Experience

efa

• Luxembourg
• Financial Services
• 200 - 300 Employee

• Head Of Complex Valuation

  • Dec 2014 - Present

  In charge of the Complex Valuation team (2 people). Continue developing the activity (mainly challenging prices of OTC Derivatives, Structured Products, Less liquid instruments), support to our clients and support to other departments as well as developing new services. Find pragmatical solutions to specific issues related to pricing, analytic computation, client specific requests. Leverage existing processes and tools to a more robust and industrial work flow and… Show more In charge of the Complex Valuation team (2 people). Continue developing the activity (mainly challenging prices of OTC Derivatives, Structured Products, Less liquid instruments), support to our clients and support to other departments as well as developing new services. Find pragmatical solutions to specific issues related to pricing, analytic computation, client specific requests. Leverage existing processes and tools to a more robust and industrial work flow and architecture. Continue self-training by reading books and papers on Quantitative Finance and personal programming to keep up-to-date.

• Complex Valuation Officer

  • Mar 2011 - Nov 2014

  Joined the newly created Complex Valuation team (2 people only): + Offer pricing and challenging services of OTC derivatives, Structured products, or less liquid intruments to our clients realted to the NAV calculation process. + using multi-provider (in-house development + external complex pricing provider) approach. Best solution is chosen to ensure reliability, quality, cost efficiency. + Pricing and Challenging of OTC Instruments, Derivatives, Structured Products, etc..… Show more Joined the newly created Complex Valuation team (2 people only): + Offer pricing and challenging services of OTC derivatives, Structured products, or less liquid intruments to our clients realted to the NAV calculation process. + using multi-provider (in-house development + external complex pricing provider) approach. Best solution is chosen to ensure reliability, quality, cost efficiency. + Pricing and Challenging of OTC Instruments, Derivatives, Structured Products, etc... (analysis, development, deployment, training, quantitative / qualitative analysis of internal or external prices...) + Modelling review for different products, internal validation of valuation methodology + some R&D, In-house Modelling Development (bootstrapping curves (market rates, par CDS spreads, Basis Spread ...), surface smoothing (SABR Fitting and extrapolating), calibration based on characteristic functions, CDS ISDA Model, simple ABS prepayment model, Multi-Curve Framework for FRN / IRS / CCIRS (with basis spread curve), Quanto Multi-Heston, G2++, Laurent & Gregory CDO Model...) + Specific development for particuliar client needs (Full replication and challenging of a bank Money Market / Fx / Equity desk for specific portfolio with specific mechanism) + Generic synthetic NAV benchmark selection and calculation + Business oriented IT development mainly for pricing purpose (using Excel + VBA + Access, C++, Database, C++ code wrapped into Excel Addin, Matlab Standalone, Matlab Compiler (C++ and Excel Addin ...) + Internal Training (Financial concept and specific tools)



Banque Internationale à Luxembourg (BIL)

• Luxembourg
• Banking
• 700 & Above Employee

• Market Risk Analyst

  • Oct 2007 - Mar 2011

  + Main task was to monitor the valuation of the structured products issued by the structured product desk of the bank. This included: - manage the pricing process of the structured product portfolio (using Murex + Dexia internal libraries) for accounting and risk management purpose. - follow-up, report developments, prices comparison, product analysis, term sheet validation. - support the Collateral Management reconciliation process with quantitative technical expertise… Show more + Main task was to monitor the valuation of the structured products issued by the structured product desk of the bank. This included: - manage the pricing process of the structured product portfolio (using Murex + Dexia internal libraries) for accounting and risk management purpose. - follow-up, report developments, prices comparison, product analysis, term sheet validation. - support the Collateral Management reconciliation process with quantitative technical expertise when needed. + Interested in Quantitative Finance (modelling, stochastic processes, maths), Programming (VBA, C++), Derivatives, Structured Products + Performed some basic implementations in Excel + VBA (old single curve framework IRS, vanilla / exotic options in Black-Scholes-Merton world (closed forms + Monte Carlo simulations), binomial/trinomial trees for American options, a simplified lognormal model for Australian/European inflation CPI Linked Structured swaps and bonds Show less + Main task was to monitor the valuation of the structured products issued by the structured product desk of the bank. This included: - manage the pricing process of the structured product portfolio (using Murex + Dexia internal libraries) for accounting and risk management purpose. - follow-up, report developments, prices comparison, product analysis, term sheet validation. - support the Collateral Management reconciliation process with quantitative technical expertise… Show more + Main task was to monitor the valuation of the structured products issued by the structured product desk of the bank. This included: - manage the pricing process of the structured product portfolio (using Murex + Dexia internal libraries) for accounting and risk management purpose. - follow-up, report developments, prices comparison, product analysis, term sheet validation. - support the Collateral Management reconciliation process with quantitative technical expertise when needed. + Interested in Quantitative Finance (modelling, stochastic processes, maths), Programming (VBA, C++), Derivatives, Structured Products + Performed some basic implementations in Excel + VBA (old single curve framework IRS, vanilla / exotic options in Black-Scholes-Merton world (closed forms + Monte Carlo simulations), binomial/trinomial trees for American options, a simplified lognormal model for Australian/European inflation CPI Linked Structured swaps and bonds Show less



BANQUE POPULAIRE LORRAINE CHAMPAGNE

• France
• Banking
• 1 - 100 Employee

• Internship

  • Mar 2007 - Sep 2007

  7 months intership for post-graduate certification. ALM (balance sheet management + simulation/forecast, ...) + maths projects : - statistic modelling forecasting the interest rate applied to all the type of loans (Excel + VBA). - pricing software to price a few numbers of interest rate structured swap products in the banking portfolio (C++/QT/ .NET) 7 months intership for post-graduate certification. ALM (balance sheet management + simulation/forecast, ...) + maths projects : - statistic modelling forecasting the interest rate applied to all the type of loans (Excel + VBA). - pricing software to price a few numbers of interest rate structured swap products in the banking portfolio (C++/QT/ .NET)



Education Nationale

• France

• Maths Teacher

  • 2005 - 2006

  Fully-qualified secondary school teacher of mathematics ("professeurs certifiés CAPES") (France). Fully-qualified secondary school teacher of mathematics ("professeurs certifiés CAPES") (France).