• Implemented from scratch a digital tool for CCP counterparty risk monitoring in Python (Marginrequirement reconciliation, portfolio analysis, metrics sign-off such as Initial Margin, PFE, EEPE,Default Fund) 
• Defined controls on risk metrics (EEPE, PFE, Variation Margin, IM, DF, etc) to integrate into thedigital tool to improve and certify the quality of bank exposure 
• Participated in the transition from CEM to IMM methodology for listed derivatives 
• Optimization of IM posted to CCP worldwide

• Providing a methodology to assess the illiquidity of financial derivatives as part of Capital Requirements Regulation
• Pricing methodologies documentation used for IMM model (Commodities and Interest rates derivatives).
• Suggested an improvement on volatility term structure used in IMM model for commodities precious metals derivatives and other commodities derivatives

Market analyst and risk metrics certification on commodities

• Explained PnL and monitored risk metrics on daily basis (VaR, SVaR, stress test, greeks) on vanilla and exotic derivatives on commodities.
• Automated team processes via VBA (PnL adjustment process, calculation of risk metrics add-ons).
• Interacted with the Front Office, Audit, General Inspection and Risk Teams.
• Participated in the testing of the new metric certification tools required by the FED and trained the team.
• Certified greeks used in the SIMM model for counterparty risk monitoring.

Founded during my last year at university

Implemented an operational tool to check the consistency between the balance and the general ledger on each accounting closing date.
Executed bonds transactions into Simcorp Dimension tool to check the consistency of amortization method.

Topic : Analyzing the replication costs of nuclear power plants future liabilities under multiple shortfall risk constraints 

• Determined the least expensive portfolio which outperforms a given set of stochastic benchmarks at any constraint date
• Proposed the delta hedging strategy on each period between two constraint dates
•  Compared the replication costs of two types of constraints (European and American) through the Value-at-Risk and others Greeks parameters
• Measured the impact of portfolio rebalancing frequency on tracking-error or P&L

Analyzing the performance of Random Forests (RF) technique and providing an operational methodology based on this new technique 

• Proposed an operational methodology using Random Forests to develop scoring models
• Implemented and applied methodology on attrition and default score (estimate of default probability)
• Compared the performance of RF and logistic regression
• Investigated re-sampling techniques (SMOTE and Balance Random Forest technique) to tackle the problem of unbalanced portfolios

Provided a tax observatory in the financial department
Developed models to explain the growth of value added tax Implemented an observatory for taxation
Proposed models for tax prediction
Implemented an observatory for taxation

Specialization: Risk Management and Financial Engineering, France