Christophe Drozo

Appointed by Natixis and Groupe BPCE Chief Risk Officers to build a Model Risk Management Department aiming at identifying, evaluating and managing model risk (measure, assess and mitigate model risk at different agregation levels). I developed the entity in terms of mission, staffing and strategy.

Appointed to carry out a global analysis on the OTC derivatives value adjustments for counterparty risk (CVA) and funding (FVA). In charge of defining the market based indicators, designing the measurement tools and proposing a governance.

Head of risk measurement tools and methodologies (credit and market risk, market data): models and analytics, functional design and project management. Manager of 50 risk experts organized in three teams (market risk, counterparty risk and transversal projects). Management of the implementation of Basel 2.5 and Basel 3 regulations on capital market risk measurement tools. Fundamental review of the trading book. Responsible for the IRC and EEPE projects in terms of implementation and regulator authorization. Regulatory surveillance and lobbying on internal model methods for market and credit counterparty risk.

In the "Direction des Risques", the Engineering Unit of the Risk Analytics Department is in charge of the risk measurment tools on the credit side and the market side. The Engineering Unit designs the models to compute the risks (Monte Carlo VaR, rating migration model, etc...), the pricers and the modelization of financial products (SABR, local stochastic volatility, etc...) and provides all the necessary market data. On the business analysis side, the Unit is in charge of the project management on the implementation of these models and of the relationship with the market and credit Risk Control Departments, as well as the relationships with the different Front Offices.

Head of the credit risk measurement tools (economic, regulatory): models and analytics, specification, project management.

Head of the Risk Analytics team. Definition of the risk models and methodology, hedge fund financing level definition, risk control.

Business analyst on the risk management side in Prime Brokerage activity. Management of the development and the implementation of the risk management methodology defining the financing policy of the hedge funds.