Pierre Roquebert Email & Phone Number

Ville De Paris, Île-De-France, France

· Exotic Fixed income and Currency team.· Analysis of model risk on pricing (PVA).· Credit derivatives.

Ville De Paris, Île-De-France, France

· Linear Fixed income and Currency team. · Implementation of a curve stripping algorithm from market instruments (mono and multi curve)· Implementation of metrics to measure the curve quality (localness, repricing, stability, hedge)· Marking of illiquid parameters (Fut-FRA convexity and forward basis spread)

Maisons-Alfort, Île-De-France, France

· Credit risk analysis· Determination of the consumption of guarantee funds· Use of machine learning models (Trees as well as PCA & clustering) to predict the expected loss, and analysis of the variables on said loss with python

Seoul, South Korea

· Signal analysis of financial time series (Direct filter approach and L1-trend filtering)· Sentiment analysis & natural language processing of financial news (Naive Bayes and boosting)

Master M2Mo, Applied Mathematics To Finance

• Stochastic calculus & control • C++ • Derivatives modelling • Algorithmic trading • PDE, Monte-Carlo • Statistics of diffusion

Master'S Degree, Mathematics And Statistics

• Statistics & Probabilities • Machine Learning • Copulas, Risk management, Green finance • Economics (micro-economics, macro-economics.

Master'S Degree (Ingénieur Civil Des Mines), Data Science

• Data science & Big Data (machine learning, statistics, optimisation) • Operation research and decision science (game theory) • Image.

Preparatory Classes For French Engineering Schools (Ptsi/Pt*)

Intensive 2-year preparation for French Ecole d'ingénieurs' examination with advanced courses in Mathematics, Physics, Computer Science.