Strategic Deployment, Modeling & Financial Engineering

Development within the Market Risk Department of the pricing of interest rate instruments in a Bi-Curve environment with multi-currency collateralization for the calculation of regulatory expenses allocated to market risk in the FRTB project
Validation of the pricing method for interest rate instruments in the case of negative rates

Implementation in a dual currency environment of a Bootstrap method of a foreign discount curve using cross currency swap rates
Impact test of a Front Office proposal of dynamic shift in a shifted normal log model

Development of a tool to generate probability of default (PD) and loss given default (LGD) curves according to defined criteria
Calculation of provisions on portfolios eligible to IFRS9 guidelines

Provide sellers with a pricing tool that allows them to offer clients real-time prices on the widest possible range of derivative products (OTC / Swap / EMTN)
Automate as much as possible the whole pricing chain: deal & booking / generation of legal documents
Develop connectivity to external platforms (emailing, websites)
Provide user support

Liaise with sales, trading and quants to understand and prioritize software evolution requests:
- Integration of new products
- Improvement of pricing quality (competitiveness / aggressiveness)
- Improvement of calculation performance
Specify the requests and supervise the developers in order to carry out the requested evolutions
Support and comply with regulatory requirements (PRIIPS, Hire Act)
Implement a new methodology for barrier spreads (trading margins)
Implement an automated mass price comparison tool (non-regression tests / securitization)
Implement a daily automated reporting to monitor market data updates
Improve market data transformations (dividends, volatility, correlations)
Modification of the valuation of the funding swap for EMTNs

Corporate and high net worth banks