- till Aug2024: IBOR transition project- FRTB: IR IMA model

build a new framework from scratch for intraday monitoring of market risk

ECB homologation of the market risk internal model for equities as part of the brexit program

- First phase: ECB investigation (TRIM project) Redaction of quantitative reports in response to the queries and investigations of the ECB (European Central Bank); Strengthening the documentation corpus of the institution for the VaR model;- Second phase: Remediation plan (TRIM project) Designing, implementing and comparing multiple VaR diffusion methodologies (in R) on the hole Natixis trading book (diffusion under Kernel smoothing distributions, Gaussian distributions, Johnson distributions, EWMA distributions...); Changing the equity implied vol and credit spread mapping and projection methods; setting multiple periodic test to monitor the assumptions made on the risk factor diffusion model, the shock choice by asset class, the MC VaR convergence, the VaR backtesting and the 10 day VaR scaling approximation Designing, implementing and comparing multiple credit spread diffusion methodologies for the CVA- VaR computation (in R) (Gaussian model, log-normal model, hybrid models, shifted log-normal model...); this work is also embedded in FRTB project

- Challenging, testing and approving a new EEPE backtesting method (among many proposed). The tests have been performed independently using R and applied on both hypothetical and real portfolios. A detailed certification has been drafted and delivered as an official response to the ECB recommendation;- Redaction of quarterly EEPE backtesting reports where deep analyses are performed to explain EEPEbacktesing results on all asset classes;- Challenging, testing and approving a new model (multifactorial Exponential Ornstein-Uhlenbeck process) for Commodity implied volatilities;- Challenging and approving a new PV check method based on the discrepancies between risk and FO pricers (to detect any anomalies on the risk pricers);- Approving upgrades of netting rules for the BNPP indemnified agency lending perimeter.

Improvement of the pricing engine of money market products used by the group’s private banks:- Diagnostic and cartography of the accounting process of Money Market derivative products;- Cross asset data quality analysis;- Documentation of the action points to perform to ameliorate the accounting process and data

 June 2015 – May 2016: Counterparty Credit Risk Modeler (Société Générale):Commodity modelling for Counterparty Credit Risk:- Modelling commodities using multifactorial Exponential Ornstein-Uhlenbeck and B&S processes (Energy, Metal, Precious metal, Soft…);- Improving, calibrating and backtesting the diffusion model;- Reviewing and improving the model documentation;- Pricing of commodities’ formula swaps in C++;- Backtesting of the pricers and calibration parameters;- Monitoring CCR regulatory and economic indicators (PFE, EEPE, EE…). May 2015 – June 2015: Asset and Liability Management (Crédit Agricole Nord-Est):Optimization of macro-hedging portfolios- Reorganization of the portfolios’ product compositions used for hedging different ALM Gaps;- Simulation of different economic rate and inflation scenarios;- Documentation of the strategic decisions taken after the reorganization. Mar 2015 – April 2015: Prudent Valuation (Amundi):Prudent Valuation Computation of all fund parts held by the group- AVA calculation as part of the prudent valuation of the fund parts held and used in the regulatory required capital by the group;- Documentation of all the prudent valuation process and results. December 2014 – Mar 2015: Derivative pricing and model revues (For many French CIBs):- Review of model documentations;- Review of pricing methodologies and frameworks;- Redaction of Audit and Approval Reports;- Raise recommendation if any deficiencies found;- Pricing cross asset exotic products (Callable, Range accrual, Sticky, Cancellable, American, barrier products…).

Upgrading the pricing library for callable products used for ALM purposes- FO Model validation for callable products;- Asset and Liability Management: Gap calculation and hedging;- Pricing callable products using the Hull&White trinomial trees and proposing Gap ALM hedging methods using these products.

Upgrading Equity, FX and Credit models:- Improvement of the FX model from BS model to Markov switching model with jumps;- Review and improvement of the model documentation;- Review and improvement of the calibration and backtesting methodology documentation;- Implementation of sophisticated bootstrap methods for time-series.