Description

Committed and motivated professional with Master's degrees in International Finance, Risk Management and Statistic Engineering, as well as several years of hands-on experience in planning and implementing solutions in support of business objectives in the field of mathematical modeling, investment strategies and financial management consulting, while working with a continuous focus on personal development. Previous projects include various collaborations with firms such as Natixis, BNP and IBM, as well as working in the cryptocurrency market since 2016 by conducting quantitative analysis and trading. This also includes a deep valuation of benifit/risk within the sector. Here has the focus always been and still is on the development of strategies, complex analyses, leadership skills and goal-oriented processes.

Being a financial expert with a strong passion for analysis and IT, along with my proven experience in building new and maintaining/expanding existing relationships, I am competent in all prospective activities. I possess the ability to execute technical or complex projects with a quality consultative approach and am adept at understanding scientific needs while monitoring product KPIs and business metrics. My previous work experiences have prepared me to work in a fast-paced, challenging and fast-evolving environment, collaborating with cross-functional teams and individuals from different cultures and nations. Due to my excellent communication skills, I am able to build a profitable relationship with employees, partners and key decision makers alike.

Industry field of expertise

Languages

English
Native or bilingual
French
Native or bilingual
Arabic
Native or bilingual

Workplace preferences

Can work on-site

Dubai (up to 50km)

Emirates NBD
Head of Methodology and Analysis
July 2024 - Today (1 year and 11 months)
Dubai - United Arab Emirates
with Emirates NBD
Main responsibilities:
• • Leading activities of modelling and implementation of the Front Office Pricing/Greeks for all derivative products (Vanillas and Exotics) with cross asset classes (IR, FX, Credit and Commodity)
• • Leading design/development activities of modelling and implementation of Counterparty Credit Risk (EPE/EEPE/PFE/XVA) cross asset classes (IR, FX, Credit and Commodity) in IMM
• • Managing quantitative team for the bank to handle Market and Treasury Credit Risk models (4 team members)
• • Working with Front Office and Structurer to develop and implement Pricing/Greeks library in Python
• • Working with Front Office and Structurer to perform detailed trade-level risk analysis for both new and existing positions.
• • Reporting to the Group Head Market and Treasury Credit Risk, and preparing presentation for Model Risk Management Committee
• • Leading audits with internal and external auditors (Central Bank of UAE)
• • Defining limits for Market and
Risk analysis Risk Management Quantitative
ADCB
Head of Model Validation of Treasury, Market and Counterparty Risk Models
September 2022 - June 2024 (1 year and 9 months)
Abu Dhabi - United Arab Emirates
Several responsibilities with Abu Dhabi Commercial Bank during 2 Years (USD 1.75BN+ revenue):
Main responsibilities:
• • Leading validation activities of modelling and implementation of the Front Office Pricing/Greeks for all derivative products (Vanillas and Exotics) with cross asset classes (IR, FX, Credit and Commodity) and VaR/SVaR/FRTB models
• • Leading validation activities of modelling and implementation of Counterparty Credit Risk (EPE/EEPE/PFE/XVA/WWR/SA-CCR) cross asset classes (IR, FX, Credit and Commodity) in IMM
• • Leading Independent Price Verification (IPV) with Front Office and P&L validation of Trading Book
• • Managing quantitative team for the bank to handle Treasury, Market and Counterparty Risk models (3 team members)
• • Reporting to the Group CRO and preparing presentation for committees (ALCO, MRMC, BRC)
• • Leading audits with internal and external auditors (Central Bank of UAE)
• • Providing support on structured products (pricing/risk) for Structurers and Front Office
• • Leading analysis on daily Variation Margin to fix dispute with counterparties;

Example of completed / ongoing projects:
• • Internal validation of front office models (Vanillas: NDF, FX Swap, Time Options, FX Options, FX Digital Options, FRA, IR Swap, TRS, Xccy Swap, Swaptions, Cap/Floor. Exotics: FX One and Double Touch Options, TARF, Bermudan Swaptions, IRS Callable, Asian Options)
• • Leading internal validation of counterparty risk models for calibration, diffusion, pricing and aggregation (Hull-White, Garman-Kohlhagen and Gabillon models)
• • Leading internal validation of market and counterparty risk measures
• • Leading internal validation for Behavioral Modeling and IRRBB (EVE, NII, EaR).
• • Preforming model validation by Designing/Implementing an internal framework for Pricing/Greeks of bank derivatives portfolio (Vanillas/Exotics) and Market and Counterparty Risk Models in Python
• Building Model Governance Framework with respect to the local
Risk Management Risk analysis
Natixis
Expert and Senior Quant
September 2019 - August 2022 (2 years and 11 months)
Paris, France
Several projects with Natixis
Main responsibilities:
• • Leading financial risk modeling activities
• • Developing mathematical models with Bank' team responsible of risk modelling for EEPE/PFE and XVA (16 team members)
• • Modeling counterparty risk for different asset classes: Interest Rate, FX, Equity, Commodity
• • Modeling credit risk activities for different products: ABS, RMBS, CMBS, CDO and CLO
• • Developing project deliverables for major Steering Committees and lead the presentations to the CRO

Example of completed:
• • Modeling and implementation of WWR for CVA with Hull and White approach
• • Modeling and implementation of DRC and NMRF for FRTB regulation
• • Leading ECB internal model (IMM) audit and homologation for EPE/EEPE/PFE models
• • Modeling the Economic Capital (ICAAP) for the securitization portfolio
• • Implementation of the recommendations outlined by the ECB and the client's Validation Department
• • Development of the calibration framework cross asset classes for EPE/EEPE/PFE models using Python
• • Development of a pricing library for the securitization portfolio using Python

Models, Numerical approaches and Used tools by the team:
• • Hull-White, Garman-Kohlhagen, Gabillon, CIR++, Monte Carlo, Longstaff-Schwartz, Black-Scholes, Jump to Default process.
• • Python, C++, R, Excel and Matlab