Said Abbaoui

• Developing methodologies and documentation to model the hedging ineffectiveness

• Developing model and methodologies to price FX Swaps and implementing using C#

• Implementing tools (fully automated using SQL and C#) the help optimizing and calculating control metrics

• Actively involved in the market risks controls

• Developing methodologies and documentation to model the Prudential Valuation Adjustments:

• Market price uncertainty, Close out Cost and Close out cost additional valuation

• Implementing tools (fully automated using SQL and Python) the help optimizing and calculating control metrics on Equity for the PruVal (MPU COCVA and COCAVA)

• Actively involved in the valuation controls

• Developing and implementing various fair valuation adjustments methodologies:

• Credit related: Beta calibration to build CDS proxy curves, WWR, Downgrade trigger

• Funding related: Zero floor impact, cheapest to deliver collateral

• Developing automated spreadsheets to price and analyse CVA/DVA/FVA

• Participating to a monthly working group (involving FO Quant, Model validation and top management) for the implementation of the MVA

• Participating to the CVA/FVA Model reserves review

• Conducting various analysis intended to the senior management to estimate the impact of methodology changes