Gaël Maugendre

RAF and ICAAP management global lead for the Risk Division (Corporate and Investment Banking & Asset Management businesses of Groupe BPCE) (6 years): • Risk inventory and materiality assessment at Natixis CIB & AWM global level • Implementation of a comprehensive Risk Appetite Framework for Natixis (incl. definition of indicators and limits’ calibration) • Overall supervision of bank-wide internal stress tests (ICAAP normative perspective) and regulatory stress tests for all types of risk • Global coordination of economic capital models’ developments and assessment of internal capital needs on a quarterly basis (ICAAP economic approach) for every risk • Recruitment & development and budget follow-up

Review of Internal Model for market risk - co-head of TRIM project management (€10m budget) (2 years): • Global coordination of ECB TRIM on-site investigation of Natixis IMA for market risk • Definition of a remedial strategy for VaR and IRC risk models shortfalls, setup of a dedicated task force (~15 people), budget allocation • Overall project management • Leadership and technical expertise over 10 consultants’ works

Internal advisory (3 years): • Design and deployment of a CVA/DVA/FVA risk monitoring framework • Implementation of the second line of defence for ALM risks • Setup of operational risk monitoring processes Market risk policies (4 years): • In-depth risk-oriented analysis of capital markets’ business lines • Vision of market risks at the frontier of strategy and financial management (market risk tolerance, scarce resources etc.) • Definition of detailed analytical principles in terms of market risk monitoring

Monitoring of run-off activities (post subprime crisis) (1 year): • Multi-asset class portfolio transversal monitoring: vanilla and structured credits, interest rates and equity/fund derivatives • Significant operations analysis: restructuring, unwinding, sales programs, portfolio amortization, quantitative studies • Risk reduction strategic objectives follow-up: risk-weighted assets, liquidity, market risks, profitability, portfolio Guarantee, refinancing profile Risk management & control of equity and fund derivatives (3 years): • Design of market risk control frameworks, risk models/methods and indicators, limits’ calibration • Daily monitoring of sensitivities, value-at-risk, stress tests and P&L of various options and structured products’ portfolios • Market risk analysis and quantitative studies: complex transactions, new products or activities (one-offs, optional strategies, ESOP, portfolio insurance techniques etc.), due diligences