Miguel GENDRE
Front Office Quantitative Analyst, Calyon Crédit Agricole CIB (City of London)
EDUCATION AND QUALIFICATIONS
2003: Postgraduate degree in Mathematics, Computer Science and Finance
University of Evry, France
2002: Master’s degree in fundamental Mathematics
University of Angers, France
PROFESSIONAL EXPERIENCE
Feb 2008 – Present:
Front Office Quantitative Analyst, at Calyon Crédit Agricole CIB, Debt & Credit Markets Division, City of London.
I have been put in charge of developing and maintaining an analytical tool in SAS, for pricing within the banking book any U.S. cash CDO of ABS. A statistical solution relying on a mark-to-model approach has been implemented, increasing visibility in this illiquid market. Given macroeconomic input scenarios, ABS-level loss/prepayment forecasts are generated by applying econometric models to each securitized asset (parametric roll-rate and regression methods are combined for projecting loan-level default/prepayment and loss severity), and then injected into a cash CDO of ABS pricer, C++-based application using INTEX Subroutines and Wrapper.
Dec 2003 – Feb 2008:
Quantitative Credit Risk Analyst at HSBC France, Central Credit Risk Management, Paris La Défense.
My primary focus was estimating and validating the three Basel II risk parameters, PD (Probability of Default), LGD (Loss Given Default) and EAD (Exposure At Default), forming key inputs in the bank’s credit decisioning and portfolio management process. My responsibilities included: designing predictive models for corporate and retail borrowers, conducting back/stress testing of existing models, performing ad hoc analyses to support related initiatives.
OTHER SKILLS AND QUALIFICATIONS
• Data Mining & Econometrics: clustering, factor analysis, statistical analysis, regression analysis, time-series analysis, quantitative modelling for risk management (credit scoring, behavioural scoring).
• Programming: SAS, C/C++, VBA.
• Computing: SPAD, LaTeX, Microsoft Office Suite.
• Languages: native French speaker, fluent in English.
7 contactsFeb 2008 – Present
Front Office Quantitative Analyst, at Calyon Crédit Agricole CIB, Debt & Credit Markets Division, City of London.
I have been put in charge of developing and maintaining an analytical tool in SAS, for pricing within the banking book any U.S. cash CDO of ABS. A statistical solution relying on a mark-to-model approach has been implemented, increasing visibility in this illiquid market. Given macroeconomic input scenarios, ABS-level loss/prepayment forecasts are generated by applying econometric models to each securitized asset (parametric roll-rate and regression methods are combined for projecting loan-level default/prepayment and loss severity), and then injected into a cash CDO of ABS pricer, C++-based application using INTEX Subroutines and Wrapper.
2003 - 2008Dec 2003 – Feb 2008
Quantitative Credit Risk Analyst at HSBC France, Central Credit Risk Management, Paris La Défense.
My primary focus was estimating and validating the three Basel II risk parameters, PD (Probability of Default), LGD (Loss Given Default) and EAD (Exposure At Default), forming key inputs in the bank’s credit decisioning and portfolio management process. My responsibilities included: designing predictive models for corporate and retail borrowers, conducting back/stress testing of existing models, performing ad hoc analyses to support related initiatives.