COUNTERPARTY RISK ANALYST

PROJECTS :

1. La Base Collat
   1. Development of a POC for
      1. Recover REPO/REVERSE REPO operations stock
      2. Enrich collateral data, monitor quality, distribution, etc.
      3. Calculate aggregate indicators such as holding ratio, average haircut, etc.
      4. Stressing collateral using SIMM methodology
      5. Controlling posttrade haircut levels
      6. Managing tripartite operations
      7. Etc
   2. Support for an IT PROX team in industrializing the POC into an official application
   3. For use in a variety of practical pre- and post-trade situations
   4. Presentation to quarterly committee
   5. Hedging of bond and equity collateral

2. IBOR Transition
   1. Replication of new RFR rate calculations
   2. Integration into counterparty risk indicator calculators
   3. Market event monitoring (reference rate switch by currency)
   4. Collaboration with market and credit risk + quantitative teams

3. NPNA (New Product & New Activity)
   1. Point of contact for counterparty risk assessment when FO requests new payoffs
   2. Study of payoffs/montages/products and issue an opinion on counterparty risk monitoring
   3. Coordinating opinions with market and credit risk teams

4. Issuer risk
   1. Study of a new indicator for monitoring issuer risk: Jump To Default
   2. Replication of values for different products/default scenarios/LGDs
   3. Support for IT and business teams
   4. Implementation of the indicator in the calculation of counterparty risk

INTERVENTION

5. Key success factors :
   1. Putting IT skills to work, enhancing business knowledge
   2. Cross-functional communication (business/BA/Dev/FO)
   3. Frequent presentations of progress: helped validate project direction

6. Difficulties encountered :
   1. Increased skills in business and quantitative knowledge
   2. Lack of technical freedom, slow and restricted processes, database, etc.
   3. Project management system without agility