Freelancer profile translated to English.
Back to original languageAbout Gaston
Passionate about quantitative analysis, particularly risk modeling, with over 3 years of experience in risk, statistical, and econometric modeling.
Curious and enthusiastic by nature, if you are looking for an experienced Quantitative Analyst whose tasks involve modeling, validating models through mathematical/statistical processes, and developing methods for making rational decisions despite a margin of uncertainty that may result from any fortuitous event, I offer you my profile as a Credit Risk Quantitative Analyst | Data Scientist.
French
Native or bilingual
English
Fluent
Can work on-site
Paris (up to 50km)
Experience
- Groupe CCFCredit Risk Quantitative Analyst - IRB & IFRS9 Modeling | Data ScientistBANKING AND INSURANCEJanuary 2023 - Today (3 years and 6 months)Paris, France
- Modeling of Probability of Default (PD) IRB approach: Segmentation, Calibration & Quantification.
- Modeling of Loss Given Default (LGD) IRB approach: Segmentation, Calibration & Quantification.
- Recalibration of the PD model under IFRS9: Segmentation & Estimation.
- Recalibration of the LGD model under IFRS9: Estimation of Recovery Rate, Roll Rate, Default LGD, and Non-Default LGD.
- Modeling of LGD under IFRS9: Segmentation & Estimation using a probabilistic approach.
- Development of origination score models - Auto & Consumer Loans: -Data extraction and preparation, estimation, validation, and application for decision-making: Origination Score - Auto Loans. Model in production. - Data extraction and preparation, estimation, validation, and application for decision-making: Origination Score - Consumer Loans. Model in production.
- Development of a digital activation score model: Data extraction and preparation, estimation, validation, and application for decision-making: Digital Activation Score. Model in marketing campaign.
- Reply France (Reply Groupe)Climate Risk Modeling ConsultantCONSULTING AND AUDITSMay 2021 - October 2021 (5 months)Paris, FranceAssistance in the development and implementation of two statistical and extra-financial tools:- Development of the PACTA tool (Paris Agreement Capital Transition Assessment) for banks: A methodology for assessing the alignment of loan portfolios and the contribution of financial actors to the Paris Agreement (the objective is to limit global warming to well below 2°C, preferably to 1.5°C, compared to pre-industrial levels);- Development of the UNEP FI drought Stress test tool (The ultimate goal of this tool is to calculate the Expected Loss (EL) of a bank's loan portfolio due to drought. This would involve stressing default probabilities (PD) according to certain scenarios to estimate ELs);- Data research and collection
- Ministère de l'Economie et des Finances - BéninStatistical Research OfficerBANKING AND INSURANCEJune 2016 - December 2016 (6 months)Cotonou, BeninStatistical and econometric modeling: Fiscal pressure and economic growth- Data processing and analysis (Secondary data from data responsible institutions)- Documentation and implementation of models to explain the impact of fiscal pressure on economic growth- Statistical studies and model validation; Drafting and proposing recommendations
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Education
- Master in Financial Risk Engineering (Applied Mathematics)Institute of Financial and Insurance Science - I.S.F.A2021Econométrie, Statistiques, Risques, Math-Financière, Informatique
Certifications
- SAS Certified Specialist: Base Programming Using SAS 9.4SAS2021