HSBC France
- Head of VaR & Stress Testing Methodologies
Paris2007 - maintenant. Manager of six people.
. Market risk methodologies for VaR and stress testing.
. Due diligence analysis for new structured products and markets.
· Specific statistical & analytical studies task-force on pricing parameters.
· Pricing model implementation for IR vanilla derivatives.
· Fund appraisals for Sinopia funds (asset management).
HSBC France
- Market Risk Controller
Paris2005 - 2007. Weekly stress testing analysis and synthesis.
. Analysis on specific deals (payoff, sensitivities, structuring).
. Due diligence analysis for new structured products.
. VaR and stress testing methodology enhancements.
REUTERS Financial Software
- Financial Engineer
2003 - 2003· Sensitivities and P&L report analysis on the whole Kondor+ instruments.
· Option pricing model implementation testing (vanilla, asian, barrier, …).
HSBC France - Market & Model Risk Department SED
- Risk Manager
2003 - 2005. Market risk (sensitivities & VaR) limit monitoring and definition.
. Weekly market risk measure analysis and synthesis.
. Interactions with traders, quants and IT.
2002 - 2002Econometric model for credit risk classification based on the KMV approach. Model used as a decision tool for credit derivatives (CDS) and asset management.
