Nicolas Merlet Email & Phone Number

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Ville De Paris, Île-De-France, France

Assignement at BPCE Model Risk Management:Validation of risk models including one-way stress and AVA calculation.- review of methodology: soundness of the approach, challenge by alternative methodology, analysis of the underlying hypothesis, review of the application scope- analysis of suitability of inputs- independent implementation of the methodology

Paris Et Périphérie

Assignment at NATIXIS Enterprise Risk Management:- Coordination of methodological developments (all risk types): conduction of monthly meetings validating model changes, key participant at steering committee on metrics production;- Management of the relationship with the independent validation team (MRM) on internal capital;- Contribution to the writing of the economic approach section in the ICAAP report and to JST supports on SREP (status of implementation of findings… Show more Assignment at NATIXIS Enterprise Risk Management:- Coordination of methodological developments (all risk types): conduction of monthly meetings validating model changes, key participant at steering committee on metrics production;- Management of the relationship with the independent validation team (MRM) on internal capital;- Contribution to the writing of the economic approach section in the ICAAP report and to JST supports on SREP (status of implementation of findings, data-collection exercises, JST CRO or Capital meetings…);- Coordination of the production on economic capital metric for all risks and analysis of the consolidated result (gap analysis with regulatory capital, temporal evolution, model change impacts) for senior management (Risk, Finance, CEO and Board);- Contribution to the definition of the functional requirements for industrialisation of the production of economic capital metrics; monitoring of the project progress;- Production of the economic capital metrics for Market risk and Private equity risk; key participant in their methodological developments. Supervision of tactical tools allowing to increase their calculation frequency and to transfer these tasks respectively to the market risk department (completed Q3-21) and the finance department (in progress);- Key participant in the operational integration (use-test) of economic capital metrics for business line steering, working closely with the Finance department: process and timelines for calculations, choice of indicators, division of roles and responsibilities among the departments. Focus on the definition of the requirements for allocation (target granularity, golden source, consistency of allocation methods).Assignment at SOCIETE GENERALE Global Markets COO Regulatory Office:- monitoring of compliance to Volcker rule;- calculation of RENTD indicator and proposal of limits levels/threshold (VaR, SVaR, major sensitivities) for Equity desks;- analysis of impact of desks merge/split Show less

Singapore

Dual reporting to the Head of Risk Asia and to the global Portfolio Reporting Team:- Creation and supervision of timely production of detailed and accurate risk reports distributed to higher management and to regulators in Asia, UK and the US.- Advising the Head of Risk Asia on credit risk exposures, applying combined market and credit stresses and identifying mitigations- Pivotal contribution to global initiatives to enhance report consistency, data quality and completeness, and to… Show more Dual reporting to the Head of Risk Asia and to the global Portfolio Reporting Team:- Creation and supervision of timely production of detailed and accurate risk reports distributed to higher management and to regulators in Asia, UK and the US.- Advising the Head of Risk Asia on credit risk exposures, applying combined market and credit stresses and identifying mitigations- Pivotal contribution to global initiatives to enhance report consistency, data quality and completeness, and to streamlines reporting processes.- Definition and implementation of a comprehensive country stress-test with focus on non-convertibility and non-transferability events - project sponsored by the Head of Risk Asia.- Coordination of Asia regional requirements and specificities with global developments and ensuring a two-way flow of communication.- Leading the CIB reporting working group to allow for accurate and timely combined CB+IB reporting Show less

Région De Paris, France

Worked for the French regulator for banking activities, specifically on controlling internal models used by banks. Assignments included: - Validation and development of valuation models and reserve policies - Review of risk models used by banks: stress test, sensitivities to market parameters - Specialist in Basel II and III market risk models: Value-at-Risk (VaR), Incremental Risk Charge (IRC), Comprehensive Risk Measure (CRM), Stress VaR - Audit of other regulatory models:… Show more Worked for the French regulator for banking activities, specifically on controlling internal models used by banks. Assignments included: - Validation and development of valuation models and reserve policies - Review of risk models used by banks: stress test, sensitivities to market parameters - Specialist in Basel II and III market risk models: Value-at-Risk (VaR), Incremental Risk Charge (IRC), Comprehensive Risk Measure (CRM), Stress VaR - Audit of other regulatory models: Effective Expected Positive Exposure (EEPE) and Potential Future Exposure (PFE or Credit VaR) for counterparty risk Show less

Région De Paris, France

Responsible of investment strategies and of developing accurate reporting. Managed a team of fund administrators. Main achievements: - Conceived and updated notional portfolio and benchmarks - Accurately monitored risk, quantified and analyzed performance of all Banque de France operations (fixed income, foreign exchange, swap and forward) - Developed automatic reporting tools (using Excel, VBA and SQL queries) - Designed and supervised the implementation of a collateral… Show more Responsible of investment strategies and of developing accurate reporting. Managed a team of fund administrators. Main achievements: - Conceived and updated notional portfolio and benchmarks - Accurately monitored risk, quantified and analyzed performance of all Banque de France operations (fixed income, foreign exchange, swap and forward) - Developed automatic reporting tools (using Excel, VBA and SQL queries) - Designed and supervised the implementation of a collateral valuation tools for domestic market monetary policy operations (repo) - Expert in financial instrument pricing, RiskMetrics RiskManager software and risk management practices Show less

Rennes, France

Improved and simplified radar signal processing softwareWrote technical specifications of the software

Nancy, France

Designed an electronic document customization and processing frameworkGained skills in XML

Conducted a feasibility study for internet remote access and control of electrical motor circuit breakersSolved CPU sharing issues between the remote access server and the circuit breaker monitoring functions

Msc, Management And Regulation Of Risk

Main courses in financial risk analysis, quantitative methods for finance, corporate finance and asset markets, operational risk and risk.

Master'S Degree, Engineering, Mathematics

Major in Computer Science and Knowledge Engineering. Minor in Electrical Engineering, Mathematics and Telecommunications. Overall GPA: 3.8