David Guetta

Head of the 5 people team in charge of the norms and models for Assets & Liabilities Management for BPCE Group.

• Managed interest rate risk of Banques Populaires Group (€ 120 billion of total assets).
Implemented ALM software, elaborated, computed and improved risk indicators, defined and runned stress scenarios, performed risk analyses and hedging.

• Managed interest rate risk of CASDEN BP Group (€ 7 billion of total assets and € 7 billion of total off-balance sheet assets). Implemented Sibil software, elaborated, computed and improved risk indicators, defined and runned stress scenarios, performed risk analyses and hedging; responsible for strategic management of bank ratios,
• Managed in December 2000 the first synthetic securitization of residential non-mortgage loans in France using a € 1 billion balance sheet hedging CDS and with Merrill Lynch acting as an arranger. Computed statistical analysis, managed negotiations with arranger and rating agencies, organized procedures and producted infrastructure across internal departments,
• Managed AMAREN transaction, a € 150 million soft bullet securitization of residential loans to civil servants, from 2000 to 2004,
• Took a leading role in the creation of AMAREN 2, an amortizing securitization of € 1,8 billion residential loans launched by two partner banks, in December 2004,
• Founded and managed a proprietary trading book of options on shares listed on the MONEP. Generated € 2,7 million of profits in 2004,
• Managed bank’s funding on Money Markets, and through the issuance of long term loans such as Schuldschein,
• In charge of negotiating Asset Liabilities constraints for the bank with Regulators (Commission Bancaire), Internal and French Government Auditors. Praised by French regulators and Government auditors for the quality and degree of technicity of Asset/Liability risks management,
• Set out, computed and improved Mark to Market procedures for Middle Office,
• Regularly produced macroeconomic statements and scenarios for the bank.

• Modelled loans prepayment rate in Mortgage Backed Securities,
• Priced and hedged underlying option in MBS and ABS.

Africa : Algeria, Egypte, Ethiopia, Mali, Maruecos, Mauritania, Sénégal, Tunisia.
Americas : Argentina, Bolivia, Brazil, Canada, Chili, Paraguay, Pérou, Rép. Dominicaine, USA, Venezuela.
Asia : India, Indonesia, Israël, Malaisya, Singapore, Thaïlande.
Europe : Albania, Germany, Andorre, Austria, Belgium, Bulgaria, Croatia, Spain, Estonia, Finland, France, United Kingdom, Greece, Hungary, Italie, Kosovo, Lettonie, Lituanie, Macédoine, Monaco, Monténégro, Norway, Netherlands, Poland, Portugal, Rep. Tchèque, Romania, Serbia, Slovaquie, Slovénie, Sweden, Switzerland, Turquie.