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BNP Paribas
- Model Risk Analyst
Paris
2011 - maintenant
- Daily valuation of all complex products within BNPP IP (equity, FI and credit derivatives)
- Validation of pricing methodologies (and market data) of newly traded complex products (documentation and implementation)
- Validation of new formula funds (compliance with local and european regulators rules, UCITS IV eligibility, review of the legal and commercial documentation)
- Validation of models used by the Front Office teams (Black & Scholes, Heston, local volatility) : documentation, independent implementation of the models in our proprietary pricing tool, calibration, pricing of standard and non-standard pay-offs
- Improvement of the robustness and exhaustiveness of the valuation process
C++, VBA, Bloomberg, StructureTool (external pricing tool)
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Echo Magazine
- Associate Editor
2011 - 2011
Free independent music publication based in London, both on the Internet (www.echomagazine.org) and paper (5 000 copies for the August 2011 issue), focusing on exciting and undercovered new music acts, as well as forgotten gems
- Recruitment (contributors, photographers) in London and Paris
- Fundraising for website, printing and distribution costs (web and paper ads)
- Physical distribution in Manchester, Liverpool, Birmingham, London & Paris
- Coverage of international festivals & gigs (Austin Psych Fest #4, Spectrum)
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BNP Paribas
- Valuation & Market Risk Analyst - Commodity Derivatives
Paris
2010 - 2011
Took part in the creation and development of Valuation & Risk Control team for Commodity Derivatives
- Automated and performed the Independent Price Verification (IPV)
- Improved the robustness and exhaustiveness of the process
- Designed tools and implemented controls for new mandates : cash consumption monitoring, federal limits (CFTC) live monitoring for Agriculture book, elaborated and automated the production of a Market Data Cartography
- Reviewed the pricing configurations of the whole Commodity Derivatives perimeter and took care of the migration to a standardized target configuration (impact measurement, operational migration)
VBA, PDL (internal language used for product pricing, and risk indicators calculation), C++, Bloomberg
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Credit Agricole
- Structurer and Product Developer - Fund Derivatives
Montrouge
2009 - 2009
- Took part in the update and enrichment of the product catalogue (improved a decision-making tool performing a quantitative and qualitative analysis of the existing funds for a given thematic ; contacted the external fund managers to check their compliance with internal investment rules ; designed optimized and custom baskets of funds to match the clients' needs)
- Created innovative underlyings (implemented and backtested algorithmic trading and basket allocation strategies - covered call, rainbow ...)
- Helped design pay-offs based on these underlyings (optimization of return under price & fund management constraints)
- Elaborated marketing and legal documentation (prospectus, termsheet)
VBA, Bloomberg
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Arbitragis
- Research Project : Trend-following Trading Strategies
2008 - 2009
In collaboration with Ecole Centrale de Paris
- Led a thorough review of existing trend-following indicators (fractional brownian motion, Hurst exponent calibration)
- Implemented an innovative indicator based on multifractional brownian motion
- Implemented and backtested trading strategies based on the observation of that indicator
C++, R (language for statistical computing and graphics)
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Société Générale
- Exotic Products Controller - Equity Derivatives
PARIS
2008 - 2008
Pay-off modelization control, relating with traders, sales & trader assistants
Review and automation of control processes
VBA
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Deloitte
- Junior Financial Auditor
Puteaux
2007 - 2008
Participated in financial audits within the MultiNational Clients (MNC) branch (Kenzo, Legal & General Asset Management, Atos Origin SA)
