Fabrice Lecuyer

Fabrice Lecuyer Email and Phone Number

Murex Flex Developer @ Natixis
Paris, FR
Fabrice Lecuyer's Location
Paris, Île-de-France, France, France
Fabrice Lecuyer's Contact Details

Fabrice Lecuyer work email

Fabrice Lecuyer personal email

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About Fabrice Lecuyer

A productivity driven quantitative developer specializing in Fixed Income and Interest Rates products.Originally from Paris where I studied Mathematical Finance, I moved to Sydney in 2006 where I started working for the Treasury department of the Commonwealth Bank.Over the years, I became a key team member of CBA's Quantitative Analysis Group, having delivered important developments using Excel, C++ and C# enabling traders to price financial instruments and manage their risk efficiently.Most recently I have co-founded a consulting company called QuantSOS that aims to specialise in the validation of third party vendor models in front office pricing and risk contexts.During my career, I have acquired people and project management skills. I have applied the AGILE methodology and am passionate about efficient project and team management in general.

Fabrice Lecuyer's Current Company Details
Natixis

Natixis

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Murex Flex Developer
Paris, FR
Fabrice Lecuyer Work Experience Details
  • Natixis
    Murex Flex Developer
    Natixis
    Paris, Fr
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  • Natixis
    Murex Flex Developer
    Natixis Jan 2021 - Present
    Paris, Île-De-France, France
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  • Teamtek Global
    Murex Flex Developer
    Teamtek Global Jan 2021 - Aug 2022
    Paris, Île-De-France, France
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  • Quantsos
    Senior Quantitative Analyst
    Quantsos Nov 2017 - Aug 2022
    Paris Area, France
    QuantSOS aims to provide as close as possible to an “off-the-shelf” independent validation of Murex’s models for front office pricing and risk calculations at a substantially lower cost than a bespoke validation by a generalist consulting firm. For more information visit http://www.quantsos.com.
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  • Commonwealth Bank - Treasury
    Associate Director, Quantitative Analysis
    Commonwealth Bank - Treasury Sep 2015 - Oct 2017
    Sydney, Australia
    Seconded to the Group Funding team, I was mainly tasked with the succesfull delivery of the Spitfire project which aimed at migrating all Group Funding's structured issuance into the Murex 3.1 system.I was also tasked with various BAU tasks, such as create a P&L report in C#, implement, maintain and correct trades within the existing system (QUIC), and clear exception reports.During that time, I kept an important role in the improvement and maintenance of the Quantitative Analysis Group pricing C++ libraries.
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  • Commonwealth Bank - Global Markets
    Associate Director, Quantitative Analysis
    Commonwealth Bank - Global Markets Jun 2013 - Sep 2015
    Sydney, Australia
    During my time as an Associate Director I have played an integral role in the successful completion of a project to upgrade the bank's official Fixed Income revaluation and limit system. As the lead developer of the Model Validation Scrum, I participated in the project's specifications and technical design, helped in configuring the system correctly and obtained independent sign-off that the models were fit for purpose as per CBA's model policy.I oversaw the development of an automated validation engine in C++ reproducing prices and risk figures for all products in scope, while maintaining and developing our C++ libraries and previously built systems.
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  • Commonwealth Bank - Global Markets
    Senior Quantitative Analyst
    Commonwealth Bank - Global Markets Mar 2010 - Jun 2013
    Sydney, Australia
    As a Senior Quant for the Interest Rates and Fixed Income quantitative analysis team, I continued the development and maintenance of our C++ pricing libraries and the Fixed Income pricing spreadsheets.With a goal to replace the Fixed Income pricing spreadsheets, I led the effort to validate a third party pricing system, ION, and developed various add-on components for the platform in order to close pricing and risk functionality gaps.I also developed a risk calculation engine allowing Short Term Interest Rates (STIR) traders to view their multi curve exposures and integrated this engine into various front ends for trading, multi system risk aggregation and limit management.
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  • Commonwealth Bank - Global Markets
    Quantitative Analyst
    Commonwealth Bank - Global Markets Jan 2008 - Mar 2010
    Sydney, Australia
    As part of the Interest Rates and Fixed Income quantitative analysis team, I was made responsible for the improvement and maintenance of the Quantitative Analysis Group pricing C++ libraries for which I led the development of a multi-curve framework, including swap curves, bond curves, basis curves, cross currency curves, FX forward curves, CDS curves and OIS curves. I improved the interface of our product suite, merging multiple add-ins into a single Excel add-in and adding a fully object oriented framework to the interface.I also developed a series of spreadsheets for the Fixed Income traders used as the main intraday pricing, risk and P&L system for corporate bonds, high grade bonds, FRNs and CDSs in AUD, USD, EUR and GBP.
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  • Commonwealth Bank - Treasury
    Quantitative Analyst
    Commonwealth Bank - Treasury Aug 2006 - Dec 2007
    Sydney, Australia
    The Treasury quantitative analysis group was tasked to implement and validate exotic Medium Term Note pricing within the QUIC pricing system.As part of the team I implemented various payoffs such as Ratchet, Target redemption, CMS Swap, Range Accrual, Barrier, Snow Range, covering all asset classes (Interest Rates, FX, Equity, and Commodity linked structures).I was also tasked to implement trades within the system, maintain and correct existing trades, and clear exception reports.
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Fabrice Lecuyer Skills

Fixed Income Fx Options Derivatives Financial Markets Banking Risk Management Quantitative Analytics Financial Risk Capital Markets Trading Equities Management Quantitative Finance Investment Banking Trading Systems

Fabrice Lecuyer Education Details

Frequently Asked Questions about Fabrice Lecuyer

What company does Fabrice Lecuyer work for?

Fabrice Lecuyer works for Natixis

What is Fabrice Lecuyer's role at the current company?

Fabrice Lecuyer's current role is Murex Flex Developer.

What is Fabrice Lecuyer's email address?

Fabrice Lecuyer's email address is fa****@****xis.com

What schools did Fabrice Lecuyer attend?

Fabrice Lecuyer attended Esilv - Ecole Supérieure D'ingénieurs Léonard De Vinci.

What skills is Fabrice Lecuyer known for?

Fabrice Lecuyer has skills like Fixed Income, Fx Options, Derivatives, Financial Markets, Banking, Risk Management, Quantitative Analytics, Financial Risk, Capital Markets, Trading, Equities, Management.

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