Cédric B.

Business Analyst within the Investment Banking branch (SGCIB): design and specify solutions, which meet the Securitisation Business Line requirements and expectations. Worked on the following projects:

Basel 2 Calculator: built to achieve 3 goals: calculate the minimum regulatory capital required by the legal entities, evaluate the profitability of every deal and calibrate the First Loss tranche dedicated to external investors.

Designed the system
- Specifications redaction and validation with user workshops

Supported the offshore development phase
- Led a weekly then daily execution meeting with the software factory department, in Bangalore (India) to follow up development phases, solve any issue and prioritize defects and enhancements to integrate
- Conducted the final IT tests before delivery: designed and executed a step-by-step testing process

Led the User Acceptance Tests
- Introduced the application to portfolio managers: user trainings in Europe & US, call conferences with Australia, redaction of a User Guide
- Coordinated the User Acceptance Tests:
* Assisted the Portfolio Administrators to input all deals in the application
* Reviewed calculation results and assisted users for comparison with actual models: worked in close relation with the Risk Department to explain and solve differences
- New York workshop: additional training for Risk, Middle and Front Office departments. Discussion about the inputs / process of some specific deals

Arbitrage Conduit Management Tool: arbitrage between short term and long term rates by issuing Commercial Papers to finance mainly ABS and CDO. This tool aimed to managed Purchases / Sales of securities, Draw downs of Customer Transactions, funding requirements, cash flows, fees payments and accounting.

Designed the system
- Specifications redaction and validation with user workshops

Business Analyst in the Investment Banking branch (SGCIB), for the Securitisation Department.

Expected Loss model migration, from Excel to a dedicated application
- Functional specifications redaction and follow up of the development

Migration of a SIV portfolio reporting software, used to generate reports required by rating agencies
- Training to the SIV portfolio funding rules, study of existing applications
- Redaction of functional specifications and conceptual data model and monitoring the software development

Validation of default payment models:
- Launched models (Monte-Carlo simulations) based on different inputs: default payments simulated using a rating transition model or binomial and multi-binomial models, using different rate models
- Validated that cashflows and expected losses obtained for each class of security were similar to a witness portfolio

Market and credit risks reporting software testing
- Validation of products and portfolio values (market and theoretical values)
- Creation of reports on portfolio valorizations, implied volatility options checking report, greeks, arbitrages values

Study and development of an implied volatility options surface for any underlying, developed in Excel / VBA
- Model based on interpolation of money curves and volatility smiles. Calculation of implied volatility (internal model) and of theoretical prices (Black & Scholes)
- Developed a dividends and futures theoretical values calculation software

Market and credit risks reporting software migration: design a new application to replace the actual Access reporting database, which was not fulfilling security rules
- Analysis of existing tools and user needs, determine project scope and actors
- Redaction of the functional specifications, conceptual data model and technical architecture definition
- Study of a provisory migration
- Performances and volume studies

Unique clients’ referential creation: project aimed to first reconcile data between all different client referentials and then to merge those applications to a unique client management application
- Analysis of the different actual systems, definition of perimeter, redaction of functional, interface and alimentation specifications. Designed the conceptual data model

Develop an application to follow up the quality audits within the PSA group.
- Determine the project scope
- Specify the software workflow, write the functional specifications
- Following up and formalizing modifications requested by end-users
- Building roles and responsibilities of team members and planning deadlines