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Description

- Expertise in the implementation and testing of Basel rating models (PD, LGD, EAD)

- Basel regulations

- Business Analyst / AMOA

- SAS, Python

- Fluent English

Languages

French
Native or bilingual
English
Fluent

Workplace preferences

Can work on-site

Paris (up to 50km)

BPCE SA – DSI CORP
Business Analyst Rating Models
BANKING AND INSURANCE
January 2023 - Today (3 years and 6 months)
Paris 13 Gobelins, France
Context:
The BPCE Group's Corporate IT department has begun implementing and deploying new PD and LGD models for individuals and PD models for professionals. These models are used to rate the clients of all group entities (Caisses d'épargne, Banques populaires, Bred, Casden, BPCE Lease).

Achievements:
- Specification for collecting raw data and calculating new risk factors
- Specification of rating grids for different models
- Implementation of a testing and validation process for model implementation with the modeling team
- Unit testing of new PD and LGD models
- Reconciliation of ratings from the IT rating engine with ratings from modeling team simulations and analysis of discrepancies
- End-to-end testing with a sample of banks and regional banks (reception of outgoing flows, rating, return of incoming flows, and testing of the proper integration of return flows into the entities' IT systems)
- Collaboration with the "regulatory calculation" team to estimate the impact of new models on RWA

Technical Environment:
SAS/Base, SAS/macro, SAS/STAT, Python, SQL ORACLE
SAS Programming Python (Programming Language) Business Analyst / AMOA Basel Regulations Rating Models (PD, LGD, EAD)
BNP – RISK Global Framework / RISK Models & Regulatory
Model Performance Consultant
January 2022 - October 2022 (9 months)
Context:
The REBOOT program aims to rationalize and standardize the portfolio of advanced approach credit risk models. One of the pillars of this project concerns the standardization and industrialization of model performance evaluation processes. Within this pillar, the objective will be to evaluate and integrate override information into the backtesting process.

Achievements:
- Extraction of ratings from rating systems (CRF for corporates and CPA for financial institutions)
- Evaluation of PD and LGD overrides for the following scopes: Corporate, Banking, Insurance, and Hedge Funds
- Enrichment of backtesting databases with override data
- Reconciliation of rating workflows with final ratings used in backtesting databases and analysis of non-reconciliation cases
- Monitoring of PD/LGD overrides related to non-retail models
- Production of deliverables to meet ECB obligations on overrides

Technical Environment:
SAS/Base, SAS/macro, SAS/STAT
HSBC – Direction des Risques
Quantitative Risk Analyst Consultant
BANKING AND INSURANCE
September 2020 - May 2021 (8 months)
Paris, France
Context:
To meet regulatory requirements, HSBC Retail France has engaged in discussions with internal audit and the ECB to validate the new Basel parameters models (PD, LGD, EAD/CCF).
Achievements:
- Participation in the implementation of LGD Cure and LGD non-cure models
- Production and validation with internal audit of ECB templates for LGD and LGDD models
- Participation in the quantification of Long Run LGD and Downturn LGD
- Backtesting of Retail PD models
- Coordination of data preparation implementation with a technical team based in India.

Technical Environment:
R, SAS/Base, SAS/macro, SAS/STAT