Ismaila KONATE
Senior Credit Risk Quant | Model Validation
Salaire / Taux journalier
Paris, France
Freelance
Langues
À propos
Introduction
Senior quantitative analyst with 13+ years of expertise in financial risk modeling and regulatory compliance. Specialized in credit risk model validation (PD, LGD, EAD), IFRS9 implementation, and regulatory frameworks across top-tier banks. Expert in SAS, R, VBA delivering robust model validation and risk management solutions for financial institutions.
Expérience de travail
Senior Credit Risk Quant - Model Validation
Sfil
févr. 2025 - Présent
1 an 9 mois
Paris, France
Validation of Credit models on local public sector financing
Senior Credit Risk Quant -Model Validation
Société Générale
mars 2024 - déc. 2024
10 mois
Paris, France
-Validation of answers to ECB's Findings and obligations on LGD models of GEFA Bank -Validation of Retail LGD models (revolving loans, standard personal loans)
Senior Credit Risk Quant - Model Validation
Natixis
janv. 2021 - mars 2024
3 ans 3 mois
Paris, France
Initial validation, periodic validation, full revalidation. Examples of models/packages reviewed : -LGD Specialized lendings models as part of IRB Repair program -Packages of IRBA Roll-out in China and Taiwan -Various LGD/haircut models : Project finance LGD, Aircraft LGD, Bond collateral haircut, Commodity Haircut -Revenue projection models and their application to EBA ST exercises (Net fees & commissions, Client Contribution) -Operational risk model
Senior Credit Risk Quant - Model Validation
Groupe BPCE
oct. 2018 - déc. 2020
2 ans 3 mois
Paris, France
Critical analysis of models methodologies & assumptions and outputs robustness &consistency. Implementation of alternative calculations and assessment of models regulatory compliance. Issuing of recommendations for models changes or enhancements. Restitution: formal validation reports and presentation for models owners and models validation committee. Examples of reviewed models: Credit models (PD, LGD, EAD), ICAAP (economic capital, stress-test), IFRS9 impairment calculation model, operational risk model, … Technical environment: SAS, R, VBA, …
Senior consultant - Quantitative analyst on structured isssuances (EMTN)
Natixis
févr. 2017 - oct. 2018
1 an 9 mois
Exotic payoffs booking validation Implementation of a market risk monitoring framework on structured issuances (EMTN) perimeter Quantitative support on EMTN products risk monitoring Issuances specificities : accreting, callable, autocall, multi-systems booking, …
Senior consultant - Counterparty Risk Quantitative Analyst
Societe Generale Corporate and Investment Banking - SGCIB
mars 2014 - déc. 2016
2 ans 10 mois
Counterparty Risk - OTC Derivatives - Quantitative Analysis Initial Margin Project Quantitative Analyst / DFA-EMIR-Others Regulations Model definition and validation CVAR - EAD - WWR - ... Market Risk - Sensitivities - VaR - SVaR - Intial Margin - FRTB Regulatory project non-cleared derivatives OTC : cross asset (Equity, Credit, Rate, FX, Commodity)
Quantitative Analyst (Consultant)
Conix Consulting
févr. 2011 - mars 2014
3 ans 2 mois
Clients: BNP PARIBAS CIB, CREDIT AGRICOLE,... Market risk quantitative analysis Data mining - Operational Risk modelling Monte-Carlo simulation - implementation in SAS, VBA,SQL, Matlab,...