Alexandre PELE

3 teams to manage:
- 2 PnL Team: PnL explanation (modified duration, and greeks methodology), adjustement, reserves
- 1 Risk team: Validation of VaR, modified duration , greeks, stress test theoretical and historic, adverse and extreme, VaR Backtesting.

- Project on All Fixed incomes, commodities and currencies PNL explanation.
Project on All Fixed incomes, commodities and currencies PNL explanation.
Mothodology on:
- inflation desk
- Credit dérivative desk

- In charge of the traders assistants team on Exotic Credit derivative product: Booking, Valuation, Pnl explanation, financial structration Booking (as CLN)
- Project on ITsystem booking: Tranches industrialization, integration of exotic product
- Booking and Valuation of following procduct (CDO, CDO of ABS, CDO besopke, Tranches, CDS of ABS, First to default, CPPI, CPDO, CDS, Swap, TRS, ABX, CMBX, EMBX)
- New product analysis
- Risk Analysis Understanding
- Credit events Project
- BO discrepancies resolution
- 7 middle officer to manage
- 14 traders in scope in London and in New York

AGF AM - Allianz group – Paris (75009)
- Valuation (Bond, asset swap, Floater, CDS, Itraxx, tranched Itraxx, MBS, ABS, CDO). Pricing methology. Model committee.
- Daily analytic data Production. as modified duration, greeks, spread duration, convexity, worst duration, worst yield, Call duration, call yield, OAS ...
-Net asset Value validition of french PIMCO mutual fund
http://www.agf-am.com/

In charge of
- flattening or steepening position.
- Cash managing
- Country allocation
- 300 Millions EUR on european governments bonds
http://www.gofx2.com/
http://fr.biz.yahoo.com/mutualfunds/ga/fr001006...
http://fr.biz.yahoo.com/mutualfunds/ga/fr001024...

- Prop trading Abitrage on :

cash and carry
relative value
inflation
asset swap spread
carry trade

https://www.cic.fr/fr/index.html