics.

  • Société Générale - Market Risk Analyst

    PARIS 2011 - 2014 - Risk Management of Interest Rate & FX Exotic & Hybrid trading desks
    - New payoff monitoring and analysis
    - Pricing Model Adequation
    - Exotic Parameters monitoring
    - Reserve Policy Computation and Methodology

  • BNP Paribas - Financial Engineering - ALM Front Office

    Paris 2010 - 2011 - Balance Sheet Interest Rate Risk Management
    - Hedging Strategy Optimization
    - Interest Rate Options (caps, floors, swaps, swaptions, CMS swaps & options, exotics,...)
    - Liquidity Management

  • BNP Paribas - Financial Engineer & PhD Candidate - ALM Research & Development

    Paris 2005 - 2010 Topics:
    - Asset & Liability Management
    - Risk Theory & Risk Measures
    - Portfolio Optimization
    - Interest-Rate Risk Management
    - Dynamic Hedging
    - Mean-Variance Hedging
    - Liquidity Risk

    Publications
    2008 - Journal of Banking and Finance - Portfolio Selection and Spectral Risk Measures with. Alexandre ADAM and Prof. Jean-Paul LAURENT (in press)

    Communications & Awards
    June 2007 - French Association of Finance - Hedging Interest Rate Margins on Demand Deposits - Bordeaux, France
    February 2007 - HEC Lausanne & University of Lyon - Portfolio Optimization under Spectral Risk Measures - Lausanne, Switzerland
    January 2006 - French ALM Best Student's Award - Paris, France

    Teaching
    June 2008 - Debt Portfolio Management and the Term Structure of Interest Rates - Master of Portfolio Management, University of Paris (Paris 12 Créteil-Val de Marne)

  • BNP Paribas - Summer Internship - Group ALM R&D

    Paris 2004 - 2004 Developing and implementing portfolio optimization techniques under various risk measures.
    Subject of the Internship: Portfolio Selection and Spectral Risk Measures
    Topics:
    - Risk Theory & Risk Measures
    - Moment-based Risk Measures (Standard Deviation, Absolute Deviation to the Mean)
    - Quantile-Based Risk Measures (Value-at-Risk, Expected Shortfall, Spectral Risk Measures)
    - Portfolio Optimization
    - Linear Programming

Formations

Réseau

Annuaire des membres :