Yacine Kadhim

Mission to contribute to the scoping phase of Crédit Agricole's compliance with the EBA's new ESG guidelines, through an in-depth gap analysis between the Group's existing practices and the new regulatory requirements, particularly regarding risk frameworks and prudential transition plans.

✔️ Conducted a gap analysis between Crédit Agricole Group's existing practices and the EBA's ESG guidelines, covering all new requirements (ESG indicators, risk scopes, governance, ICAAP/ILAP).

✔️ Assessed the quality of the Group's ESG materiality analysis to evaluate the compliance of the methodological framework and current practices.

✔️ In-depth analysis of risk measurement, monitoring, and reporting frameworks to identify structural gaps and operational adjustment needs.

✔️ Prepared and presented reporting materials for central management to share analysis findings and facilitate the validation of orientations.

✔️ Developed an action plan to structure the Group's compliance trajectory, including prioritizing workstreams and proposing appropriate steering governance.

The objective of the mission is to support the Crédit Mutuel IFRS9 team in the redesign of the IFRS9 PD model for the HDP (High Default Portfolio) scope. This redesign follows the findings made by the Statutory Auditors (CAC) during their audit.

✔️ Collected macroeconomic data and default rates by rating algorithm, necessary for modeling.

✔️ Studied the stationarity of all time series: graphical analyses and statistical tests.

✔️ Developed an automated tool for exhaustive model searching via linear regression on the HDP scope (Individuals, Professionals, Corporates).

✔️ Projected candidate models over 3 years using macroeconomic scenarios from Crédit Mutuel's economic research department.

✔️ Discussed projected macroeconomic scenario hypotheses with economists.

✔️ Performed backward rolling regressions to analyze the stability of the selected models.

✔️ Measured the impacts on ECL (provisions) and presented the results to management and committees.

✔️ Wrote the final documentation.

✔️ Responsible for the quarterly production of IFRS9 parameters (Forward Looking PD, Forward Looking LGD, and IFRS9 Scenario Weighting). The objective is to manage all work related to the modeling and use of quantitative IFRS9 parameters to ensure the smooth running of ECL calculations.

✔️ Responsible for the production of risk parameters during the Internal Stress Test (STI), EBA (STEBA), and Climate (STCLI) exercises. Wrote the explanatory note for the ECB to report on the applied methodology and results.

✔️ Developed a projection algorithm for default probabilities using linear regression to identify econometric relationships between BPCE Group Retail and Non-Retail default rates (DR) and usual macroeconomic variables (GDP, CHMG, IPL, etc.).

✔️ Redesigned the IFRS9 Probability of Default (PD) projection methodology for the BPCE Group's Retail scope to take into account the new definition of default (NDoD), validation reserves, ECB recommendations, and proposals for evolution from business experts.

✔️ Redesigned the significant credit risk deterioration models (Stage 1/Stage 2; "S1/S2") following a "Deep-Dive: Cost of Risk" ECB mission.

Built the Physical-Real Estate Risk model "Floods/Clay Soil" to measure economic capital (extreme losses) related to flood risk in France.

✔️ Backtested BPCE Group's IFRS9 models and backtested LGD, Outstanding/CHR Score models for Crédit Foncier de France, a subsidiary of BPCE Group.