Freelancer profile translated to English.

Description

Senior consultant in credit risk modeling with over 12 years of experience in major French banks and European institutions. I support institutions in complying with regulatory requirements (Basel II/III, TRIM, IFRS 9) through the development, redesign, validation, and implementation of internal models (PD, LGD, EAD, ECL). My expertise also covers related high-stakes issues: new definition of default (NDoD), forbearance, backtesting, model governance, LoD2 review, and ECB recommendations. I also work on risk management and supervision frameworks (TRIM, ICAAP, stress tests), with a rigorous and impact-oriented approach. My assignments have led me to work with the ECB, CACF, BNP Paribas, Société Générale, Natixis, and other major groups, leveraging my strong command of SAS, Python, and R.

Industry field of expertise

Languages

French
Native or bilingual

Workplace preferences

Can work on-site

Paris (up to 50km)

CACF France
Project Lead - IRB PD Model
BANKING AND INSURANCE
September 2022 - March 2025 (2 years and 6 months)
Paris, France
Redesign of IRB PD Model as part of an ECB remediation plan
Phase 1: Construction of new IRBA PD models
• Technical framing of the project
• Construction of a "fast model" to assess the interest of a complete redesign of PD models
• Assignment and monitoring of tasks
• Coordination of RDS construction
• Portfolio segmentation
• Construction of score models (risk differentiation)
• Estimation of probability of default and calculation of the margin of prudence (risk calibration)
• RWA/EL impact simulations and measurements
Phase 2: Model Validation
• Processing and responding to internal validation review requests
• Processing and responding to ECB IMI review requests
Phase 3: Model Implementation
• Writing specifications and validating technical documentation
Credit Risk Risk Modeling Project Management IRB Banking Regulation
Banque Centrale Européenne (BCE)
Quantitative Auditor
December 2021 - April 2022 (4 months)
Achievements: Off-site Validation – ING IRB PD Model
• Participation in the ECB inspection on the consumer PD model
• Critical analysis of documentation, model structure, validation results
• Writing a report for the supervisor
Groupe Société Générale
Quantitative Analyst/Auditor (Group, MRM)
July 2019 - December 2021 (2 years and 5 months)
Achievements: LGD SME Model Validation
• Audit of the MPRP (Maximum Period of Recovery Process)
• Risk Quantification: Audit of MoC (Margin of Conservatism) and NDoD adjustment
• Contribution to writing the validation report on the LGD model
(Franfinance, Modeling) Achievements: Monitoring Performance and Calibration of Probability of Default Models (Retail)
• Backtesting of PD models
• Calibration of PD models
• RWA Simulations
(Group, Inspection) Achievements: Audit of the New Definition of Default (NDoD) and its Implications
• Audit of the scope outside Retail
• Audit of the EBA quantitative template
• Audit of the methodology for calculating risk parameters (PD, LGD, EL, ELBE, RW)