Nicolas Simon Email & Phone Number

Brussels, Be

Brussels, Brussels Region, Be

• ALM & Interest-Rate risk monitoring and hedging,• Liquidity risk monitoring,• ORSA economic projections with statutory and solvency II forecastings• Solvency II Market risk calculations,• Investment analysis multi asset classes.

Schaerbeek, Brussels Region, Be

Internal position:• Preparation of competitive offers,• Internal training.

Schaerbeek, Brussels Region, Be

Transformation project of a market risk and counterparty credit risk (CCR) solution.CCR exposures computed using both Internal models and Standardized approach.

Amsterdam, North Holland, Nl

As seconded staff, I am working with quantitative analytics team on FRTB related matters:• Residual Risk Add on in the Standardised approach,• Expected Short Fall in the Internal Model approach,• Modellable and Non-Modellable Risk Factors in the Internal Model approach,• Building of the Equity market data history and Automatization of Market Data update• Other FO project: MiFID II and PRIIPS\KID

Amsterdam, North Holland, Nl

• In charge of global risks management of the Index derivatives books with PnL objectives and Risks restrictions,• Pricing and hedging all kind of products from vanilla to exotic options across different asset classes, (EQ, IR, FX, Commodities and Funds),• Model development and enhancement in collaboration with quantitative analytics team,• New product proposals in collaboration with structuring team,• Coaching new members of the team regarding risk, models and Front Office applications.Projects• Multi-Asset Pricing Platform program:• OIS for Equity Derivatives (migration of trading books and models to an OIS framework):• Automatization of business booking process

Amsterdam, North Holland, Nl

• In charge of global risks management of Index derivatives books with PnL objectives and Risks restrictions,• Pricing and hedging of vanilla and light exotics products on EQ, FX and Funds,• Model development and enhancement in collaboration with quantitative analytics team,• New product proposals in collaboration with structuring team,

Bruxelles, Paris, Be

Owner of the EUR IR derivatives book including caps & floors, European and extendible swaps.Sole responsible for portfolio hedging and modelling option risk parameters.I developed from scratch a new book dedicated to Bermudan swaptions and work with the sales people to develop the franchise.

Bruxelles, Paris, Be

Development of Font Office tools to evaluate Interest Rates structured products and to manage the financial risks linked to these structures.Training, education and explanation of exotic products dynamics to sales people.Analysis and validation of Reech IR pricing library and of Murex IR models.

Bruxelles, Paris, Be

Various position in different departments: Custodian Depository, Assets and Liabilities Management (ALM), and Front Office Modelling teams where I worked on the development/improvement of different processes/tools.

Functional analysis of the reporting process of Belgian funds managed by ING Investment Management.

Certificate In Quantitative Finance And Alm

Certificate In Actuary

Post-Graduate Degree, Business & Finance

Master, Political Sciences

Advanced Degree, International Finance