Freelancer profile translated to English.
Back to original languageAbout Fabrice
Senior Consultant in Credit Risk Management, my work focuses on modeling and model review of Credit Risk parameters (PD, LGD, EAD) within an IRB and IFRS9 framework.
I have notably been involved in the following areas:
-Review of NDoD Retro-simulation
-Review of PD and LGD RDS
-Review of PD and LGD Risk Differentiation and Risk Quantification
-Construction of SME and Large Corporate LGD RDS for Backtesting and Annual Review exercises
-Remediation of ECB Obligations
-Production of Risk indicators in the context of Securitization (Large Enterprise with turnover > 500M EUR)
Technical environments: SAS, R, Python, and Dataiku
French
Native or bilingual
Can work on-site
Paris (up to 50km)
Experience
- PHAST SOLUTIONSenior Quantitative Credit Risk Analyst ConsultantBANKING AND INSURANCEMarch 2023 - Today (3 years and 3 months)Paris, FranceAROM Project (IRB Model Backtesting) | Société Générale▪ Construction of LGD RDS for backtesting and annual review exercises for the Non-Retail segment (Large Corporates and SMEs).▪ Monitoring of chaining and aggregation algorithms, comparative analysis between the backtesting RDS and the modeling RDS.Remediation of ECB Obligations | Société Générale▪ Integration of ECB recommendations (algorithms, economic loss calculations, updates) into the SME LGD RDS.Migration of GE LGD RDS Construction Programs from SAS to Dataiku | Société Générale▪ Development of the strategy and planning for migrating GE LGD RDS programs from SAS to Dataiku.▪ Complete execution of the migration, drafting of associated documentation, and management of operational resources.▪ Regular monitoring and reporting to project sponsors.JUNON Project (Securitization) | Société Générale▪ Production of detailed reporting on risk indicators for a Non-Retail portfolio (analysis of transition matrices, obligor volume, and outstanding amounts by rating and cohort).
- Phast solutionJunior Quantitative Credit Risk AnalystBANKING AND INSURANCEOctober 2021 - February 2023 (1 year and 4 months)Paris, FranceHaussmann Project (Retail Segment) | Société Générale▪ Review of the New Definition of Default (NDoD): review of the definition's compliance and implementation criteria, challenging implementation criteria, report writing.▪ Review of IRB models (PD, LGD): RDS review, review and challenge of Risk Differentiation and Risk Quantification, RWA impact simulation, report writing.
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Education
- Master's in Econometrics and Applied Statistics (ESA)University of Orléans2021Le Master ESA est une formation pluridisciplinaire qui relève de l’informatique décisionnelle et s’appuie sur un socle de méthodes qu’il est nécessaire de maîtriser que ce soit en statistique et économétrie (économétrie de la finance, données de panel, variables qualitatives, séries temporelles, économétrie semi et non paramétrique, modèles de durée, classification, etc.) et en Machine Learning (arbres et méthodes d’ensemble, régressions pénalisées, réseaux de neurones, SVM, NLP, Machine Learning interprétable, etc.). La plupart des enseignements sont assurés par des enseignants-chercheurs membres de l’équipe économétrie du Laboratoire d’Économie d’Orléans