Aubry Miens

Co-Head of Risk Practice

Co-Head of Insurance Practice

Creation of Risk Analytics Department (+/- 100 people) in the Risk Division of Natixis group.

The Risk Analytics Department leads risk projects by developing methodolodgies, tools, guidelines and documentation. This covers market, credit and operational risks (regulatory and economical measurements). The department contains 4 units:
- Engineering Unit: market risk measures (VaR, IRC); credit risk measures (potential exposures, EPE); econometrics; second level analysis of risk figure moves.
- Programmers Unit: dedicated developers mainly on internal developments; interface with standard financial software (Fermat, Summit, Sophis, Calypso, Murex)
- Business analysts Unit: Basel 2 framework, risk reports, and so on.
- Production Unit: daily production of credit risk figures, monthly production of Risk Weighted Assets and credit reserves.

This Department has strong interactions with the French regulator (Agence de Controle Prudentiel).

Creation of "Risk Analytics Engineering" Unit in the Risk Division (from 1 person in Jan. 2002 to 15 in 2006) .
The "Engineering Unit" is a team of risk quants and business analysts that aims at developing risk methodologies and tools for the Risk Division. This covers also specifications and validation of data feed with FO systems, as well as relationships with the different Front Offices or building reports to the management.

Main subjects:
- Monte Carlo VaR,
- Credit potential exposures, rating migration model, etc...
- pricing, SABR, etc...
- covariance matrix, copulae
- Basel 2 : IRB-F

Work on the FO/MO software Tradix : Tradix is a complete solution for Capital Markets, covering IR markets, equities, Fx and credit derivatives, included deal capture, pricing of derivatives, market risk (VaR, liquidity gaps, optimal hedging,…), credit risk (CAD), position keeping, P&L. Clients are banks, corporates or funds

In Frankfurt-am-Main (Germany) from Sept. 1999 to Dec. 2001.