Freelancer profile translated to English.

Description

Are you managing an IRB project, a remediation following an on-site inspection or an IFRS 9 compliance project? I bring you 10+ years of experience in credit risk modeling, deployed in demanding environments: HSBC, EY, SFIL and CGI Finance / Société Générale.

My core business: developing and validating PD, LGD and EAD models throughout the cycle — from building the modeling database to validation by internal committees and ECB supervisors. I know these projects from the inside. I know what the supervisor challenges, what the validation committee expects, and above all, what needs to be delivered for it to pass. Operational from day 1, autonomous in terms of content and tools.

What I bring concretely to your projects:

Model development & validation: from modeling database to production - specification of RDS, data quality control, sampling, variable selection, out-of-time/out-of-sample validation, performance tests (Gini, KS, AUC-ROC) and stability (PSI, CSI). Documentation compliant with validation committee and supervisor expectations.
IRB PD modeling: logistic regression, segmentation, calibration, margins of conservatism, master scale mapping. IFRS 9: Lifetime PD integrating forward-looking scenarios.
IRB LGD modeling: RDS compliant with CRR/IRB Repair, workout LGD, CRM, downturn LGD, in-default LGD. Segmentation homogeneity/heterogeneity tests.
Backtesting & TRIM remediation: IRB and IFRS 9 (PD, LGD) backtesting. TRIM findings, ECB follow-up letters, remediation plans up to closure.
ECL, RWA & implementation: Retail/corporate ECL (staging S1/S2/S3), SA and A-IRB RWA. Business/IT coordination, UAT, post-production monitoring.

Programming: SAS, Python, R — documented and auditable deliveries

Bilingual French / English. Available for on-site assignments (Paris and region) or remote.

Let's talk about your project.

Industry field of expertise

Languages

French
Native or bilingual
English
Fluent

Workplace preferences

Can work on-site

Paris (up to 50km)

HSBC
Quantitative Risk Analyst
BANKING AND INSURANCE
January 2024 - Today (2 years and 7 months)
Paris, France
- Pilot the development of a new IFRS9 model applicable to the Home Loan portfolio
- Coordinating the implementation of the model between the business and IT teams
- Carrying out implementation tests (UAT) to ensure that the implementation complies with expectations (technical specifications)
- Updating internal procedures following the sale of part of the portfolio
- Carrying out ECL impact studies of the new IFRS9 models
- Monitoring the implementation of RWA calculation using the standard method, skills=[]
EY
Manager Quantitative Advisory Services
CONSULTING AND AUDITS
October 2021 - December 2023 (2 years and 3 months)
Paris, France
TRIM Remediation for new Basel models.
Implementing the new models in the internal systems.
Business models management.
Contribution to EY’s internal topics (training juniors, interview candidates, preparation of proposals, …), skills=[SkillTranslatableContent(id=Programmation SAS, type=GLOBAL, name=SAS Programming), SkillTranslatableContent(id=SAS Macro, type=GLOBAL, name=SAS Macro), SkillTranslatableContent(id=IRB Repair, type=GLOBAL, name=IRB Repair), SkillTranslatableContent(id=Modélisation statistique, type=GLOBAL, name=Statistical Modeling), SkillTranslatableContent(id=Calcul RWA, type=GLOBAL, name=RWA Calculation), SkillTranslatableContent(id=IFRS9, type=GLOBAL, name=IFRS9)]
Programmation SAS SAS Macro IRB Repair Modélisation statistique Calcul RWA IFRS9
SFIL
Credit risk modeling analyst
BANKING AND INSURANCE
February 2019 - September 2021 (2 years and 8 months)
Paris, France
Coordinate credit risk projects (development and evolution of Basel credit model).
Draft documents constituent an application package.
Update internal procedures following regulatory changes.
Responses to requests from ECB inspectors during on-site inspection missions and follow-up on recommendations.
Carrying out various studies on the functioning of credit models and producing reports on credit models., skills=[SkillTranslatableContent(id=R, type=GLOBAL, name=R), SkillTranslatableContent(id=SAP Business Objects, type=GLOBAL, name=SAP Business Objects), SkillTranslatableContent(id=CRR Guidelines, type=GLOBAL, name=CRR Guidelines), SkillTranslatableContent(id=EBA Guidelines, type=GLOBAL, name=EBA Guidelines), SkillTranslatableContent(id=Macro VBA Excel, type=GLOBAL, name=Excel VBA Macro)]
R SAP Business Objects CRR Guidelines EBA Guidelines Macro VBA Excel