Assistant Vice President with an expertise in Investment, Performance, Attribution & Risks Analytics developed in Luxembourg and Switzerland within various sectors of financial services. Actively looking for a new opportunity.
2012 - 2015Performance projects, Outcomes, Stakeholders and Interactions
1. Design of a performance Attribution & Risks report which is in use by all Barclays Wealth locations
From almost scratch – (only one figure at total level) – to detailed Performance & Attribution report for the Assets and Benchmarks:
TTWRR, Contribution, Attribution and Risk by position/sub asset class/asset class/total level
Equity – Brinson Fachler Combined Model with Carino Smoothing Algorithms
Fixed Income – Van Brekelen Attribution Model
Multi currency - Karnosky & Singer Model
Volatility, sharp, Beta, TE, IR, Duration, Modified Duration, Draw-down, etc.
2. Validation of all Performance, Contribution, Attribution, and Risks calculation formulas in Avaloq (Front to back engine)
3. Design of an Alternative engine in Excel to automatically validate the period TWRR, Contribution, Attribution and Risks indicators
4. Performance support and Analysis
Zürich2009 - 20122009 – 2012 Senior Analyst Investment & Performance - Multi Assets
Responsibilities:
• Working with and directly supporting the CIO in relation to all aspects of:
Investment Funds Controlling - restriction limits and guidelines
• Compliance with Luxembourg Insurance Authority Regulations
• Regulatory Reporting to CAA- Luxembourg Regulatory Authority
• Investment Classification Methodology & Procedure
• Investment restrictions to asset managers
• Monthly portfolios reconciliation, NAV and reporting
Performance Measurement, Attribution & Risks Analysis – Multi Assets
• Performance Calculation - TWR with Dietz Modified Method for Cash, Bond, Equity, Hedge Fund, Structured products & Derivatives;
• Contribution to Return: asset class, Currency, Sector & Geographical;
• Benchmarks : MTS Deutschland Government Bond Index 3 – 5 yrs.; EUROMTS AAA Government Index; DJ Eurostoxx 50; DJ Credit Suisse Hedge Fund Index
• Attribution: Brinson & Fachler Model: Selection, Allocation & Interaction Effects
• Risks: Variance, Volatility, Tracking Error, Information Ratio; Alpha, Bêta, Sharpe & Treynor Ratios; Duration, Maximum Drawdown
Investment qualitative Analysis & Due diligence
• Model due diligence procedure for indexed, Mutual & Hedge funds
• Conducting Investments qualitative & quantitative due diligence
• Investment research, selection, follow-up & monitoring
• Cooling-off period management: Fixed income & Money Market.
• Analysis of proposed portfolio and investment decision making
• Analysis if the investment strategy and asset allocation of the Asset Managers are consistent with the MIFID profile of the investor
State Street Bank, Luxembourg
- Senior Associate - Market, Credit & Ops Risks - Basel 2
2008 - 2009Responsibilities:
• Context of Basel 2 CRD, CAD, CSSF Circulars and ICAAP 3 years financial forecasting & planning
• Regulatory Reporting to CSSF – Luxembourg Finance Authority
• Capital structure: provide information on SSBL’s regulatory capital structure based on audited statements yr-1(compliant with Basel II ratio and CSSF Circular 06/273). Tier 1: core capital; Tier 2: supplementary capital; Tier 3: additional capital
• Capital adequacy: SSBL’s total regulatory capital requirement for:
o Credit Risk capital charge for Corporate, Bank, Sovereign, Retail, & Other items
o Operational Risk capital charge
o Market Risk capital charge for FX risk, IRR
• Credit risk general disclosure
o Provide information with regard to the approach and current position in relation to credit risk for the relevant period
o Weighting rules by exposures class
o Principles of ECAIs credit assessments
o Analysis of credit exposures by: Exposure types, Geographical region, product type, Economic sector, industry type, Maturity
• Market Risks Stress tests (FX & IRR)
o Stress testing procedures
o IRR: measurement & stress testing by economic value sensitivity and duration model
o FX Risk: measurement & stress testing
• Preparation and documentation for regulatory Reporting (CSSF and Central Bank of Luxembourg):
o Regulatory capital requirement for credit risk, operational risk and market risk
o FX Risks stress testing
o Interest Rate Risk stress test (Duration, Modified Duration, Economic Value Sensitivity)
o Daily and monthly Balance of payment to Central Bank of Luxembourg.
Banque & Finance - Thèse Professionnelle: la gestion des risques dans les opérations internationales de crédit: quelle(s) garantie(s) pour la sécurité des transactions?
