Laurent F

Proprietary risk and revaluation engine designed and built in Python, combining a macro and a micro layer to re-value private assets under current market conditions and to anticipate credit stress through purpose-built indicators — a direct demonstration of my finance-plus-code profile. • Macro layer — crisis anticipation: a composite Credit Stress Score built from market indicators (HY OAS z-score, CCC–B differential, yield-curve slope, momentum), designed to detect divergences between the broad market and its most fragile segment — the configuration that has historically preceded credit and debt crises. • Micro layer — revaluation: bottom-up re-valuation of private debt and private-equity positions (IPEV, DCF, comparables), with the discount rate driven by the macro stress score, PIK-ratio tracking as a leading distress signal, and detection of valuation divergences between managers. • Engineering: fully parameterised, versioned and reproducible — the auditability the EU AI Act calls for. Stack: Python 3.13 / Pydantic / DuckDB, TypeScript/Node MCP servers for data acquisition, automated tests, Git monorepo.

SQL development / reporting / test across engagements. Risk / modelling consulting for banks: IRRBB, ICAAP, VaR and private-credit valuation; ML-based prediction of losses under volatile conditions; internal-rating benchmarking vs Moody’s (Cohen’s Kappa). Initial Margin (ISDA SIMM) — CNP: functional architecture & implementation of the ISDA SIMM Initial Margin framework — flow mapping, functional specifications, retro-engineering; authored a 140-page SIMM reference guide (theory, process); CSA/ECS legal follow-up; organisation of project and steering committees. OTC Derivatives Valuation & Onboarding — BPSS: onboarding of OTC derivatives valuation across global entities (Chennai, Lisbon, UK); SLA drafting and pricing; FX-forward valuation in Calypso (curve set-up with/without collateral); Python developments for valuation automation and consistency. Consulting Firm — 4 fixed-price projects – MASAI / IFRS: business requirements for the migration of accrued assets to target architecture (IFRS / French GAAP), risk-metrics calculation and implementation follow-up; data quality (SQL). – IBOR transition & market-risk exposure: assessment of the BOR/OIS phase-out, impacted-position mapping and risk quantification (SQL, Hadoop/Hive). – Regulatory frameworks: design of NSFR, ALMM and Market Risk modules and IRRBB functional architecture — EVE Outlier Test, rate-scenario & projected cash-flow modelling, NII/EVE sensitivity (CRR/CRD, EBA). – Loan prepayment (ALM): behavioural prepayment modelling, backtesting & calibration, NII impact analysis (Excel/VBA, SAS, SQL).

Defined the company's data & AI strategy, governance and technical architecture; led development of a sovereign, explainable AI platform for HR technology. • Generative AI: designed RAG architectures (embeddings, vector stores/ChromaDB, LangChain), integrated LLMs (Claude, LLaMA, Mistral), built MCP servers (TypeScript/Python) and NLP pipelines; ontology-driven AI strategy (OWL, knowledge graphs, semantic RAG) aligned with the EU AI Act. • Supervised architecture implementation on AWS; managed a cross-functional team including data scientists.

Historical VaR & Expected Shortfall model validation for fixed income (cash bonds, inflation-linked, FRNs); authored the official VaR reference guide submitted to regulators; maintenance and testing of risk/pricing models in VBA. • Clearing-margin waterfall methodology and stress testing; SAS-based data management and simulation engine; reverse-engineering of margining logic and internal-model inputs; supervision and mentoring of a junior consultant.

• Credit-risk modelling & functional validation: authoring of functional design documents and calculation algorithms; review and validation of PD/LGD/EAD/RWA (IRB / Advanced IRB / STD), cross-checking of expected vs unexpected loss; stress-testing framework. • Front-to-back treasury & ALMT asset migration into Kondor+ and internal systems; techno-functional architecture and data-flow mapping. • Securitisation portfolio (ABS/RMBS) under a distressed-asset (“bad bank”) structure; Basel III / CRD IV liquidity, implementation of a liquefaction algorithm; Agile project & team management, steering committees

• Design, implementation and testing of pricing methods for structured products (Kondor+ KSP module): equity-linked (Himalaya), interest-rate structures (callable range accruals); pricing-library integration in real-time environments. • Valuation across the exotic spectrum: FX vanilla & exotic options (barriers, binaries), variance swaps (historical & Heston-implied volatility), swaptions, break-even inflation swaps (seasonality, inflation curves), single-name & basket CDS (default-probability curves from Markit); capital-guaranteed structured notes. • Valuation & financial engineering: mark-to-market and mark-to-model valuation methods for rate products; alignment with Basel II and IAS 39; investment-performance metrics (IRR, MWR, TWR); supervision of the pricing team responsible for valuations and market-data control. • Tools: SuperDerivatives, Bloomberg, Kondor+, Excel/VBA. Led a small valuation team; coordinated IT, front office and risk.

• Trading-room risk oversight & valuation: daily monitoring and management of market risk, P&L and Value at Risk; limit & risk-trigger monitoring and daily follow-up with traders; valuation of derivatives and structured products; control and automation of pricing data and valuations via VBA; oversight of securities lending and equity swaps in SOPHIS; construction of volatility curves in Kondor and index-option strategies (call/put spreads). • ALM & structural risk: designed and implemented a new ALM framework — gap analysis, duration and sensitivity via Excel simulations; developed custom ALCO reporting tools and contributed to the functional/technical architecture of the new ALM environment; supported the Group Risk Director on risk, P&L, VaR, derivatives exposure, gap mismatch and cash-flow projections. • Tools: SOPHIS, Kondor+, Bloomberg, Reuters, Fenics, VBA.

Paris · 1993 – 1997 Approximately 2.5 years of professional internships between 1993 and 1997. • Volatility trading and equity-option strategies on the MONEP (Euronext Paris): assisted senior traders with pricing, hedging and monitoring of option books; market-making techniques, volatility surfaces, risk parameters (Delta, Gamma, Vega); daily P&L and position reporting. • Money-market brokerage — trade negotiation (BMTN, CD, BT, swaps); treasury internships at AXA, Aventis, Société Générale and BNP Paribas.