Walid Boukhtache-Djouhri, CFA

Calibration and Implementation of stochastic models via differential equation diffusion with Monte Carlo simulations for an Economic Scenario Generator for cash flow modelization on Life Insurance Funds with respect to the Solvency 2 reglementation. - Interest Rates modelling with Vasicek, Hull-White and Libor Market Model : calibration of those models made by pricing exotic derivatives such as Cap, Floor and Swaptions (computation of market and approximate volatility surface) - Spread modelling using the JLT framework : calibrated by the computation of default probabilities transitions matrices (Stochastic impact on Markov Chains) - Stock excess and real estate return computation with the Black and Scholes model. - Back testing of the results.

Trade booking for valuation funds of Derivatives & Structured Products on the OTC market. - Daily trades Booking and Reconciliation on products such as FXO, CDS, IRS, IFS,TRS or SWO. - Investigation on different issues on both cash flow and other parameters on derivatives products. - Respect of strict cut-off times within the day and during the life cycle of each trade for NAV providing. Working on Service Quality & IT Processes Improvement. - Daily use of Excel VBA to improve, and automate processes. - Daily use of Access. - Extensive use of Financial Softwares: Bloomberg, Kondor+, DTCC, MarkitWire...

- Checking of accounts solvency (liquidity facility) - Assisting in: - elaboration of credit’s file - Balance sheet analyzing of companies to control risks of loans granted