Ahmed Adonis Haouili

– Definition of the pricing logic and the market data (Yield curve, conventions, ...). – Development of services for the analysis and pricing of financial instruments on Fixed Income (ILB, Floaters, Callable, ...) and FX assets with the different market conventions specificities. – Implementing requested features in a generic, modular and efficient way, test and defend results.

– Benchmarking of rating methodologies of securitizations from rating agencies (methodological evolutions). – Redesign of rating tools in Python: historical approach and Monte Carlo simulation. – Backtesting/Stress tests of the components of the credit rating models of securitization tranches.

– Calibration of stress tests on SFIL's symmetrical collateral (extreme variations of market data, Monte-Carlo simulation). – Studies on the stress-test methodology on CAFFIL's asymmetric collateral in Python. – Production of market data with a pipeline in C#, Matlab (shifted SABR model).

– BigData solution design (ElasticSearch, indexing, AWS, ...) and noSQL optimization. – Machine learning (Clustering, Classification, ...) and solving some NLP problems (Google-Bert) in Python. – Algorithms and Complexity (Graphs)

– Writing of specifications and deliverables. – SQL and noSQL Database Administrator (schema design and implementation)