Freelancer profile translated to English.

Description

Computer Science and Applied Mathematics engineer in Finance, with expertise in IT/Financial Markets/Statistics.

Proven experience in risk management within an asset management company and P&L analysis in investment banking.

Passionate about market risk with a good understanding of financial products (Equities, bonds, mutual funds, options, forwards, futures, IRS, CCS, L&D).

Languages

French
Native or bilingual
English
Fluent

Workplace preferences

Can work on-site

Paris (up to 50km)

BNP Paribas CIB
P&L Attribution Consultant - Middle-Office Analyst
BANKING AND INSURANCE
October 2021 - October 2024 (3 years)
Pantin, France
Analysis and explanation of daily P&L variations
P&L decomposition, analysis, and component calculation
P&L reconciliation between BO and FO systems
Setting up analysis files
Automation of analysis files

Scope: Accrued
Business Skills: P&L components, interest rate risk hedging, interest rate products (Bonds, IRS, CCS, IAMs, L&D, Repos)
Stakeholders: P&L Analysts, Front Office, Risk Analysts
La Française Asset Management
Risk Administrator
BANKING AND INSURANCE
December 2015 - September 2019 (3 years and 9 months)
Paris, France
Support:

Functional support on LightTrade tools (In-house Front-to-back Tool) – RiskMetrics
Maintenance and operation of the SQL Risk Database
C#/VBA support on the RiskLib DLL library

Production:

Production and monitoring of Ex Ante market risk indicators
Production of reporting for management and Risk Managers
Production of stress tests within the framework of AIFM regulation
Monitoring and notification of exposure limit breaches to management
Calculation and validation of SRRI, SRI, and performance scenario indicators
Drafting risk policies (risk identification and mapping)
VaR Backtesting (Traffic light test, binomial test)

IT Projects focused on Business:

Gathering requirements from Risk Managers
Drafting requirements for IT
Validation of IT developments specified by risk control
Development of numerous decision-support tools in VBA
UML modeling, implementation, and documentation of a C# Risk library interoperable with Excel/VBA (Calculation of SRRI/SRI/Performance Scenarios) under Visual Studio
Development in VBA of a data transformation module for integration into the SQL Risk database
Automation in VBA of modules for supporting the investment committee

Stakeholders: Risk controllers - performance analysts - IT department - fund managers - internal control
Lyxor Asset Management
Investment Data Analyst
BANKING AND INSURANCE
May 2014 - October 2014 (6 months)
Puteaux, France
End-of-studies internship in alternative multi-management (Front-office|6 months)

Support on a performance/risk reporting tool
Analysis and control of risk and performance data for managed accounts
Development in VBA of a decision-support tool for the CIO

Environment: Alternative multi-management (hedge fund of funds) - Front Office
Alternative Management Multi-management Visual Basic for Applications (VBA) Microsoft Excel Oracle Database

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Engineer in Applied Mathematics
Polytech'Nice-Sophia
2014

Other

Ilyas Rahbaoui

Engineering| Risk Management| P&L Analysis

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