Freelancer profile translated to English.

Description

Expert in Quantitative Analysis and Credit Risk Management (Basel 3 and IFRS9).

I have strong skills in modeling, implementation, applied review (counterbalancing calculations), and backtesting of models (PD, LGD, LGDD, CFF, origination score). I also have experience in Credit Risk Management (KPI analysis, mastery of the regulatory framework, calculation of provisions / RWA, etc.).

Furthermore, I master the regulatory framework (Basel 3, IFRS 9, SR11-7, FRTB, CRR, EBA) that banks must comply with in their modeling work.

Finally, with several assignments carried out in France and abroad in the core business of banking, I have good writing and communication skills, allowing me to write reports for senior management and subsequently present them in French and English.

Languages

French
Native or bilingual
English
Fluent

Workplace preferences

Can work on-site

Paris (up to 50km)

BNP Paribas Leasing solution
Quantitative Analyst - Credit Risk
BANKING AND INSURANCE
March 2023 - April 2025 (2 years and 1 month)
Paris, France
Development and backtesting of Credit models (PD, LGD, LGDD, origination scores) at the Risk Department of BNP Paribas Leasing Solutions across various scopes (France, England, Germany, Belgium, Spain).

Proposal of IFRS9 parameter modeling methodologies (PD, LGD, LGDD) based on available variables and client characteristics,
Development and committee validation of the developed IFRS9 parameters,
Analysis and explanation of impacts in terms of provision amounts,
Development of origination score models,
Participation in the migration from SAS to Dataiku (Python) for model development and backtesting programs (PD, LGD, LGDD, origination scores),
Presentation of risk analysis data on PowerBI for all scopes,
Analysis and proposal of solutions regarding the improvement of data quality for variables entered in internal databases and used for model development.
SAS Python Dataiku Microsoft Power BI IFRS9 Machine Learning
Crédit Agricole SA
Quantitative Model Analyst
BANKING AND INSURANCE
January 2018 - March 2023 (5 years and 3 months)
Paris, France
Supervision of teams of 5 to 10 people to carry out thematic assignments related to credit models (Basel 3, IFRS 9 - PD, LGD) using SAS and Python (certified).

✔️ Basel 3:
o Construction of databases using SAS and Python and analysis of the data quality of variables prior to modeling,
o Development of PD models for retail and corporate segments (analysis of segmentation, score construction, risk classes, default rate calculation)
o Development of LGD models for retail and corporate segments (analysis of segmentation, calculation of internal and external recovery costs, chain-ladder construction, calculation of loss rates and Time To Work-Out),
o Evaluation of the robustness of assumptions used to develop Probability of Default (PD) and Loss Given Default (LGD) models,
o Applied review of models and monitoring of issued reserves (recommendations),
o Performance of PD, LGD model backtesting, and update of the cost of risk
o Review of the permanent control system (and risk mapping),
o Evaluation of governance (roles and responsibilities of stakeholders, committees) and regulatory reports produced

✔️ IFRS9:
o Construction of databases using SAS and Python and analysis of the data quality of variables prior to modeling (univariate analysis, handling of extreme and missing values, etc.)
o Development of IFRS9 PD (using Markov matrices)
o Development and backtesting of SICR (bucket change criteria, accuracy rate calculation)
o Backtesting of FLC (comparison between estimated PD with estimated macro data and estimated PD with observed macro data)
o Backtesting of FLL (comparison between enhanced PD with expert opinion and observed PD)
o Backtesting of ECL on defaulted and closed contracts, defaulted and open contracts, and performing contracts.
Credit Risk Basel 3 IFRS9 Data Analysis Python Financial Modeling SAS Machine Learning CRR3 EBA Basel III Credit Risk Management Regulatory Reporting
Société Générale
Interest Rate Risk Analyst
BANKING AND INSURANCE
February 2016 - December 2017 (1 year and 11 months)
Paris, France
o Design of a VBA tool to identify anomalies in the quality of data used,
o Calculation of interest rate product yields across all scopes (America, Asia, and Europe),
o Design of a VBA tool to provide a proxy for the level of risk indicators (VaR, SVaR, Stress-tests),
o Analysis and explanation of alerts and breaches,
o Internal training provided on the calculation of interest rate risk indicators
VBA Financial Markets