Elie Chelly

LGD for Secured Lending to Corporate under US Law (or equiv.):establish requirements, propose quantitative solutions, and implement/enhance methods (estimation, data-nomenclature/source, calibration, back-testing) using external and internal data sources.
Support implementation of existing LGD models by specifying and validating IT implementation.
Write documentation and presentation in coordination with Jr.business Analysts for presentation/validation of model(s).
Enhance rating migration historical analytics as well as forecast processes.
Support enhancement, back-testing and review of calibration on CLEWS (CA-CIB Loss early Warning System).
Industrialize calculation of mark-to-model of cash instruments and establishment of "reserve price".

I was an assistant portfolio manager within the credit derivatives and structured products group.
CDS, nth-to-default, CDO / iTraxx tranche pricing.
Relative-value calculations on iTraxx tranches (JP Morgan method).
Automatisation of credit monitoring via Bloomberg.