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Natixis Corporate Solutions
- Energy Structurer
Paris
maintenant
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IXIS Corporate & Investment Bank
- Risk Manager Intern
2004 - 2004
Risk Management (6 months internship), Structured Alternative Investments (Fund Derivatives Desk)
Implementation of CPPI and Option on CPPI pricers
Post Graduate Thesis: Options on CPPI Pricing.
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IXIS Corporate & Investment Bank
- Risk Manager
2004 - 2006
Risk Management, Structured Alternative Investments (Fund Derivatives Desk).
• Risk approval of all products to be issued: CPPI, Options on CPPI, Option, Pass-Through, Leverage Products, Liquidity Line.
• Development of products and Pay-Offs :
- Implementation of Fund Derivative Pricers: Hedge funds Option and Option on CPPI (Stochastic volatility model combined with a HW interest rate model)
- Implementation and simulation of a delta hedged book.
- Risk Monitoring of the trading book
• Hedge funds control: Due Diligence, Investment guidelines, Quantitative Analysis.
• Risk monitoring of the non optional products.
• P&L and Provision production and supervision.
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Dresdner Kleinwort Wasserstein
- Intern
2003 - 2003
Dresdner Kleinwort Wasserstein, London: 2 months
Capital Market Origination, public Sector Desk.
Financial Analyst: « Market Updates », pitches.
