Michel Baud

Portfolio Manager on
- Cash Credit Fund (EUR 700m under management, 18 portfolios).
- CSO (EUR 5.5bn Asset Under Management, 22 portfolios).
- long short strategies (4 CPPI, various strategies credit indices EUR/USD, & correlation through tranches, long/short on single names).

unique analyst covering financial companies within fortis investments during the whole subprime crisis.

Trades ideas, investments recommendations, optimizations for CSO, CPPI,
and cash funds (total return & benchmarked).

I follow 150 names, including banks (US, EU, Asia and some emerging), insurance companies (inc. monolines, mortgage insurers), and other financial cies.

Sector reviews, publish internal research.

Frequent contact with clients (reporting, conf calls).

sold customized "alternative" solutions ("alternative Risk transfer) for Scor business solutions clients (corporates with >$500m revenues or faculatives, mainly on industrial risks).
contracts included Finite reinsurance, multi years, multi line contracts, with insurance risks (frequency / severity) as well as financial risks (credit, indices).

optimization of Scor reinsurance program.

was promoted head of Alternative Risk Transfer practice in 2004.

reported directly to the executive management.
in charge of the strategic project on capital allocation and RAROC (risk adjusted retrun on capital).
extrapolation of risk-related capital requirements by risks and lines of business, aggregation at the consolidated level (including correlations).


interface with various business lines (understand risks, needs, market)
data collection/ validation
design of methodologies
selection of consultant
management of 7 consultants
wrote a 80 pages descriptive document
communication (rating agencies, investor relations).

project has been fully and successfully completed on time, despite the 2 year constraint.

within the team of the CHief Actuary of the group (3 people), in charge of
- validate reserves, and pricing methodologies for all subsidiaries of the group (US, Asia, EU), audits.
- calculation of reserves for some non-vanilla risks (asbestos, polution, medical malpractice)
- R&D, new methodologies, actuaries seminars worldwide, trainee management

during the last two years, in addition to the task above, was in charge of the development of a new software, fully integrated in the IT system of the group, dedicated to the management and calculation of reserves.
the tool has been successfully developped (specifications, programming, tests, implementation in subsidiaries).
gained the internal "innovation award".

within Commerz Financial Product, developped programs to price various exotic options for the equity derivative desk: asian, barrier, forward start... using analystic formulas, trees, monte carlo (C++).