Marouen M.

CONSULTANT

Freelancer
8 ans
Courbevoie, FRANCE

Mon expérience

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BNP Paribas ArbitrageJanuary 2016 - Présent

Quantitative Investment Strategies Control Analyst:
Risk Premia, Volatility Control, Volatility Arbitrage, Buy and Write, Thematic indices, Multifactorial. Investment, Future rolls optimization

* Checked Indices scripting compliance with the index rulebook: weights, selection algorithms, allocation, fees

* Checked resulting time series (Repricing-Back-testing in Excel Templates)

* Liaised with Quant Research for the development of scripting and pricing internal libraries

* Business Analyst in desks main tools creation and improvement.
Structured Products and Complex deals Structuring Control Analyst
Priced and booked a broad range of structured and Exotic Derivatives Products for the primary Market issuances:

* Checked that the payoff was correctly replicated in the pricing script (compliant with TS

* Rescript the product in order to challenge Trading/Structuring pricing and amend it in case of mistake/misbooking

* Booked deals in Murex & BNP System. Analysed P&L impacts/Jumps

* Liaised with Quant: Research for the development and documentation of the pricing templates
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Financial Market Regulatory & RiskJune 2015 - December 2015

Linked Activity: Rates, NonLinear, Credit, Structured Products

* Monthly monitoring of CA CIB Market Activity performance for Group Key stakeholders

* Monthly Market Activity P&L monitoring (Monthly)

* Monthly Market Risk weighted asset monitoring (Credit Risk, Market Risk, Operational Risk, CVA...)
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CA CIBMarch 2014 - September 2014

Linked Activity: Strategic Equity Transaction Corporates Main Deals: ESOP, SAR, PACEO, ASR
Traded Products: Rainbow, Spreads, Packages, American, Asian Derivatives

* Structuring Control (Structures Adequacy with term Sheets)

* Daily Trading P&L Analysis and Certification.

* OTC Deals Market Risks Analysis (Risks on ESOP)

* Daily, Weekly Production and Analysis of Market Risk Metrics (Greeks, Stress Tests, historic Stressed Var, Chocs).

* Trading book Market Risks Limit Breaches Supervision.

* Main Market Data Control Production (Volatility Control)
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Delta One TradingJuly 2013 - February 2014

Linked Trading Desk: Indices Tacking Trading, Exchange Traded Funds Market Making Traded Products:
Equity Swaps, Indices Futures, Forwards, Leveraged Certificates.

* P&L Analysis, Production and certification of Indexation Delta One perimeter.

* Trading Strategies Explanation and Analysis on Indices Linked products Funds.

* Booking and Pricing supervision with Middle office and Pricing Services.

* Collaboration with Risk Teams for Trading Risk Analysis and Pricing Parameters Requests

Mes compétences

SQL, Risk management, Risk Analysis, Corporate Finance