Khalil Berchtikou

Business Analyste Quant – Trading Risk Office Supporting the Front Office, information systems, and risk teams in various projects to meet market constraints and comply with banking regulations. • Establishment of procedures for creating yield curves for the valuation of market instruments. • Development of templates to create yield curves aligned with market standards and ISDA conventions. • Implementation of pricers to strip yield curves (BOR, OIS, and Basis). • Creation of a reference framework for the bank. • Establishment of a workflow to manage and track the project. • Reconciliation of information systems (curve structures, RICs, instrument descriptions, market conventions, etc.).

Business Analyst - Quant Risk – Risk Transformation Supporting the Market Risk Department in various projects to comply with banking regulations. • Implementation of a project to manage concentration in stress management, adopting a sensitivity-based approach through qualitative scenarios first targeting concentration risks in Emerging Markets (EM) and subsequently in Financial Markets (FI). • Enhancement of the comprehensiveness of the risk monitoring framework: Addressing identified weaknesses in risk indicators to design a complete reference framework and an integrated improvement process (Risk Not In Framework). • Analysis of gaps and documentation of methodologies between information systems and indicators produced by the MARPL. • Definition of sensitivity mapping by desks and identification of unaddressed risks (RNIF) based on coverage maps from Market Management (GM). • Identification and measurement of appropriate indicators within the Market Management perimeter to enable meaningful reporting to senior management and to adopt early warning signals to anticipate the level of risk exposure and its consequences. Skills : Project Management Implementation of IT Projects Model Validation Data Validation

Business Analyst - Quant Risk _ Risk & Permanent Control (RPC) Project: Migration of Exotic Activities from Infinity to ORCHESTRADE Supporting the Market Risk Department (RPC) in the migration of structured books and exotic activities to the ORCHESTRADE tool, as well as in various cross-functional projects. The tasks include: • Mapping of pay-offs to be migrated. • Identification and prioritization of solutions for implementing pay-offs in the new tool by participating in workshops with various entities (Front Office, Quant teams, Risk Managers, IT, project teams). • Execution and reporting of unit pricing tests, followed by support during user acceptance testing (UAT) with business teams. • Configuration and validation of setups. • Calibration of pricing models. • Validation of impacts on PnL, sensitivities, VaR/SVaR, and IRC. • Analysis and validation of risk factors. • Validation of regulatory stress tests and EBA stress tests. • Collaboration with the MI team on the implementation of TRIM requests. Skills : Project Management Implementation of IT Projects Model Validation Data Validation

Key Projects: Participation in the scoping and study phases of the new FRTB regulation: Analysis of the methodology defined by the regulator regarding the Standard and Internal approaches. Assessment of the impact on the bank's activity chain. Reflection on the processes to be implemented. Drafting of a scoping note. Certification of new metrics to be implemented (STD Default and RRAO). Study of different possible scenarios for calculating the Expected Shortfall. Participation in the scoping of the calculation of Initial Margin under the EMIR/DFA regulation: Study and analysis of the ISDA SIMM methodology. Review of pricing models and product risks: Model Risks, Market Risks (delta, gamma, and vega risks). Monitoring of Market Risks: VaR, Credit Risk, Operational Limits (delta, rate vega, smile, rates, etc.), Market Risk Adjustments. Validation and review of various hedge and stress calculation scenarios. SLN (Shifted Log Normal): Adapting models to manage negative forward rates. Bi-curve: Upgrading various pay-offs to bi-curve with a forecast curve distinct from the discount curve, depending on the type of counterparty collateralization (CSA, ITD, etc.). Migration of credit pay-offs (CDS, CDO, CDS options, etc.) and Calypso rates to Summit. Integration of new pay-offs and valuation models. Standardization of CMS replication within the SLN framework. Management of bugs in various rate formulas in Summit and ARM. Support and training for Natixis clients on different pricing libraries and Summit. Non-regression testing. Planning and monitoring of deployments of the above projects for Natixis clients (CNP, BPCE, etc.). Facilitation of weekly follow-up and prioritization meetings with stakeholders involved in the software: MOA, MOE, and IT Quant.

Modeling of OTC Derivatives (Interest Rates, Credit, Equity, etc.) and Structured Products Development of valuation models, calibration, testing, and support for end users. Creation of market risk indicators. Product scope: IRS, Cap/Floor, Swaption, CMS; Equity Options, CFDs, Equity Swaps, Variance Swaps; CDS, Total Return Swaps, ILS (ZC, YoY), barrier options, digital options, as well as structured payoff products (Bonus, Express, Autocallable, Range) utilizing local and stochastic volatility models. Participation in the implementation of the new "Murex" platform. Engagement in the SWOT analysis and Proof of Concept (PoC) for the selection of the new system. Configuration and validation of templates, interest rate curves, and valuation models during the project phase. Drafting and execution of test cases for validating the production version of the system. Implementation of new procedures and features: Development of processes, drafting specifications and operating memoranda, training, and support for operational teams. Participation in the "EMIR - Dodd-Frank" workgroup: Analyzing regulations and processes to be implemented.

Front Office – Structured Products Assistant Design of capital guaranteed funds. Pricing and hedging of structured products for guaranteed formula funds. Implementation of hedging strategies: Portfolio hedging + options selling. Short-term/long-term bets on volatility. Inter-market arbitrage/speculation strategies. Optimization of pay-off types according to market configuration (interest rates, volatility, dividends, foreign exchange, correlation, smile, etc.). Calibration of volatility (deterministic and stochastic). Volatility hedging. Valuation of deals and monitoring of corporate actions (CA). Valuation of swaps: recording and validation of valuation consistency with counterparties, managing relationships with counterparties. Use of various systems for processing and valuing swaps: Front Office platform (Sophis) and internal swap pricing system. Participation in the evolution of processes and Front Office systems concerning structured swap activities. Backup for managing events related to swaps (maturities, unwinding, etc.). Technical Environment: Sophis, Windows, Bloomberg Functional Environment: Pricing library, derivatives, and structured products for formula funds.

Financial Department: Economic Capital Calculation of economic capital considering all risks (market, credit, operational). Methodological reviews based on risk measurement models (VaR, Credit VaR, etc.) for the Equity, Bonds, Carry, and Primary desks. Data collection and validation with business units. Portfolio construction and configuration. Monitoring of calculations and summarization of results. Technical Environment: Windows, Bloomberg