Nathanael Hyafil

Manager of 3 risk quant teams of 15 people over 2 countries:
- Model Validation (Risk Quants)
- Market Risk Measurement Methodologies
- Credit & Physical Risk Measurement Methodologies

Integration of employees from 3 organisations with very different cultures in a merger context.

Responsibilities:
• Overseeing the validation of FO Quants pricing models (forwards, swaps, European/Asian/American options, swaptions, structured products, transport capacities, gas storage, swing contracts, electricity tollings …) and parameter estimation models (correlations, volatilities, swaption coefficients…)
• Designing, reviewing and implementing state-of-the-art and regulatory compliant market risk, credit risk and physical risk measurement methodologies (VaR, Stress VaR, Greeks, Credit VaR, Physical VaR, P&L reserves)
• Analysing complex structured products for prop trading and risk management services

Manager of a team of 5 people.

Responsibilities:
• Approval of new products, markets and activities in Gaselys, including new activities due to merger with Electrabel Trading
• Coordination of projects (FO, Risk, IT) including implementation of a regulatory compliant Stress VaR
• Analysis of risk-reward of specific deals, strategies and/or activities
• Implementation and monitoring of internal market risk limits

Leadership & Team Management
• Led project teams ranging from 2 to 20 members, both internal or joint client-consultant teams
• Scoping and planning of projects, allocation of resources
• Output oriented management focused on delivering high quality on time and on budget
• Conducted candidate interviews and participated in hiring decisions

Analysis & Problem-Solving
• Led and performed numerous reviews on banking and energy clients’ risk management frameworks resulting in recommendation (and often implementation) of state-of-the-art solutions to identify and manage risks
• Led the design and implementation of a new, state-of-the-art, portfolio valuation and risk measurement framework (policies, methodologies, processes, quantitative models) for a leading European energy trader, resulting in value creation through the integration at European level of all trading and risk optimisation decisions
• Led the analysis of a leading European integrated utility’s strategic options for international development and portfolio optimisation, resulting in Board-level investment and divestment decisions

Communication & Negotiation
• Interacted with clients at all levels, from junior analyst to the CFO of a leading European utility and CEO of a major European energy trader
• Supported major UK bank in approval of several risk measurement models by UK regulator (FSA) and French bank in communication of real estate risk exposure to French regulator (Commission Bancaire)
• Supported senior partners on “sales pitches” and contract negotiations for numerous projects

2003 – 2007:
• Selected topics: Making well-known economics results computationally tractable. Developed first auction protocols to trade-off efficiency of decision-making with cost of revelation implementation.
• Applications: E-commerce, Marketing, Large-scale Auctions, Multi-attribute Procurement, Service Level Agreement Negotiation

2001 – 2003:
• Selected topics: Decision-making under uncertainty or under risk. Developed algorithms for efficiently finding optimal sequence of actions or decision tree under uncertain environments, with or without feedback on risk
• Applications: Large-scale Logistics, Job Shop Scheduling, Mars Rover Exploration