Raphaël Calame
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Raphaël Calame Email & Phone Number

Senior Manager - Quant Consultant at EY FSO Consulting at EY
Location: Saint-martin-d’hères, Auvergne-rhône-alpes, France 6 work roles 3 schools
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Current company
EY
Role
Senior Manager - Quant Consultant at EY FSO Consulting
Location
Saint-martin-d’hères, Auvergne-rhône-alpes, France
Company size
296502 employees

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Raphaël Calame is listed as Senior Manager - Quant Consultant at EY FSO Consulting at EY, a with 296502 employees, based in Saint-martin-d’hères, Auvergne-rhône-alpes, France. AeroLeads shows a matched LinkedIn profile for Raphaël Calame.

Raphaël Calame previously worked as Senior Manager - Quant Consultant at Ey and Manager Quant Consultant at Ey. Raphaël Calame holds Master Of Science (M.S.), Computer Science And Applied Mathematics With Specialty In Financial Engineering from Ecole Nationale Supérieure D'Informatique Et De Mathématiques Appliquées De Grenoble.

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EY

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About Raphaël Calame

Raphaël Calame is a Senior Manager - Quant Consultant at EY FSO Consulting at EY. They possess expertise in finance, microsoft office, c, powerpoint, microsoft word and 1 more skills. They is proficient in Spanish and English.

Listed skills include Finance, Microsoft Office, C, Powerpoint, and 2 others.

Current workplace

Raphaël Calame's current company

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EY
Ey
Senior Manager - Quant Consultant at EY FSO Consulting
london, greater london, united kingdom
Website
ey.com
Employees
296502
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6 roles

Raphaël Calame work experience

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Senior Manager - Quant Consultant

Current
Ey

Ville De Paris, Île-De-France, France

Jul 2024 - Present

Manager Quant Consultant

Ey

Paris, France

Jul 2021 - Jul 2024

Senior Quant

Ey

Région De Paris, France

Missions Topics :- Valuation models: Assistance to Front-Office documentation and numerical tests (mainly interest rates derivatives), assistance to model validation team, derivatives counter-valuation.- Model risk management (MRM): Assistance to operational aspects concerning the MRM financial institution's framework.- Fair & prudent valuation policy: Framework review of a financial institution (IPV, observability assessment, XVA, Day one provisions, MPU, COC, model reserves).-… Show more Missions Topics :- Valuation models: Assistance to Front-Office documentation and numerical tests (mainly interest rates derivatives), assistance to model validation team, derivatives counter-valuation.- Model risk management (MRM): Assistance to operational aspects concerning the MRM financial institution's framework.- Fair & prudent valuation policy: Framework review of a financial institution (IPV, observability assessment, XVA, Day one provisions, MPU, COC, model reserves).- Market risk models: Assistance to model validation, assistance to framework review of a financial institution.Internal Topics :- Set-up of an internal tool for the valuation of financial instruments- Coaching of interns on project deliveries - Research projects: Model risk metrics, impacts of interest rates benchmark reform, modeling of financial returns for Risk Management (as an intern). Show less

Jul 2019 - Jul 2021

Junior Quant

Ey

Région De Paris, France

Sep 2017 - Jul 2019

Intern Quant

Ey

Région De Paris, France

Apr 2017 - Sep 2017

Summer Analyst, Account Management Team

Horizon Software

Paris, France

Horizon Software focuses on all trading businesses related to listed markets such as delta-one, structured products, options market making & trading. Its mission is to provide its clients with sophisticated algorithms in order to trade the way they really want.Within Account Management team, I was in charge of several missions among them:- understanding the asymptotic semi-parametric volatility model used for Options trading.- understanding the current asymptotic volatility… Show more Horizon Software focuses on all trading businesses related to listed markets such as delta-one, structured products, options market making & trading. Its mission is to provide its clients with sophisticated algorithms in order to trade the way they really want.Within Account Management team, I was in charge of several missions among them:- understanding the asymptotic semi-parametric volatility model used for Options trading.- understanding the current asymptotic volatility autofit algorithm used on Horizon Platform to optimize the parameters of the model in order to snap the implied volatility of the market, in the most accurately way.- finding solutions to improve the algorithm to make it work in a wider range of market conditions.- implementing and testing these solutions through Horizon Platform- documenting all of my approach Show less

Jun 2016 - Aug 2016
Team & coworkers

Colleagues at EY

Other employees you can reach at ey.com. View company contacts for 296502 employees →

BM Bashar Mahamid, Cma, Fmva Bashar Mahamid, Cma, Fmva Colleague at EyJordan View → CS Ca Shivani Singh Ca Shivani Singh Colleague at EyDelhi, India View → NK Nitish Kulkarni Nitish Kulkarni Colleague at EyBengaluru, Karnataka, India View → MR Mario Roberto Urbina Núñez Mario Roberto Urbina Núñez Colleague at EyMexico City Metropolitan Area, Mexico View → JJ José Jordano González José Jordano González Colleague at EyMálaga, Andalusia, Spain View → Y( Yaronda (Ronda) Cotton Yaronda (Ronda) Cotton Colleague at EyArlington, Texas, United States View → AJ Amy Jiang Amy Jiang Colleague at EyUnited States View → LS Luka Sopromadze Luka Sopromadze Colleague at EyTbilisi, Georgia View → HM Harshavardhan M Harshavardhan M Colleague at EyBengaluru, Karnataka, India View → OB Othmane Benkhadra Othmane Benkhadra Colleague at EyParis, Île-De-France, France View →
3 education records

Raphaël Calame education

Two Year Intensive Program Preparing For Entry To Top French Engineering Schools, Mathematics And Physics

Lycée Sainte-Geneviève

Activities and Societies: Co-captain of Basketball team (2013-2014)

FAQ

Frequently asked questions about Raphaël Calame

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What company does Raphaël Calame work for?

Raphaël Calame works for EY.

What is Raphaël Calame's role at EY?

Raphaël Calame is listed as Senior Manager - Quant Consultant at EY FSO Consulting at EY.

Where is Raphaël Calame based?

Raphaël Calame is based in Saint-martin-d’hères, Auvergne-rhône-alpes, France while working with EY.

What companies has Raphaël Calame worked for?

Raphaël Calame has worked for Ey and Horizon Software.

Who are Raphaël Calame's colleagues at EY?

Raphaël Calame's colleagues at EY include Bashar Mahamid, Cma, Fmva, Ca Shivani Singh, Nitish Kulkarni, Mario Roberto Urbina Núñez, and José Jordano González.

How can I contact Raphaël Calame?

You can use AeroLeads to view verified contact signals for Raphaël Calame at EY, including work email, phone, and LinkedIn data when available.

What schools did Raphaël Calame attend?

Raphaël Calame holds Master Of Science (M.S.), Computer Science And Applied Mathematics With Specialty In Financial Engineering from Ecole Nationale Supérieure D'Informatique Et De Mathématiques Appliquées De Grenoble.

What skills is Raphaël Calame known for?

Raphaël Calame is listed with skills including Finance, Microsoft Office, C, Powerpoint, Microsoft Word, and Latex.

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